# EDGAR Filing Document

**Accession Number:** 0000764624
**File Stem:** 0001752724-23-010120
**Filing Date:** 2023-1
**Character Count:** 248796
**Document Hash:** 2366156ab1b4efa28dc52d5e26b48549
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-010120.hdr.sgml**: 20230124

**ACCESSION NUMBER**: 0001752724-23-010120

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230124

**DATE AS OF CHANGE**: 20230124

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LEGG MASON PARTNERS INCOME TRUST
- **CENTRAL INDEX KEY:** 0000764624
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04254
- **FILM NUMBER:** 23549135

**BUSINESS ADDRESS:**
- **STREET 1:** LEGG MASON & CO., LLC
- **STREET 2:** 620 EIGHTH AVENUE, 49TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018
- **BUSINESS PHONE:** 1-877-721-1926

**MAIL ADDRESS:**
- **STREET 1:** LEGG MASON & CO., LLC
- **STREET 2:** 620 EIGHTH AVENUE, 49TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LEGG MASON PARTNERS INCOME FUNDS
- **DATE OF NAME CHANGE:** 20060407

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SMITH BARNEY INCOME FUNDS
- **DATE OF NAME CHANGE:** 19941228

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SMITH BARNEY SHEARSON INCOME FUNDS
- **DATE OF NAME CHANGE:** 19931015

## Series and Classes Contracts Data

### Western Asset Ultra-Short Income Fund (Series ID: S000016624)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000046410 | Class A      | ARMZX           |
| C000046412 | Class C      | LWAIX           |
| C000046413 | Class I      | SBAYX           |
| C000080302 | Class C1     | ARMGX           |
| C000118948 | Class IS     | ARMLX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Legg Mason Partners Income Trust

- **b. Investment Company Act file number:** 811-04254

- **c. CIK number of Registrant:** 0000764624

- **d. LEI of Registrant:** 549300Y1U2UCLTK83X35

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

  - **Street Address 1:** 620 Eighth Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

  - **Telephone number:** 1-877-656-3863

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

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

- **b. EDGAR series identifier (if any):** S000016624

- **c. LEI of Series:** 549300MFJCCCF04ZU149

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

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**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:** $580069278.68

**Total Liabilities:** $2092292.74

**Net Assets:** $577976985.94

**Cash Not Reported:** $8433748.26

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

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

- **3-Month:** 199.15000000 | **1-Year:** 63696.03000000 | **5-Year:** 65763.73000000 | **10-Year:** 2130.65000000 | **30-Year:** -72.56000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000046412 | -0.43%               | -0.06%               | 0.78%                |
| Class ID C000118948 | -0.47%               | 0.02%                | 0.98%                |
| Class ID C000046413 | -0.36%               | 0.01%                | 0.87%                |
| Class ID C000046410 | -0.49%               | -0.01%               | 0.96%                |
| Class ID C000080302 | -0.44%               | -0.07%               | 0.78%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-80315.78               | $-9171405.17                               |
| Month 2  | $-816252.63              | $-2254459.55                               |
| Month 3  | $-128915.80              | $5844329.21                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| MORGAN STANLEY                                                              | Morgan Stanley                                                                  | CUSIP: 6174468W2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2360000 | PA      | $2337409.82   | 0.40%             | 2024-01-25      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                  | Navient Private Education Refi Loan Trust 2019-A                                | CUSIP: 63941BAB1<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |     59192 | PA      | $56321.78     | 0.01%             | 2043-01-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                                 | NVIDIA Corp                                                                     | CUSIP: 67066GAL8<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1091073.75   | 0.19%             | 2024-06-14      | Fixed         | 0.58%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                                              | Merrill Lynch Mortgage Investors Trust Series 2006-HE1                          | CUSIP: 59020U3E3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9134 | PA      | $9119.08      | 0.00%             | 2036-12-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                   | Nelnet Student Loan Trust 2021-C                                                | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1389544 | PA      | $1336657.04   | 0.23%             | 2062-04-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $354584.40    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QP4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4527724 | PA      | $4591796.51   | 0.79%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 31359N4G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4010 | PA      | $3933.83      | 0.00%             | 2027-03-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 31329KUG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2187066 | PA      | $2065643.76   | 0.36%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                               | New Residential Mortgage Loan Trust 2015-1                                      | CUSIP: 64829CAD0<br>LEI: 549300RCJSGOC0A85G53 | Long             | ABS-MBS          | CORP              | US        |    152584 | PA      | $141603.70    | 0.02%             | 2052-05-28      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                                              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377REH3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    940000 | PA      | $811423.79    | 0.14%             | 2027-08-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | DISH DBS Corp                                                                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $111848.75    | 0.02%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1662750.00   | 0.29%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38376R5Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    480141 | PA      | $470353.14    | 0.08%             | 2067-07-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Harbor Freight Tools USA Inc                                                | Harbor Freight Tools USA Inc                                                    | CUSIP: 41151PAP0<br>LEI: 549300Y48HLCFTTB4249 | Long             | LON              | CORP              | US        |    491228 | PA      | $467870.19    | 0.08%             | 2027-10-19      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                      | SLM Student Loan Trust 2005-4                                                   | CUSIP: 78442GPG5<br>LEI: 549300L7X3DWAOC00Z83 | Long             | ABS-O            | CORP              | US        |     68533 | PA      | $68336.40     | 0.01%             | 2027-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| PACCAR FINANCIAL CORP                                                       | PACCAR Financial Corp                                                           | CUSIP: 69371RR32<br>LEI: PH3S12DWZBHHQKVYZ297 | Long             | DBT              | CORP              | US        |    740000 | PA      | $663240.35    | 0.11%             | 2026-05-11      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                      | Diamondback Energy Inc                                                          | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   3080000 | PA      | $2888764.89   | 0.50%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2021-NQM7                                                                  | CUSIP: 12662QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545305 | PA      | $447840.50    | 0.08%             | 2066-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                                           | Magnetite XIV-R LTD                                                             | CUSIP: 55954LAL7<br>LEI: 549300XD71H6EU9N2I97 | Long             | ABS-CBDO         | CORP              | KY        |    530000 | PA      | $519720.21    | 0.09%             | 2031-10-18      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Commercial Mortgage Trust 2021-VOLT                                          | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1460000 | PA      | $1399651.92   | 0.24%             | 2036-09-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                              | Home Depot Inc/The                                                              | CUSIP: 437076CN0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    310000 | PA      | $291159.25    | 0.05%             | 2027-04-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                    | Madison Park Funding XXXV Ltd                                                   | CUSIP: 55819MAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    760000 | PA      | $741000.00    | 0.13%             | 2032-04-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                                        | BAT International Finance PLC                                                   | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    850000 | PA      | $753814.30    | 0.13%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3000000 | PA      | $2756356.56   | 0.48%             | 2026-06-09      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| HGI CRE CLO Ltd                                                             | HGI CRE CLO 2021-FL2 Ltd                                                        | CUSIP: 40390JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1440000 | PA      | $1387864.99   | 0.24%             | 2036-09-17      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Caesars Resort Collection LLC                                               | Caesars Resort Collection LLC                                                   | CUSIP: 12769LAB5<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |    617097 | PA      | $613873.00    | 0.11%             | 2024-12-23      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                    | OBX 2022-NQM1 Trust                                                             | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1316667 | PA      | $1109670.76   | 0.19%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                  | Cigna Corp                                                                      | CUSIP: 125523BX7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1155133.40   | 0.20%             | 2024-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GKS7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    740000 | PA      | $721886.51    | 0.12%             | 2025-04-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                        | Royal Bank of Canada                                                            | CUSIP: 78016EZT7<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   2750000 | PA      | $2417460.73   | 0.42%             | 2026-07-14      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                   | Towd Point Mortgage Trust 2019-HY1                                              | CUSIP: 89177EAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1460000 | PA      | $1402286.20   | 0.24%             | 2048-10-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                      | SLM Student Loan Trust 2005-5                                                   | CUSIP: 78442GPQ3<br>LEI: 549300WCW8E0MUEMAH47 | Long             | ABS-O            | CORP              | US        |    199693 | PA      | $198343.20    | 0.03%             | 2028-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                       | Texas Instruments Inc                                                           | CUSIP: 882508BH6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9347.70      | 0.00%             | 2025-03-12      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XI                                              | Octagon Investment Partners XIV Ltd                                             | CUSIP: 67590ABP6<br>LEI: 549300QEN35HTPJ3BX33 | Long             | ABS-CBDO         | CORP              | KY        |    676491 | PA      | $668331.35    | 0.12%             | 2029-07-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                  | Navient Private Education Refi Loan Trust 2019-A                                | CUSIP: 63941BAC9<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    209579 | PA      | $205210.37    | 0.04%             | 2043-01-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Cutwater Ltd                                                                | Cutwater 2015-I Ltd                                                             | CUSIP: 23222LAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    269151 | PA      | $265802.04    | 0.05%             | 2029-01-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                                              | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2007-1               | CUSIP: 65538PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246255 | PA      | $228696.83    | 0.04%             | 2047-03-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| CMFT Net Lease Master Issuer L                                              | CMFT Net Lease Master Issuer LLC                                                | CUSIP: 12575AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1039830 | PA      | $881567.25    | 0.15%             | 2051-07-20      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MEY6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    320000 | PA      | $313895.46    | 0.05%             | 2026-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CORP                                                           | Toyota Motor Corp                                                               | CUSIP: 892331AL3<br>LEI: 5493006W3QUS5LMH6R84 | Long             | DBT              | CORP              | JP        |   1480000 | PA      | $1401866.72   | 0.24%             | 2024-03-25      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                                              | Ellington Financial Mortgage Trust 2022-1                                       | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    352957 | PA      | $293378.85    | 0.05%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                      | Williams Cos Inc/The                                                            | CUSIP: 96950FAL8<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    960000 | PA      | $952684.07    | 0.16%             | 2023-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   2830000 | PA      | $2896856.97   | 0.50%             | 2025-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SERVICE                                                    | Caterpillar Financial Services Corp                                             | CUSIP: 14913R2L0<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   3180000 | PA      | $2992325.37   | 0.52%             | 2024-05-17      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                              | Option One Mortgage Loan Trust 2004-3                                           | CUSIP: 68389FFT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391871 | PA      | $372179.62    | 0.06%             | 2034-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| API GROUP DE INC                                                            | APi Group DE Inc                                                                | CUSIP: 00186XAB9<br>LEI: 549300XP4G7B4QYA0G83 | Long             | LON              | CORP              | US        |    494420 | PA      | $490526.09    | 0.08%             | 2026-10-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNXD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1184562.96   | 0.20%             | 2029-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| DCert Buyer Inc                                                             | Dcert Buyer Inc                                                                 | CUSIP: 24022KAB5<br>LEI: 549300EF826JEEUCHZ67 | Long             | LON              | CORP              | US        |    492424 | PA      | $474751.12    | 0.08%             | 2026-10-16      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                                              | Carlyle US Clo 2017-2 Ltd                                                       | CUSIP: 14315JAQ2<br>LEI: 549300VC6J79YJCFU884 | Long             | ABS-CBDO         | CORP              | KY        |   1590000 | PA      | $1554988.58   | 0.27%             | 2031-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286580 | PA      | $282788.70    | 0.05%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2021-C                                         | CUSIP: 83208AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    369811 | PA      | $316929.06    | 0.05%             | 2053-01-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650DE7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2440000 | PA      | $2358084.39   | 0.41%             | 2024-08-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| SVENSKA HANDELSBANKEN AB                                                    | SVENSKA HANDELSBANKEN AB                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | SE        |   3350000 | PA      | $3318600.45   | 0.57%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YBC2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1016958.02   | 0.18%             | 2023-11-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XAR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     14469 | PA      | $14613.27     | 0.00%             | 2024-11-25      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QMX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5889885 | PA      | $5297570.49   | 0.92%             | 2051-08-01      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XB4B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702922 | PA      | $667859.19    | 0.12%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T                                              | Ready Capital Mortgage Financing 2021-FL6 LLC                                   | CUSIP: 75575TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1172740 | PA      | $1134443.62   | 0.20%             | 2036-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd                                                       | Black Diamond Clo 2017-1 Ltd                                                    | CUSIP: 09202VAY4<br>LEI: 54930069GUF2V1O4MD77 | Long             | ABS-CBDO         | CORP              | KY        |    542320 | PA      | $536266.50    | 0.09%             | 2029-04-24      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                                | DNB Bank ASA                                                                    | CUSIP: 23329PAG5<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   1230000 | PA      | $1073481.17   | 0.19%             | 2027-05-25      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDR0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    300000 | PA      | $289050.45    | 0.05%             | 2024-08-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    300000 | PA      | $293703.68    | 0.05%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                  | Humana Inc                                                                      | CUSIP: 444859BQ4<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   2040000 | PA      | $1760962.92   | 0.30%             | 2027-02-03      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                            | Bank of Montreal                                                                | CUSIP: 06367TQW3<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   1650000 | PA      | $1539983.91   | 0.27%             | 2024-07-09      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Saranac CLO LTD                                                             | Saranac CLO III Ltd                                                             | CUSIP: 803169AS0<br>LEI: 5493000LWP4BVD5LGS13 | Long             | ABS-CBDO         | CORP              | JE        |   1100000 | PA      | $1075872.98   | 0.19%             | 2030-06-22      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38375BN99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    259742 | PA      | $256275.13    | 0.04%             | 2063-03-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Commercial Mortgage Trust 2022-AHP                                           | CUSIP: 05610FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1570000 | PA      | $1503283.32   | 0.26%             | 2039-01-17      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                                                    | Federal Farm Credit Banks Funding Corp                                          | CUSIP: 3133ENJ84<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    620000 | PA      | $607791.74    | 0.11%             | 2024-08-26      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                        | Westpac Banking Corp                                                            | CUSIP: 961214ER0<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   2160000 | PA      | $1917136.64   | 0.33%             | 2026-06-03      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29273RBG3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1315726.91   | 0.23%             | 2026-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RRAM                                                                        | RR 3 Ltd                                                                        | CUSIP: 74988LAA2<br>LEI: 549300YH0VOGWM5JZF65 | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $638683.06    | 0.11%             | 2030-01-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26407 | PA      | $24887.07     | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VEP5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   3290000 | PA      | $3298706.33   | 0.57%             | 2025-05-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| CTR PARTNERSHIP/CARETRST                                                    | CTR Partnership LP / CareTrust Capital Corp                                     | CUSIP: 126458AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    430000 | PA      | $368037.00    | 0.06%             | 2028-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        19 | NC      | $-96108.65    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Golub Capital Partners CLO Ltd                                              | Golub Capital Partners CLO 54M L.P                                              | CUSIP: 381743AA1<br>LEI: 2549007JA1TZWEDGPD41 | Long             | ABS-CBDO         | CORP              | KY        |   1040000 | PA      | $1000308.26   | 0.17%             | 2033-08-05      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                           | EOG Resources Inc                                                               | CUSIP: 26875PAP6<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |   2040000 | PA      | $2012738.11   | 0.35%             | 2026-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                                              | PMT Credit Risk Transfer Trust 2019-2R                                          | CUSIP: 69345WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166448 | PA      | $159649.85    | 0.03%             | 2023-05-27      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                                      | Credit Suisse AG/New York NY                                                    | CUSIP: 22550L2F7<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    610000 | PA      | $581362.66    | 0.10%             | 2023-08-09      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| Setanta Aircraft Leasing DAC                                                | Setanta Aircraft Leasing DAC                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | IE        |    550000 | PA      | $544214.00    | 0.09%             | 2028-11-05      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| SUNRUN CALLISTO ISSUER LLC                                                  | Sunrun Atlas Issuer 2019-2 LLC                                                  | CUSIP: 86772FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    549272 | PA      | $485556.30    | 0.08%             | 2055-02-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co                                               | Sierra Timeshare 2018-2 Receivables Funding LLC                                 | CUSIP: 82653DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    720248 | PA      | $700616.27    | 0.12%             | 2035-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382YGG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3464216 | PA      | $3383107.85   | 0.59%             | 2071-09-20      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1307 | NC      | $-498115.07   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84496 | PA      | $74383.82     | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                        | Royal Bank of Canada                                                            | CUSIP: 78016EZ59<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1230000 | PA      | $1191733.13   | 0.21%             | 2025-04-14      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76890 | PA      | $66351.47     | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    112037 | PA      | $113901.00    | 0.02%             | 2023-10-25      | Floating      | 9.27%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back                                              | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-C                | CUSIP: 456606HV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    607369 | PA      | $586830.76    | 0.10%             | 2035-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                         | Bank of Nova Scotia/The                                                         | CUSIP: 0641594A1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    780000 | PA      | $694047.05    | 0.12%             | 2026-06-24      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                      | SLM Student Loan Trust 2005-4                                                   | CUSIP: 78442GPL4<br>LEI: 549300L7X3DWAOC00Z83 | Long             | ABS-O            | CORP              | US        |    164756 | PA      | $146862.70    | 0.03%             | 2055-07-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Prime Security Services Borrower, LLC (aka Protection 1 Security Solutions) | Prime Security Services Borrower LLC                                            | CUSIP: 03765VAK6<br>LEI: 549300O6QPZVWXV2DC15 | Long             | LON              | CORP              | US        |    863250 | PA      | $852407.69    | 0.15%             | 2026-09-23      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC Series 2019-UVIL                                                           | CUSIP: 12656DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1480000 | PA      | $1226610.83   | 0.21%             | 2041-12-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| XPO LOGISTICS INC                                                           | XPO Logistics Inc                                                               | CUSIP: 983793AH3<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |     22000 | PA      | $22321.58     | 0.00%             | 2025-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPBT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $663330.50    | 0.11%             | 2027-05-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XCX2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    910000 | PA      | $857330.46    | 0.15%             | 2025-06-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                                | Voya CLO 2016-3 Ltd                                                             | CUSIP: 92915HAL7<br>LEI: 549300001G5S0D8B8343 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246415.76    | 0.04%             | 2031-10-18      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2910000 | PA      | $2694930.63   | 0.47%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                              | MSC Trust 2021-ILP                                                              | CUSIP: 62479WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2103046 | PA      | $2011804.47   | 0.35%             | 2023-11-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                                 | Legacy Mortgage Asset Trust 2021-GS5                                            | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1409453 | PA      | $1259020.17   | 0.22%             | 2067-07-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                                    | Mill City Mortgage Loan Trust 2019-1                                            | CUSIP: 59981AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    618874 | PA      | $582929.13    | 0.10%             | 2069-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $312116.32    | 0.05%             | 2030-10-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -662 | NC      | $838461.43    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Onslow Bay Financial LLC                                                    | OBX 2021-NQM2 Trust                                                             | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740281 | PA      | $573895.85    | 0.10%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JB4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    600000 | PA      | $592810.79    | 0.10%             | 2023-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Commercial Mortgage Trust 2020-VIV4                                          | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1070000 | PA      | $863692.98    | 0.15%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                   | Nelnet Student Loan Trust 2015-2                                                | CUSIP: 64033QAB5<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |    401903 | PA      | $380543.86    | 0.07%             | 2042-09-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | Credit Suisse Group AG                                                          | CUSIP: 225401AE8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    750000 | PA      | $749064.64    | 0.13%             | 2023-12-14      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1085063.86   | 0.19%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                              | Morgan Stanley Capital I Trust 2017-ASHF                                        | CUSIP: 61691KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181410 | PA      | $176833.12    | 0.03%             | 2034-11-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380QYC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3193550 | PA      | $3131809.94   | 0.54%             | 2070-04-20      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE LONDON                                                      | Credit Agricole SA/London                                                       | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    900000 | PA      | $816042.71    | 0.14%             | 2026-06-16      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                   | Towd Point Mortgage Trust 2017-4                                                | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161448 | PA      | $153304.53    | 0.03%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                    | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDF8<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    320000 | PA      | $306369.56    | 0.05%             | 2024-07-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| TARGET CORP                                                                 | Target Corp                                                                     | CUSIP: 87612EBL9<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |     90000 | PA      | $85661.61     | 0.01%             | 2025-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                         | Charles Schwab Corp/The                                                         | CUSIP: 808513BN4<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1880000 | PA      | $1786088.21   | 0.31%             | 2024-03-18      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                                                    | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                | CUSIP: 84859BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    414000 | PA      | $419131.53    | 0.07%             | 2025-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VGF5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    780000 | PA      | $741844.97    | 0.13%             | 2024-03-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                         | Southern California Edison Co                                                   | CUSIP: 842400HK2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $982474.80    | 0.17%             | 2024-08-01      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAQ4<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    210000 | PA      | $188790.00    | 0.03%             | 2029-05-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                                                            | SpringCastle America Funding LLC                                                | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1365872 | PA      | $1232481.00   | 0.21%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -125 | NC      | $-781.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                                     | John Deere Capital Corp                                                         | CUSIP: 24422EVJ5<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    140000 | PA      | $134899.68    | 0.02%             | 2023-10-10      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                                           | Cedar Funding V CLO Ltd                                                         | CUSIP: 15032AAY3<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |   2570000 | PA      | $2418937.03   | 0.42%             | 2031-07-17      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                         | Delta Air Lines Inc                                                             | CUSIP: 247361ZX9<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |    700000 | PA      | $713846.81    | 0.12%             | 2025-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                                              | Bear Stearns Asset Backed Securities Trust 2003-AC5                             | CUSIP: 07384YMC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150014 | PA      | $150980.34    | 0.03%             | 2033-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C                                              | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3              | CUSIP: 16678RBV8<br>LEI: 549300TC8R2SGZ2KM445 | Long             | ABS-MBS          | CORP              | US        |      1372 | PA      | $1229.76      | 0.00%             | 2035-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                | Centene Corp                                                                    | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    400000 | PA      | $376086.00    | 0.07%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                      | SLM Student Loan Trust 2006-10                                                  | CUSIP: 78443BAG1<br>LEI: 54930051VPU2HCJB6841 | Long             | ABS-O            | CORP              | US        |   1083288 | PA      | $1038546.01   | 0.18%             | 2044-03-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                | UBS Group AG                                                                    | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    600000 | PA      | $582544.25    | 0.10%             | 2025-09-24      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBE2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    650000 | PA      | $635732.83    | 0.11%             | 2025-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| STATE OF QATAR                                                              | Qatar Government International Bond                                             | CUSIP: 000000000<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |   1200000 | PA      | $1155001.54   | 0.20%             | 2026-06-02      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                                     | Fannie Mae Grantor Trust 2002-T19                                               | CUSIP: 31392GVT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    660732 | PA      | $641517.41    | 0.11%             | 2042-03-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                       | Northrop Grumman Corp                                                           | CUSIP: 666807BM3<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    160000 | PA      | $153948.14    | 0.03%             | 2025-01-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                            | COLT 2021-RPL1 Trust                                                            | CUSIP: 12598PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1311259 | PA      | $1168322.71   | 0.20%             | 2061-09-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                                 | Hertz Vehicle Financing III LP                                                  | CUSIP: 42806MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1284931.95   | 0.22%             | 2027-12-27      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KKY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1540000 | PA      | $1442607.17   | 0.25%             | 2041-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| TRP LLC                                                                     | TRP 2021 LLC                                                                    | CUSIP: 87267CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    908992 | PA      | $768362.18    | 0.13%             | 2051-06-19      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| ABU DHABI GOVT INT'L                                                        | Abu Dhabi Government International Bond                                         | CUSIP: 29135LAL4<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |   1910000 | PA      | $1849823.54   | 0.32%             | 2023-09-02      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                                         | PayPal Holdings Inc                                                             | CUSIP: 70450YAG8<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1237896.87   | 0.21%             | 2025-06-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Commercial Mortgage Trust 2021-CIP                                           | CUSIP: 12434FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1636894.30   | 0.28%             | 2038-12-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                      | SLM Private Education Loan Trust 2010-C                                         | CUSIP: 78445QAE1<br>LEI: 549300JEA36NHBYED811 | Long             | ABS-O            | CORP              | US        |   1513546 | PA      | $1618521.24   | 0.28%             | 2041-10-15      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2021-RPL6 Trust                                                            | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    923472 | PA      | $810861.76    | 0.14%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                             | Sands China Ltd                                                                 | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    220000 | PA      | $179714.70    | 0.03%             | 2029-03-08      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                    | JP MORGAN MORTGAGE TRUST 2018-5                                                 | CUSIP: 46649KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44803 | PA      | $39584.69     | 0.01%             | 2048-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                                      | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RAL1<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $962865.22    | 0.17%             | 2024-10-24      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| OSCAR US Funding Trust                                                      | Oscar US Funding XIII LLC                                                       | CUSIP: 68785BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1340522.16   | 0.23%             | 2028-09-11      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3170000 | PA      | $3121865.96   | 0.54%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                             | Impac CMB Trust Series 2005-7                                                   | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189705 | PA      | $166248.43    | 0.03%             | 2035-11-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    610521 | PA      | $522830.74    | 0.09%             | 2053-01-15      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                                              | Renaissance Home Equity Loan Trust 2003-2                                       | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197941 | PA      | $180499.95    | 0.03%             | 2033-08-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1489846.84   | 0.26%             | 2026-04-08      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                             | Nissan Motor Co Ltd                                                             | CUSIP: 654744AA9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    950000 | PA      | $928639.65    | 0.16%             | 2023-09-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958254AF1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1753740.00   | 0.30%             | 2026-07-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2021-AFC1 Trust                                                            | CUSIP: 12657LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    454331 | PA      | $354576.64    | 0.06%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                                                | Vontier Corp                                                                    | CUSIP: 928881AB7<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |   1530000 | PA      | $1292850.00   | 0.22%             | 2026-04-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2710000 | PA      | $2725785.89   | 0.47%             | 2024-02-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                                                      | American Honda Finance Corp                                                     | CUSIP: 02665WCZ2<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1348037.77   | 0.23%             | 2024-06-27      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2021-C                                         | CUSIP: 83208AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2970000 | PA      | $2818514.56   | 0.49%             | 2053-01-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                                      | Credit Suisse AG/New York NY                                                    | CUSIP: 22550L2E0<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    570000 | PA      | $520837.85    | 0.09%             | 2024-02-02      | Fixed         | 0.49%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC                                                     | Astrazeneca Finance LLC                                                         | CUSIP: 04636NAA1<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |   1670000 | PA      | $1492267.28   | 0.26%             | 2026-05-28      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967MT5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2570000 | PA      | $2448481.53   | 0.42%             | 2024-10-30      | Fixed         | 0.78%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3290000 | PA      | $3141549.84   | 0.54%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                    | EQT Corp                                                                        | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1663623.61   | 0.29%             | 2026-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BW5<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1605429.66   | 0.28%             | 2024-05-12      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                                 | PRKCM 2021-AFC1 Trust                                                           | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1214844 | PA      | $972823.28    | 0.17%             | 2056-08-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                | GS Mortgage Securities Corp II                                                  | CUSIP: 36228FCU8<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |     67265 | PA      | $67383.80     | 0.01%             | 2023-03-20      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                    | Onslow Bay Mortgage Loan Trust                                                  | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    932282 | PA      | $747950.52    | 0.13%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| SMRT                                                                        | SMRT 2022-MINI                                                                  | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1560000 | PA      | $1499322.40   | 0.26%             | 2039-01-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                       | Toronto-Dominion Bank/The                                                       | CUSIP: 89114TZD7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   3040000 | PA      | $2686711.11   | 0.46%             | 2026-06-03      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $1458904.44   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                                      | Mizuho Financial Group Inc                                                      | CUSIP: 60687YBJ7<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $384332.57    | 0.07%             | 2024-09-08      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                        | Fannie Mae Trust 2003-W8                                                        | CUSIP: 31393CX24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60539 | PA      | $59722.46     | 0.01%             | 2042-05-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAE3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1375895.85   | 0.24%             | 2025-03-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Commercial Mortgage Trust 2021-SOAR                                          | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1091730 | PA      | $1046861.57   | 0.18%             | 2038-06-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                                               | CGMS Commercial Mortgage Trust 2017-B1                                          | CUSIP: 17326CAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $304165.39    | 0.05%             | 2050-08-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     90000 | PA      | $79681.58     | 0.01%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2019-AFC1 Trust                                                            | CUSIP: 12596XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110831 | PA      | $102312.14    | 0.02%             | 2049-07-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| VFH Parent LLC                                                              | VFH Parent LLC                                                                  | CUSIP: 000000000<br>LEI: 549300FRO9M476YHHY64 | Long             | LON              | CORP              | US        |    550000 | PA      | $536250.00    | 0.09%             | 2029-01-13      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2021-AFC1 Trust                                                            | CUSIP: 12657LAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    454331 | PA      | $315636.39    | 0.05%             | 2056-03-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                                                               | UBS AG/London                                                                   | CUSIP: 902674YH7<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    800000 | PA      | $701590.14    | 0.12%             | 2026-06-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                                       | Vale Overseas Ltd                                                               | CUSIP: 91911TAP8<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |   1000000 | PA      | $1034250.00   | 0.18%             | 2026-08-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    170000 | PA      | $154627.75    | 0.03%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORP                                                        | Ambac Assurance Corp                                                            | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |      1627 | PA      | $2269.34      | 0.00%             | N/A             | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                                                     | Nissan Motor Acceptance Co LLC                                                  | CUSIP: 654740BS7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $944983.42    | 0.16%             | 2026-03-09      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                                    | New York Life Global Funding                                                    | CUSIP: 64952WDQ3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    390000 | PA      | $353332.78    | 0.06%             | 2025-06-24      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                     | MPLX LP                                                                         | CUSIP: 55336VBR0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1205605.08   | 0.21%             | 2026-03-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2021-NQM5 Trust                                                            | CUSIP: 22946DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    940627 | PA      | $715817.39    | 0.12%             | 2066-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                                              | Residential Asset Securitization Trust 2003-A11                                 | CUSIP: 45660NUU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37302 | PA      | $36488.06     | 0.01%             | 2033-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C                                              | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-1              | CUSIP: 16678RCU9<br>LEI: 549300IPR6D6ZFC6NF33 | Long             | ABS-MBS          | CORP              | US        |      2034 | PA      | $1787.77      | 0.00%             | 2036-01-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                                              | SoFi Professional Loan Program 2020-C Trust                                     | CUSIP: 83390UAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    573283 | PA      | $514453.48    | 0.09%             | 2046-02-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                                    | Visa Inc                                                                        | CUSIP: 92826CAD4<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    500000 | PA      | $481746.90    | 0.08%             | 2025-12-14      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                         | Charles Schwab Corp/The                                                         | CUSIP: 808513BR5<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1211640.90   | 0.21%             | 2026-05-13      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition                                               | Bayview Financial Mortgage Pass-Through Trust 2006-A                            | CUSIP: 07325NDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126823 | PA      | $126279.28    | 0.02%             | 2041-02-28      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                            | Freddie Mac Strips                                                              | CUSIP: 31351DCS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       311 | PA      | $308.43       | 0.00%             | 2028-06-01      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                                              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RDY7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $539302.32    | 0.09%             | 2027-02-20      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       217 | NC      | $47468.75     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SLM Student Loan Trust                                                      | SLM Student Loan Trust 2013-6                                                   | CUSIP: 78448CAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    876242 | PA      | $851733.33    | 0.15%             | 2028-06-26      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                  | Intel Corp                                                                      | CUSIP: 458140BT6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1364871.86   | 0.24%             | 2028-08-12      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| GCAT                                                                        | GCAT 2019-NQM2 Trust                                                            | CUSIP: 36167FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1109104 | PA      | $1064222.47   | 0.18%             | 2060-01-25      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                                              | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A1              | CUSIP: 65535VBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284410 | PA      | $163675.99    | 0.03%             | 2033-05-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                    | Angel Oak Mortgage Trust 2021-7                                                 | CUSIP: 03464JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335104 | PA      | $262422.31    | 0.05%             | 2066-10-25      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                           | HSBC Holdings PLC                                                               | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    490000 | PA      | $450951.25    | 0.08%             | 2025-05-24      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| QATAR ENERGY                                                                | Qatar Energy                                                                    | CUSIP: 74730DAB9<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |   1620000 | PA      | $1436591.70   | 0.25%             | 2026-09-12      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EKYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267513 | PA      | $271948.82    | 0.05%             | 2037-09-01      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                             | CDS CDX.NA.IG.39.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $134858.77    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                                              | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 86359BKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83886 | PA      | $76916.57     | 0.01%             | 2034-03-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Virgin Media Bristol LLC                                                    | Virgin Media Bristol LLC                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    590000 | PA      | $576356.25    | 0.10%             | 2028-01-31      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                        | Glencore Funding LLC                                                            | CUSIP: 378272BD9<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1174783.71   | 0.20%             | 2026-04-27      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                                      | Cascade MH Asset Trust 2021-MH1                                                 | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265575 | PA      | $226379.81    | 0.04%             | 2046-02-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3840000 | PA      | $3466240.51   | 0.60%             | 2026-06-19      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                                     | Fannie Mae Grantor Trust 2000-T6                                                | CUSIP: 31358SR78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     90177 | PA      | $88723.03     | 0.02%             | 2040-11-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| NextGear Floorplan Master Owne                                              | NextGear Floorplan Master Owner Trust                                           | CUSIP: 65341KBN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $992124.20    | 0.17%             | 2025-02-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VGG3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    710000 | PA      | $642531.31    | 0.11%             | 2026-03-20      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                                     | Fannie Mae Grantor Trust 2004-T3                                                | CUSIP: 31393YV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    420786 | PA      | $412608.12    | 0.07%             | 2043-08-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                                    | Pioneer Natural Resources Co                                                    | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   1210000 | PA      | $1080569.88   | 0.19%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                 | Asurion LLC                                                                     | CUSIP: 04649VAY6<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    545844 | PA      | $474611.21    | 0.08%             | 2027-07-31      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4850000 | PA      | $4519419.93   | 0.78%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                              | 280 Park Avenue 2017-280P Mortgage Trust                                        | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $486425.65    | 0.08%             | 2034-09-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XJFG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    864227 | PA      | $876479.15    | 0.15%             | 2038-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                                 | Rad CLO 15 Ltd                                                                  | CUSIP: 750103AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1710000 | PA      | $1669121.21   | 0.29%             | 2034-01-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| VSE VOI Mortgage LLC                                                        | VSE 2018-A VOI Mortgage LLC                                                     | CUSIP: 918286AA3<br>LEI: 549300E4XED7XGXU7L27 | Long             | ABS-O            | CORP              | US        |    973645 | PA      | $942338.57    | 0.16%             | 2036-02-20      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Evergreen Credit Card Trust                                                 | Evergreen Credit Card Trust                                                     | CUSIP: 30023JBS6<br>LEI: 5493002G9KVV6J3CNU15 | Long             | ABS-O            | CORP              | CA        |   1700000 | PA      | $1575917.00   | 0.27%             | 2026-10-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                          | Banco Santander SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1600000 | PA      | $1484107.78   | 0.26%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2022-DNA2                                         | CUSIP: 35564KRF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1506364.80   | 0.26%             | 2042-02-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                                         | BHMS 2018-ATLS                                                                  | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    910000 | PA      | $874086.21    | 0.15%             | 2035-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US ULTRA TREASURY BOND                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $4184.04      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2X0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2770000 | PA      | $2684830.95   | 0.46%             | 2026-04-25      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    130000 | PA      | $112573.50    | 0.02%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAY2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2980000 | PA      | $2944935.03   | 0.51%             | 2024-12-05      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FQX57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    788474 | PA      | $768294.59    | 0.13%             | 2049-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                                                          | Whitebox Clo II Ltd                                                             | CUSIP: 96466CAL2<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |   1221000 | PA      | $1178704.56   | 0.20%             | 2034-10-24      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| OPG Trust                                                                   | OPG Trust 2021-PORT                                                             | CUSIP: 67118AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1014354 | PA      | $963876.53    | 0.17%             | 2036-10-15      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2022-DNA2                                         | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1227077 | PA      | $1204675.40   | 0.21%             | 2042-02-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Connecticut Avenue Securities Trust 2022-R07                                    | CUSIP: 20754MBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1123556 | PA      | $1131817.71   | 0.20%             | 2042-06-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                             | Danske Bank A/S                                                                 | CUSIP: 23636ABD2<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   3380000 | PA      | $3255397.58   | 0.56%             | 2025-03-28      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 59022CAA1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    200000 | PA      | $194259.38    | 0.03%             | 2026-09-15      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                                               | Commonbond Student Loan Trust 2021-B-GS                                         | CUSIP: 20268AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1141890 | PA      | $929665.93    | 0.16%             | 2051-09-25      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967JM4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    400000 | PA      | $373417.74    | 0.06%             | N/A             | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                       | General Dynamics Corp                                                           | CUSIP: 369550BN7<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1052901.44   | 0.18%             | 2026-06-01      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                                        | OHA Loan Funding 2013-2 Ltd                                                     | CUSIP: 67104LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    760000 | PA      | $748227.49    | 0.13%             | 2031-05-23      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP                                                           | Clarios Global LP                                                               | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | CA        |    550000 | PA      | $542723.50    | 0.09%             | 2026-04-30      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CBC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    180000 | PA      | $161170.31    | 0.03%             | 2025-12-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                        | Targa Resources Corp                                                            | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   1630000 | PA      | $1609747.40   | 0.28%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                                   | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32                     | CUSIP: 61691GAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    446265 | PA      | $427716.09    | 0.07%             | 2049-12-15      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                                     | John Deere Capital Corp                                                         | CUSIP: 24422EVQ9<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    770000 | PA      | $723502.81    | 0.13%             | 2024-06-07      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities                                               | Aegis Asset Backed Securities Trust 2005-5                                      | CUSIP: 00764MHE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1594234.67   | 0.28%             | 2035-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| MVW 2020-1 LLC                                                              | MVW 2020-1 LLC                                                                  | CUSIP: 55400EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    794334 | PA      | $726667.91    | 0.13%             | 2037-10-20      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                              | Home Depot Inc/The                                                              | CUSIP: 437076CM2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    330000 | PA      | $317404.91    | 0.05%             | 2025-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                        | Fannie Mae Trust 2003-W6                                                        | CUSIP: 31393BW76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334928 | PA      | $321455.85    | 0.06%             | 2042-08-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| BROADCOM CRP / CAYMN FI                                                     | Broadcom Corp / Broadcom Cayman Finance Ltd                                     | CUSIP: 11134LAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    300000 | PA      | $294833.10    | 0.05%             | 2024-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                                                          | Whitebox Clo I Ltd                                                              | CUSIP: 96467FAJ9<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |   1040000 | PA      | $1016797.68   | 0.18%             | 2032-07-24      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        61 | NC      | $94463.11     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                     | GA Global Funding Trust                                                         | CUSIP: 36143L2A2<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1338999.09   | 0.23%             | 2026-01-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Four Seasons Hotels Limited                                                 | Four Seasons Hotels Ltd                                                         | CUSIP: 35100DAR7<br>LEI: 5493009FUVX8LHYY2202 | Long             | LON              | CORP              | CA        |    489124 | PA      | $489011.32    | 0.08%             | 2023-11-30      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC Series 2014-11R                                                            | CUSIP: 12649FDY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    443205 | PA      | $400912.77    | 0.07%             | 2036-01-27      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXS8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4530000 | PA      | $4080364.39   | 0.71%             | 2026-02-12      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                                              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377REK6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    940000 | PA      | $781545.70    | 0.14%             | 2027-08-20      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                | UBS Group AG                                                                    | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    650000 | PA      | $558873.89    | 0.10%             | 2027-08-10      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                    | JP Morgan Mortgage Trust 2019-LTV3                                              | CUSIP: 46651HBT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313335 | PA      | $269047.01    | 0.05%             | 2050-03-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| NATIONAL SECS CLEARING                                                      | National Securities Clearing Corp                                               | CUSIP: 637639AB1<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $463243.97    | 0.08%             | 2025-04-23      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                | GS Mortgage Securities Corportation Trust 2021-IP                               | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1110000 | PA      | $1035724.68   | 0.18%             | 2036-10-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BrightSpire Capital, Inc                                                    | BRSP 2021-FL1 Ltd                                                               | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1211472.69   | 0.21%             | 2038-08-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Western Asset Premier Institutional Government Reserves                     | Western Asset Premier Institutional Government Reserves                         | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |  24984804 | NS      | $24984803.92  | 4.32%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF MONTREAL                                                            | Bank of Montreal                                                                | CUSIP: 06367WB85<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    650000 | PA      | $607931.19    | 0.11%             | 2025-05-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                                              | Golub Capital Partners Clo 36m Ltd                                              | CUSIP: 38175BAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1480000 | PA      | $1430191.54   | 0.25%             | 2031-02-05      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| MAGNOLIA FINANCE X DAC 2019-1                                               | Credit Suisse European Mortgage Capital Ltd                                     | CUSIP: 55960WAB7<br>LEI: 213800FNSN9L4EI3LC40 | Long             | ABS-O            | CORP              | IE        |    940000 | PA      | $919674.74    | 0.16%             | 2024-08-09      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                      | SLM Student Loan Trust 2013-1                                                   | CUSIP: 78447MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    821755 | PA      | $794040.06    | 0.14%             | 2055-05-26      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                                              | BRAVO Residential Funding Trust 2021-NQM2                                       | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    463322 | PA      | $435526.84    | 0.08%             | 2060-03-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Grifols Worldwide Operations USA Inc                                        | Grifols Worldwide Operations USA Inc                                            | CUSIP: 39843PAG8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    468636 | PA      | $454968.09    | 0.08%             | 2027-11-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                                 | SREIT Trust 2021-MFP                                                            | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2110000 | PA      | $2019673.01   | 0.35%             | 2038-11-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                    | EQT Corp                                                                        | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38183.87     | 0.01%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                               | New Residential Mortgage Loan Trust 2017-3                                      | CUSIP: 64828MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310708 | PA      | $295899.62    | 0.05%             | 2057-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                                                  | 3M Co                                                                           | CUSIP: 88579YBB6<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    510000 | PA      | $501481.75    | 0.09%             | 2024-02-14      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                   | Nelnet Student Loan Trust 2021-A                                                | CUSIP: 64035DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1550000 | PA      | $1440130.11   | 0.25%             | 2062-04-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2021-RPL3 Trust                                                            | CUSIP: 12661GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    547759 | PA      | $469503.21    | 0.08%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                                     | New York Mortgage Trust 2005-2                                                  | CUSIP: 649603AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98703 | PA      | $89287.67     | 0.02%             | 2035-08-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    500000 | PA      | $493124.09    | 0.09%             | 2024-01-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                    | Benchmark 2021-B29 Mortgage Trust                                               | CUSIP: 08163JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12417280 | PA      | $704229.89    | 0.12%             | 2054-09-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Hudson River Trading LLC                                                    | Hudson River Trading LLC                                                        | CUSIP: 44413EAF5<br>LEI: 549300SMOBUC8O5UOE10 | Long             | LON              | CORP              | US        |    545844 | PA      | $510022.83    | 0.09%             | 2028-03-20      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| KEY BANK NA                                                                 | KeyBank NA/Cleveland OH                                                         | CUSIP: 49327M3A0<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |   1720000 | PA      | $1711596.36   | 0.30%             | 2024-01-03      | Fixed         | 0.42%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                  | Navient Student Loan Trust 2016-6                                               | CUSIP: 63940LAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1010000 | PA      | $991321.06    | 0.17%             | 2066-03-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                              | Air Lease Corp                                                                  | CUSIP: 00914AAL6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    250000 | PA      | $235500.75    | 0.04%             | 2024-02-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Jazz Financing Lux Sarl                                                     | Jazz Financing Lux Sarl                                                         | CUSIP: 000000000<br>LEI: 635400WUEO2NSG5OIU34 | Long             | LON              | CORP              | LU        |    445363 | PA      | $442684.04    | 0.08%             | 2028-05-05      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6500000 | PA      | $6583535.14   | 1.14%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9MD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1267350 | PA      | $1197074.42   | 0.21%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    150000 | PA      | $145231.37    | 0.03%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O                                              | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528PAK2<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    670000 | PA      | $631349.78    | 0.11%             | 2030-11-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                    | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAL7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $240767.79    | 0.04%             | 2025-07-09      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                         | Sprint Capital Corp                                                             | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    480000 | PA      | $509236.80    | 0.09%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $86987.33     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Grippen Park CLO LTD                                                        | Grippen Park CLO Ltd                                                            | CUSIP: 39862EAA2<br>LEI: 549300P7KR0IARP7PG22 | Long             | ABS-CBDO         | CORP              | KY        |    454336 | PA      | $448939.20    | 0.08%             | 2030-01-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEB4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1670000 | PA      | $1574289.28   | 0.27%             | 2024-05-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust                                               | SFO Commercial Mortgage Trust 2021-555                                          | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    920000 | PA      | $849190.36    | 0.15%             | 2038-05-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                       | General Dynamics Corp                                                           | CUSIP: 369550BK3<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $982641.43    | 0.17%             | 2025-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Trust 2021-BXMF                                                              | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1930000 | PA      | $1834426.98   | 0.32%             | 2026-10-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T                                              | New Century Home Equity Loan Trust 2004-2                                       | CUSIP: 64352VGB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    414513 | PA      | $402580.93    | 0.07%             | 2034-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                  | Humana Inc                                                                      | CUSIP: 444859BA9<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.17%             | 2022-12-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GHE2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1797691.72   | 0.31%             | 2024-03-05      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       476 | NC      | $199792.64    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GM Financial Revolving Receiva                                              | GM Financial Revolving Receivables Trust 2021-1                                 | CUSIP: 36263HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $4782463.40   | 0.83%             | 2034-06-12      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -129 | NC      | $-806.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2019-AFC1 Trust                                                            | CUSIP: 12596XAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243693 | PA      | $225366.81    | 0.04%             | 2049-07-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                              | Option One Mortgage Loan Trust 2007-FXD1                                        | CUSIP: 68402VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243915 | PA      | $198221.75    | 0.03%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $395459.01    | 0.07%             | 2025-01-10      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                         | Gilead Sciences Inc                                                             | CUSIP: 375558AW3<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    720000 | PA      | $708641.78    | 0.12%             | 2024-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                                                     | BDS 2021-FL8                                                                    | CUSIP: 05493JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1006512 | PA      | $969072.90    | 0.17%             | 2036-01-18      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2020-AFC1 Trust                                                            | CUSIP: 12597MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    433043 | PA      | $399301.42    | 0.07%             | 2050-02-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYE8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2875759.23   | 0.50%             | 2024-09-10      | Fixed         | 0.66%                 | No            |                  2 | On Loan: No      |
| Great Outdoors Group LLC                                                    | Great Outdoors Group LLC                                                        | CUSIP: 07014QAN1<br>LEI: 549300IYLDI2E8I2AU46 | Long             | LON              | CORP              | US        |    492519 | PA      | $474788.13    | 0.08%             | 2028-03-06      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Fortress Credit BSL Limited                                                 | Fortress Credit Bsl X Ltd                                                       | CUSIP: 34962HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2480000 | PA      | $2417368.62   | 0.42%             | 2033-04-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                   | Apple Inc                                                                       | CUSIP: 037833EH9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   2560000 | PA      | $2199794.56   | 0.38%             | 2028-08-05      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                                                                    | BXMT 2020-FL2 LTD                                                               | CUSIP: 12434LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    745582 | PA      | $734191.84    | 0.13%             | 2038-02-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                                    | Neuberger Berman CLO XVII Ltd                                                   | CUSIP: 64129UBU8<br>LEI: 549300XVEYZNG956Y145 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $727162.46    | 0.13%             | 2029-04-22      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Cerberus                                                                    | CERBERUS LOAN FUNDING XXVII LP                                                  | CUSIP: 15673FAA8<br>LEI: 5493006EIGNTETP6G413 | Long             | ABS-CBDO         | CORP              | KY        |    530000 | PA      | $523403.50    | 0.09%             | 2032-01-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                                                    | Canadian Pacific Railway Co                                                     | CUSIP: 13645RBE3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   1400000 | PA      | $1251829.00   | 0.22%             | 2026-12-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| American Money Management Corp                                              | AMMC CLO 23 Ltd                                                                 | CUSIP: 00177JAS4<br>LEI: 549300ICO4ZE2FVC2Y46 | Long             | ABS-CBDO         | CORP              | KY        |   3120000 | PA      | $3043344.71   | 0.53%             | 2031-10-17      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                        | Prime Mortgage Trust 2006-DR1                                                   | CUSIP: 74159UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245287 | PA      | $210103.08    | 0.04%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCS8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1387090.66   | 0.24%             | 2025-10-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4832063 | PA      | $4580330.64   | 0.79%             | 2049-01-01      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                    | Toyota Motor Credit Corp                                                        | CUSIP: 89236THU2<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    200000 | PA      | $190638.87    | 0.03%             | 2024-01-11      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RMJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3290000 | PA      | $3124006.70   | 0.54%             | 2024-03-25      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| KCAP Senior Funding I LLC                                                   | Great Lakes Kcap F3c Senior LLC                                                 | CUSIP: 48669RAA9<br>LEI: 5493006EPGSPYDWRRN21 | Long             | ABS-CBDO         | CORP              | US        |   1490807 | PA      | $1487800.90   | 0.26%             | 2029-12-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| ABPCI Direct Lending Fund CLO                                               | ABPCI Direct Lending Fund CLO X LP                                              | CUSIP: 000848AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $443195.85    | 0.08%             | 2032-01-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 2 YEAR US TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -531 | NC      | $-245676.71   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| SLM Student Loan Trust                                                      | SLM Student Loan Trust 2003-10                                                  | CUSIP: 78442GJH0<br>LEI: 5493000NQN5E3MSIIG77 | Long             | ABS-O            | CORP              | US        |    786127 | PA      | $736780.69    | 0.13%             | 2068-12-17      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2990000 | PA      | $2896384.33   | 0.50%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                              | Wells Fargo Commercial Mortgage Trust 2015-NXS3                                 | CUSIP: 94989VAE9<br>LEI: 549300ZVNWG0TX42H716 | Long             | ABS-MBS          | CORP              | US        |     99112 | PA      | $95527.98     | 0.02%             | 2057-09-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR Remic Trust 2020-DNA2                                         | CUSIP: 35565KAH1<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |    538716 | PA      | $534999.43    | 0.09%             | 2050-02-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38375BKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67141 | PA      | $66520.35     | 0.01%             | 2061-02-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Tru                                              | Tharaldson Hotel Portfolio Trust 2018-THPT                                      | CUSIP: 88327HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291629 | PA      | $282937.53    | 0.05%             | 2034-11-11      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Nexstar Broadcasting Inc                                                    | Nexstar Media Inc                                                               | CUSIP: 65336RAW8<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |    542906 | PA      | $539288.01    | 0.09%             | 2026-09-18      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Connecticut Avenue Securities Trust 2022-R04                                    | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1150000 | PA      | $1115621.44   | 0.19%             | 2042-03-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                     | Shell International Finance BV                                                  | CUSIP: 822582CA8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |   1030000 | PA      | $1033226.51   | 0.18%             | 2023-11-13      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                | Barclays PLC                                                                    | CUSIP: 06738EBC8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1400000 | PA      | $1392778.38   | 0.24%             | 2024-05-16      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr                                              | GoodLeap Sustainable Home Solutions Trust 2021-5                                | CUSIP: 38237HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    871716 | PA      | $627954.15    | 0.11%             | 2048-10-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                      | SLM Student Loan Trust 2005-7                                                   | CUSIP: 78442GQJ8<br>LEI: 549300H0EHPP0GTD9V95 | Long             | ABS-O            | CORP              | US        |    150097 | PA      | $148894.87    | 0.03%             | 2029-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                               | New Residential Mortgage Loan Trust 2019-6                                      | CUSIP: 64828GAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    755989 | PA      | $692889.31    | 0.12%             | 2059-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2021-NQM3                                                                  | CUSIP: 12660LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    570015 | PA      | $452809.48    | 0.08%             | 2066-04-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                       | Republic Services Inc                                                           | CUSIP: 760759AU4<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    200000 | PA      | $191834.59    | 0.03%             | 2024-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F                                              | Ford Credit Auto Owner Trust 2020-REV2                                          | CUSIP: 34532JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $888841.20    | 0.15%             | 2033-04-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                                 | Workday Inc                                                                     | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |   2260000 | PA      | $2137743.79   | 0.37%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                                         | Midocean Credit Clo VII                                                         | CUSIP: 59801WAR7<br>LEI: 5493004MLF21SFT7F415 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $473786.71    | 0.08%             | 2029-07-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Rent-A-Center Inc                                                           | Rent-A-Center Inc/TX                                                            | CUSIP: 76009WAW0<br>LEI: 529900QUHE15UQNCCJ63 | Long             | LON              | CORP              | US        |    545844 | PA      | $526056.99    | 0.09%             | 2028-02-17      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| D.R. HORTON INC                                                             | DR Horton Inc                                                                   | CUSIP: 23331ABM0<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |    130000 | PA      | $124002.58    | 0.02%             | 2024-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LUKOIL CAPITAL DAC                                                          | Lukoil Capital DAC                                                              | CUSIP: 549875AA0<br>LEI: 984500BEC55D7EHC4M56 | Long             | DBT              | CORP              | IE        |   1720000 | PA      | $1221200.00   | 0.21%             | 2027-04-26      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                     | Dryden 75 CLO Ltd                                                               | CUSIP: 26252JAS7<br>LEI: 254900JFO9XUH2EREJ70 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $241061.40    | 0.04%             | 2034-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    426693 | PA      | $358706.15    | 0.06%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2019-AFC1 Trust                                                            | CUSIP: 12596XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243693 | PA      | $224662.10    | 0.04%             | 2049-07-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                    | OBX 2021-NQM3 Trust                                                             | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    974608 | PA      | $736209.81    | 0.13%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                     | Exxon Mobil Corp                                                                | CUSIP: 30231GBH4<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    190000 | PA      | $184157.24    | 0.03%             | 2025-03-19      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                   | Towd Point Mortgage Trust 2017-6                                                | CUSIP: 89175JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    960000 | PA      | $839988.10    | 0.15%             | 2057-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                              | WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust                   | CUSIP: 92922FJ25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    742919 | PA      | $702987.82    | 0.12%             | 2045-04-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                                 | Legacy Mortgage Asset Trust 2021-GS2                                            | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670988 | PA      | $606185.71    | 0.10%             | 2061-04-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                         | Delta Air Lines Inc                                                             | CUSIP: 247361ZZ4<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |    700000 | PA      | $724097.50    | 0.13%             | 2026-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                | Broadcom Inc                                                                    | CUSIP: 11135FBB6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1399429.99   | 0.24%             | 2025-11-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     61049 | PA      | $62687.32     | 0.01%             | 2024-11-25      | Floating      | 8.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XJHZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1736087 | PA      | $1645324.40   | 0.28%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                    | Benchmark 2021-B31 Mortgage Trust                                               | CUSIP: 08163MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $514360.06    | 0.09%             | 2054-12-15      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   2130000 | PA      | $2041072.14   | 0.35%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                                           | Wellfleet CLO 2020-2 Ltd                                                        | CUSIP: 94950AAN0<br>LEI: 254900T94H3OWOGPUI54 | Long             | ABS-CBDO         | CORP              | KY        |   1810000 | PA      | $1751175.00   | 0.30%             | 2034-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                                         | PayPal Holdings Inc                                                             | CUSIP: 70450YAC7<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    490000 | PA      | $469701.77    | 0.08%             | 2024-10-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                        | Charter Communications Operating LLC                                            | CUSIP: 16117LBW8<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |    765441 | PA      | $754675.01    | 0.13%             | 2025-04-30      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AK6<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1655000 | PA      | $1652842.74   | 0.29%             | 2024-01-12      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2021-B                                         | CUSIP: 78449YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    615389 | PA      | $549932.96    | 0.10%             | 2051-07-17      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GJC4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4050000 | PA      | $3976061.50   | 0.69%             | 2024-05-19      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                                                                | ELP Commercial Mortgage Trust 2021-ELP                                          | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2720000 | PA      | $2599328.83   | 0.45%             | 2038-11-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                                 | Legacy Mortgage Asset Trust 2020-RPL1                                           | CUSIP: 52474HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1046042 | PA      | $977610.16    | 0.17%             | 2059-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967NL1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1188716.48   | 0.21%             | 2026-03-17      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities                                               | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4       | CUSIP: 00764MGH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    553488 | PA      | $510883.87    | 0.09%             | 2035-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                                  | Morgan Stanley Capital I Inc Trust 2006-NC2                                     | CUSIP: 617451EF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1249936 | PA      | $1226489.91   | 0.21%             | 2036-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                                                 | Swedbank AB                                                                     | CUSIP: 87020PAQ0<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |   1960000 | PA      | $1877332.92   | 0.32%             | 2025-04-04      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                                              | CWABS Revolving Home Equity Loan Trust Series 2004-B                            | CUSIP: 1266715W2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153474 | PA      | $151958.52    | 0.03%             | 2029-02-15      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| TCI-Flatiron CLO Ltd                                                        | TCI-Flatiron CLO 2016-1 Ltd                                                     | CUSIP: 87230AAW6<br>LEI: 549300EEOTVLW827QY91 | Long             | ABS-CBDO         | CORP              | KY        |   1210000 | PA      | $1194287.36   | 0.21%             | 2032-01-17      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust                                              | CAMB Commercial Mortgage Trust 2019-LIFE                                        | CUSIP: 12482HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    990000 | PA      | $970478.88    | 0.17%             | 2037-12-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA - CP                                                     | BANCO SANTANDER SA - CP                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9500000 | PA      | $9407063.12   | 1.63%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                                             | AREIT 2022-CRE6 Trust                                                           | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1483071 | PA      | $1421158.28   | 0.25%             | 2037-01-16      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                         | United Airlines Inc                                                             | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |   2670000 | PA      | $2488507.28   | 0.43%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O                                              | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528QHQ0<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $761477.86    | 0.13%             | 2027-09-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                                                     | Becton Dickinson and Co                                                         | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    186000 | PA      | $181747.88    | 0.03%             | 2024-06-06      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                             | Sands China Ltd                                                                 | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    330000 | PA      | $275823.90    | 0.05%             | 2027-03-08      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                                        | BlueMountain CLO 2015-3 Ltd                                                     | CUSIP: 09628JAL5<br>LEI: 5493009UJ1T6R11V4458 | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $637327.24    | 0.11%             | 2031-04-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                                         | LCM Loan Income Fund I Income Note Issuer Ltd                                   | CUSIP: 50200JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    920000 | PA      | $901959.26    | 0.16%             | 2031-07-16      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                               | New Residential Mortgage Loan Trust 2021-NQM3                                   | CUSIP: 64831TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    893718 | PA      | $745617.70    | 0.13%             | 2056-11-27      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XAD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    176543 | PA      | $178222.17    | 0.03%             | 2024-01-25      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                              | HarborView Mortgage Loan Trust 2005-9                                           | CUSIP: 41161PSL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244656 | PA      | $218192.66    | 0.04%             | 2035-06-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                                    | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MCC2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $189987.11    | 0.03%             | 2024-01-12      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage                                              | Deephaven Residential Mortgage Trust 2020-2                                     | CUSIP: 24380NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191655 | PA      | $189552.69    | 0.03%             | 2065-05-25      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AH0<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   2880000 | PA      | $2661495.38   | 0.46%             | 2025-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2022-NQM1                                                                  | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1801530 | PA      | $1466420.50   | 0.25%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                                    | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MBE9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1200000 | PA      | $1200402.62   | 0.21%             | 2023-10-16      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Cerberus                                                                    | Cerberus Loan Funding XXVIII LP                                                 | CUSIP: 15673EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    369859 | PA      | $368315.15    | 0.06%             | 2031-10-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                 | Asurion LLC                                                                     | CUSIP: 04649VAW0<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     48237 | PA      | $46337.48     | 0.01%             | 2024-11-03      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                                         | Midocean Credit CLO IX                                                          | CUSIP: 59802MAE7<br>LEI: 549300XXQYQPW7OQNX23 | Long             | ABS-CBDO         | CORP              | KY        |   2020000 | PA      | $1952105.68   | 0.34%             | 2031-07-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650CL2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   3160000 | PA      | $3107572.63   | 0.54%             | 2025-07-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Avenue of Americas                                                          | AOA 2021-1177 Mortgage Trust                                                    | CUSIP: 00192NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1890000 | PA      | $1751260.77   | 0.30%             | 2038-10-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2016-B                                         | CUSIP: 78449GAC3<br>LEI: 5493008SQ2WS8HE83M61 | Long             | ABS-O            | CORP              | US        |    111963 | PA      | $110784.35    | 0.02%             | 2032-02-17      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| 1011778 BC Unlimited Liability Company                                      | 1011778 BC ULC                                                                  | CUSIP: 000000000<br>LEI: 549300RHSHNRWI5LLA86 | Long             | LON              | CORP              | CA        |     58842 | PA      | $57869.64     | 0.01%             | 2026-11-19      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1147512 | PA      | $1133253.74   | 0.20%             | 2042-04-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                                    | Petrobras Global Finance BV                                                     | CUSIP: 71647NAM1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |   1400000 | PA      | $1410941.00   | 0.24%             | 2024-03-17      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                  | Navient Student Loan Trust 2015-1                                               | CUSIP: 63939FAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    884878 | PA      | $841675.92    | 0.15%             | 2040-04-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN BRAND INTELLECT                                                    | Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd            | CUSIP: 41984LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     40000 | PA      | $37959.40     | 0.01%             | 2026-01-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PFP III                                                                     | PFP 2021-8 Ltd                                                                  | CUSIP: 69357XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1240840 | PA      | $1191844.54   | 0.21%             | 2037-08-09      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| XPO Logistics Inc                                                           | XPO Logistics Inc                                                               | CUSIP: 98379EAE6<br>LEI: 54930096DB9LCLPN7H13 | Long             | LON              | CORP              | US        |    500000 | PA      | $497500.00    | 0.09%             | 2025-02-24      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                     | MPLX LP                                                                         | CUSIP: 55336VAJ9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49363.72     | 0.01%             | 2025-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCH7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2290000 | PA      | $2130652.23   | 0.37%             | 2025-06-01      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| SILVER ROCK CLO LTD                                                         | Silver Rock CLO I Ltd                                                           | CUSIP: 82811RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    420000 | PA      | $413897.72    | 0.07%             | 2031-10-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 2021-1, Ltd.                                                     | CQS US CLO 2021-1 Ltd                                                           | CUSIP: 12659UAA0<br>LEI: 549300GF7PVRIKZNMY06 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $967389.41    | 0.17%             | 2035-01-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38376RRL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1737505 | PA      | $1708191.63   | 0.30%             | 2066-03-20      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan                                                   | NovaStar Mortgage Funding Trust Series 2003-3                                   | CUSIP: 66987XCQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1032639 | PA      | $988949.79    | 0.17%             | 2033-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29273VAL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26218.50     | 0.00%             | N/A             | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ABPCI Direct Lending Fund CLO                                               | ABPCI Direct Lending Fund IX LLC                                                | CUSIP: 000806AJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2310000 | PA      | $2252250.00   | 0.39%             | 2031-11-18      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage                                              | Deephaven Residential Mortgage Trust 2022-1                                     | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1758779 | PA      | $1535607.00   | 0.27%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Access Group Inc                                                            | AccessLex Institute                                                             | CUSIP: 00432CDJ7<br>LEI: 635400C9RW3TYNTIJP57 | Long             | ABS-O            | CORP              | US        |    877731 | PA      | $847504.16    | 0.15%             | 2036-05-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                                              | MF1 2021-FL7 Ltd                                                                | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1390000 | PA      | $1329720.70   | 0.23%             | 2036-10-16      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| GEORGIA-PACIFIC LLC                                                         | Georgia-Pacific LLC                                                             | CUSIP: 37331NAN1<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1098577.24   | 0.19%             | 2026-05-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967MR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1042092.21   | 0.18%             | 2024-05-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL INDU                                                    | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   3080000 | PA      | $2769749.94   | 0.48%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                            | NTT Finance Corp                                                                | CUSIP: 62954WAB1<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   1560000 | PA      | $1477051.26   | 0.26%             | 2024-03-01      | Fixed         | 0.58%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                              | Air Lease Corp                                                                  | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2380000 | PA      | $2082077.60   | 0.36%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2021-RPL4 Trust                                                            | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    741902 | PA      | $675683.48    | 0.12%             | 2060-12-27      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| Univision Communications Inc                                                | Univision Communications Inc                                                    | CUSIP: 914908BC1<br>LEI: 549300YQDE2JSGTL8V47 | Long             | LON              | CORP              | US        |    571386 | PA      | $562814.84    | 0.10%             | 2026-03-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137ACDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6943 | PA      | $6936.40      | 0.00%             | 2040-11-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                  | Humana Inc                                                                      | CUSIP: 444859BM3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    300000 | PA      | $296887.65    | 0.05%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-589922.10   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                              | WaMu Mortgage Pass-Through Certificates Series 2005-AR8                         | CUSIP: 92922FS25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    344841 | PA      | $312806.62    | 0.05%             | 2045-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                                    | Fox Corp                                                                        | CUSIP: 35137LAG0<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1233694.29   | 0.21%             | 2024-01-25      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                              | Morgan Stanley                                                                  | CUSIP: 61744YAG3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    450000 | PA      | $450506.36    | 0.08%             | 2024-05-08      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execut                                              | Capital One Multi-Asset Execution Trust                                         | CUSIP: 14041NFP1<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $897223.59    | 0.16%             | 2027-07-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                                                     | GSK Consumer Healthcare Capital UK PLC                                          | CUSIP: 36264NAB0<br>LEI: 5493004B26DRJNN0OV17 | Long             | DBT              | CORP              | GB        |   1130000 | PA      | $1083322.37   | 0.19%             | 2025-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                                    | Mill City Mortgage Trust 2015-2                                                 | CUSIP: 599808BG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    960000 | PA      | $925155.55    | 0.16%             | 2057-09-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SAU7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1590126.89   | 0.28%             | 2026-09-16      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                                               | Commonbond Student Loan Trust 2021-A-GS                                         | CUSIP: 20268WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    499009 | PA      | $400838.78    | 0.07%             | 2052-03-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                                 | Hertz Vehicle Financing LLC                                                     | CUSIP: 42806MAA7<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $367055.56    | 0.06%             | 2025-12-26      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | CBOT US Long Bond                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -13 | NC      | $1289.02      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Structured Asset Securities Co                                              | Structured Asset Securities Corp                                                | CUSIP: 86359DME4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334115 | PA      | $296942.66    | 0.05%             | 2035-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    850000 | PA      | $842606.11    | 0.15%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    615735 | PA      | $616047.54    | 0.11%             | 2024-05-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                                             | Chevron USA Inc                                                                 | CUSIP: 166756AE6<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    170000 | PA      | $154158.89    | 0.03%             | 2025-08-12      | Fixed         | 0.69%                 | No            |                  2 | On Loan: No      |
| Whitehorse Ltd                                                              | Whitehorse XII Ltd                                                              | CUSIP: 96525YAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $292727.29    | 0.05%             | 2031-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XX                                              | Octagon Investment Partners XXI Ltd                                             | CUSIP: 67590QBK2<br>LEI: 549300XIS9D4AHDX5A35 | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $255170.04    | 0.04%             | 2031-02-14      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Genesee & Wyoming Inc                                                       | Genesee & Wyoming Inc                                                           | CUSIP: 55316HAB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |    824867 | PA      | $818123.68    | 0.14%             | 2026-12-30      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                              | Morgan Stanley                                                                  | CUSIP: 61747YEQ4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2080000 | PA      | $2027914.45   | 0.35%             | 2025-04-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ALLSTATE CORP                                                               | Allstate Corp/The                                                               | CUSIP: 020002BH3<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |    200000 | PA      | $177019.53    | 0.03%             | 2025-12-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                            | CIFC Funding 2017-I Ltd                                                         | CUSIP: 12551AAL9<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |    234349 | PA      | $231949.23    | 0.04%             | 2029-04-23      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                  | Navient Student Loan Trust 2021-1                                               | CUSIP: 63942NAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    693714 | PA      | $671449.76    | 0.12%             | 2069-12-26      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Greywolf CLO Ltd                                                            | GREYWOLF CLO VI Ltd                                                             | CUSIP: 39809GAC9<br>LEI: 5493006V5AX99BBCEZ73 | Long             | ABS-CBDO         | CORP              | KY        |   1017000 | PA      | $980737.85    | 0.17%             | 2031-04-26      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVM3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1295314.61   | 0.22%             | 2024-03-03      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Commercial Mortgage Trust 2021-ACNT                                          | CUSIP: 05609QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2510000 | PA      | $2411124.07   | 0.42%             | 2038-11-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                               | New Residential Mortgage Loan Trust 2016-4                                      | CUSIP: 64829LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101526 | PA      | $93327.63     | 0.02%             | 2056-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta                                              | Greystone CRE Notes 2021-FL3 Ltd                                                | CUSIP: 39809PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1280000 | PA      | $1225001.22   | 0.21%             | 2039-07-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                              | HarborView Mortgage Loan Trust 2005-9                                           | CUSIP: 41161PSM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201068 | PA      | $178302.21    | 0.03%             | 2035-06-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711X3H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    297369 | PA      | $293139.46    | 0.05%             | 2031-03-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                                              | Ellington Financial Mortgage Trust 2021-2                                       | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691179 | PA      | $540839.96    | 0.09%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| EBAY INC                                                                    | eBay Inc                                                                        | CUSIP: 278642AX1<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |    790000 | PA      | $705011.62    | 0.12%             | 2026-05-10      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                | Centene Corp                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    110000 | PA      | $102424.30    | 0.02%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                 | Walmart Inc                                                                     | CUSIP: 931142ER0<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    770000 | PA      | $684411.55    | 0.12%             | 2026-09-17      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                  | Navient Private Education Loan Trust 2015-A                                     | CUSIP: 63939EAC7<br>LEI: 549300YZ4ZMNDBNO4U12 | Long             | ABS-O            | CORP              | US        |    162463 | PA      | $162454.21    | 0.03%             | 2028-12-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                                | Voya CLO 2018-4 Ltd                                                             | CUSIP: 92917WBG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $343507.20    | 0.06%             | 2032-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAF8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1666214.75   | 0.29%             | 2025-06-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4370000 | PA      | $4291472.98   | 0.74%             | 2024-06-02      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       123 | NC      | $-749458.30   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Grippen Park CLO LTD                                                        | Grippen Park CLO Ltd                                                            | CUSIP: 39862EAC8<br>LEI: 549300P7KR0IARP7PG22 | Long             | ABS-CBDO         | CORP              | KY        |    820000 | PA      | $792394.11    | 0.14%             | 2030-01-20      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                                              | Golub Capital Partners Clo 47M Ltd                                              | CUSIP: 38176VAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1220000 | PA      | $1176272.17   | 0.20%             | 2032-05-05      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                             | Danske Bank A/S                                                                 | CUSIP: 23636AAW1<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    500000 | PA      | $464064.66    | 0.08%             | 2024-06-22      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                               | New Residential Mortgage Loan Trust 2019-RPL3                                   | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    720102 | PA      | $669212.68    | 0.12%             | 2059-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    568000 | PA      | $446415.45    | 0.08%             | 2030-10-30      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GHK8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1000170.62   | 0.17%             | 2024-07-23      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| KREF 2021-FL2 Ltd                                                           | KREF 2021-FL2 Ltd                                                               | CUSIP: 48275RAA5<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1253850.46   | 0.22%             | 2039-02-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                                               | ECMC Group Student Loan Trust 2016-1                                            | CUSIP: 26827XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1810556 | PA      | $1749006.75   | 0.30%             | 2066-07-26      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                 | Oracle Corp                                                                     | CUSIP: 68389XAU9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2148431.34   | 0.37%             | 2024-07-08      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBH5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   3110000 | PA      | $3009195.54   | 0.52%             | 2026-02-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                    | OBX 2021-NQM2 Trust                                                             | CUSIP: 670857AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    746777 | PA      | $569834.79    | 0.10%             | 2061-05-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                                      | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RAN7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    450000 | PA      | $418179.23    | 0.07%             | 2025-04-24      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                                             | Nordea Bank Abp                                                                 | CUSIP: 65559CAC5<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   2680000 | PA      | $2506938.49   | 0.43%             | 2024-05-24      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                   | CIM Trust 2021-R6                                                               | CUSIP: 12567RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1009673 | PA      | $891471.69    | 0.15%             | 2061-07-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                    | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    800000 | PA      | $678857.45    | 0.12%             | 2027-06-14      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                                     | John Deere Capital Corp                                                         | CUSIP: 24422EVR7<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1015291.11   | 0.18%             | 2026-06-17      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CR4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    730000 | PA      | $669614.40    | 0.12%             | 2026-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DN5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    510000 | PA      | $460007.10    | 0.08%             | 2025-11-13      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | Credit Suisse Group AG                                                          | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2390000 | PA      | $2014127.64   | 0.35%             | 2026-06-05      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                   | Nelnet Student Loan Trust 2021-A                                                | CUSIP: 64035DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    630090 | PA      | $555616.26    | 0.10%             | 2062-04-20      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                                     | Honeywell International Inc                                                     | CUSIP: 438516CE4<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |   2530000 | PA      | $2207382.85   | 0.38%             | 2027-03-01      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| YAMANA GOLD INC                                                             | Yamana Gold Inc                                                                 | CUSIP: 98462YAD2<br>LEI: 54930002VY22NXG01418 | Long             | DBT              | CORP              | CA        |    620000 | PA      | $575633.20    | 0.10%             | 2027-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XDK9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1387002.37   | 0.24%             | 2026-06-10      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                                              | PMT Credit Risk Transfer Trust 2019-3R                                          | CUSIP: 69349MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151088 | PA      | $144997.83    | 0.03%             | 2022-10-27      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C                                              | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-4              | CUSIP: 16678RCD7<br>LEI: 549300BO65N44G8TZI31 | Long             | ABS-MBS          | CORP              | US        |      5588 | PA      | $5050.94      | 0.00%             | 2035-10-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                                              | Golub Capital Partners Clo 49M Ltd                                              | CUSIP: 38178GAA8<br>LEI: 254900NUVOJAHAT10W61 | Long             | ABS-CBDO         | CORP              | KY        |    690000 | PA      | $672794.86    | 0.12%             | 2033-08-26      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2021-DNA3                                         | CUSIP: 35564KEL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $802746.72    | 0.14%             | 2033-10-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $357986.32    | 0.06%             | 2033-08-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                              | WaMu Mortgage Pass-Through Certificates Series 2005-AR8                         | CUSIP: 92922FR75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075931 | PA      | $977329.77    | 0.17%             | 2045-07-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6960000 | PA      | $6632662.50   | 1.15%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SBH5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $948247.29    | 0.16%             | 2025-05-06      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    610000 | PA      | $577947.55    | 0.10%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                        | Charter Communications Operating LLC                                            | CUSIP: 16117LBX6<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |    496164 | PA      | $484734.56    | 0.08%             | 2027-02-01      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967MX6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2780000 | PA      | $2594284.13   | 0.45%             | 2025-05-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29278NAH6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    730000 | PA      | $721177.25    | 0.12%             | 2024-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Pilot Travel Centers LLC                                                    | Pilot Travel Centers LLC                                                        | CUSIP: 72165NBH1<br>LEI: 549300115UILLXNE1Z49 | Long             | LON              | CORP              | US        |    545865 | PA      | $539494.41    | 0.09%             | 2028-08-04      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| TORONTO DOMINION BAN CP                                                     | TORONTO DOMINION BAN CP                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9375000 | PA      | $9285909.38   | 1.61%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORPORATION                                                    | Vertiv Group Corp                                                               | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |    110000 | PA      | $94729.80     | 0.02%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                              | Long Beach Mortgage Loan Trust 2004-5                                           | CUSIP: 542514HB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258324 | PA      | $253243.83    | 0.04%             | 2034-09-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                   | Towd Point Mortgage Trust 2019-HY2                                              | CUSIP: 89177HAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1260000 | PA      | $1184908.03   | 0.21%             | 2058-05-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        10 | NC      | $2187.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MMAF Equipment Finance LLC                                                  | MMAF Equipment Finance LLC 2019-A                                               | CUSIP: 60700FAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $867838.68    | 0.15%             | 2041-11-12      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        79 | NC      | $49097.74     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEG3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    990000 | PA      | $960513.64    | 0.17%             | 2027-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                              | Morgan Stanley                                                                  | CUSIP: 6174468V4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   8320000 | PA      | $7300452.47   | 1.26%             | 2026-12-10      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                                     | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2020000 | PA      | $2173185.31   | 0.38%             | 2026-02-01      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                    | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    550000 | PA      | $507475.85    | 0.09%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1120000 | PA      | $985347.31    | 0.17%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                                         | Midocean Credit Clo VIII                                                        | CUSIP: 59801MAL2<br>LEI: 549300T32RO3I7BJ4V26 | Long             | ABS-CBDO         | CORP              | KY        |   1670000 | PA      | $1639350.52   | 0.28%             | 2031-02-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                        | Glencore Funding LLC                                                            | CUSIP: 378272AX6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1630000 | PA      | $1477015.34   | 0.26%             | 2025-09-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| USAA CAPITAL CORP                                                           | USAA Capital Corp                                                               | CUSIP: 90327QD71<br>LEI: 5493007XLF4LU3U2W757 | Long             | DBT              | CORP              | US        |    750000 | PA      | $707011.36    | 0.12%             | 2024-05-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 48129AAA0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1674755.07   | 0.29%             | 2025-01-10      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                    | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    560000 | PA      | $519064.93    | 0.09%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                                              | RAMP Series 2004-SL4 Trust                                                      | CUSIP: 76112BGP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6758 | PA      | $2991.95      | 0.00%             | 2032-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                                    | Microchip Technology Inc                                                        | CUSIP: 595017BC7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1526418.58   | 0.26%             | 2024-09-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GHC6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1817892.53   | 0.31%             | 2023-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                           | HSBC Holdings PLC                                                               | CUSIP: 404280BR9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1750000 | PA      | $1744756.74   | 0.30%             | 2024-05-18      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2740000 | PA      | $2546766.57   | 0.44%             | 2026-04-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                                              | Merrill Lynch Mortgage Investors Trust Series 2004-WMC5                         | CUSIP: 59020UMF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    428613 | PA      | $410351.90    | 0.07%             | 2035-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                      | SLM Student Loan Trust 2006-2                                                   | CUSIP: 78442GRX6<br>LEI: 5493007758ACJK074H95 | Long             | ABS-O            | CORP              | US        |    761549 | PA      | $717976.11    | 0.12%             | 2041-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                  | Cigna Corp                                                                      | CUSIP: 125523AC4<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   2585000 | PA      | $2590858.46   | 0.45%             | 2023-07-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC Series 2015-12R                                                            | CUSIP: 12651DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71381 | PA      | $71213.98     | 0.01%             | 2037-11-30      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650DF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    250000 | PA      | $235148.22    | 0.04%             | 2026-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Small Business Administration                                               | SBA Small Business Investment Cos                                               | CUSIP: 831641FH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     36569 | PA      | $34535.35     | 0.01%             | 2027-03-10      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| CCG Receivables Trust                                                       | CCG Receivables Trust 2021-2                                                    | CUSIP: 12511EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    851333 | PA      | $811059.37    | 0.14%             | 2029-03-14      | Fixed         | 0.54%                 | No            |                  2 | On Loan: No      |
| Hildene Community Funding CLO                                               | Hildene Community Funding CDO Ltd                                               | CUSIP: 43133KAC9<br>LEI: 549300845E8YWIPN4S43 | Long             | ABS-CBDO         | CORP              | KY        |    530000 | PA      | $466135.00    | 0.08%             | 2035-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan                                                   | NovaStar Mortgage Funding Trust Series 2003-1                                   | CUSIP: 66987XCF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147439 | PA      | $133013.30    | 0.02%             | 2033-05-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 47                                              | Octagon Investment Partners 47 Ltd                                              | CUSIP: 67576XAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $729011.14    | 0.13%             | 2034-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                                                  | 3M Co                                                                           | CUSIP: 88579YBH3<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    400000 | PA      | $380044.09    | 0.07%             | 2025-02-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                                             | AREIT 2021-CRE5 Trust                                                           | CUSIP: 04002PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    777524 | PA      | $747433.76    | 0.13%             | 2038-11-17      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2020-TMIC                                                                  | CUSIP: 126390AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310000 | PA      | $308331.70    | 0.05%             | 2035-12-15      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Parliament Funding II Ltd                                                   | Parliament Funding II ltd                                                       | CUSIP: 70163QAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1620000 | PA      | $1600175.83   | 0.28%             | 2031-10-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                                                           | TSMC Arizona Corp                                                               | CUSIP: 872898AA9<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $969007.86    | 0.17%             | 2026-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2660000 | PA      | $2257051.55   | 0.39%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                      | SLM Private Credit Student Loan Trust 2006-B                                    | CUSIP: 78443CCU6<br>LEI: 549300MJYMBTZU2FTV38 | Long             | ABS-O            | CORP              | US        |   1363321 | PA      | $1286096.96   | 0.22%             | 2039-12-15      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Mortgage Repurchase Agreement                                               | Mortgage Repurchase Agreement Financing Trust II Series 2022-1                  | CUSIP: 61916TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    890000 | PA      | $892006.06    | 0.15%             | 2025-03-30      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                               | Ballyrock CLO 2019-2 Ltd                                                        | CUSIP: 05875MAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    540000 | PA      | $526127.56    | 0.09%             | 2030-11-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958254AE4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    190000 | PA      | $182260.35    | 0.03%             | 2025-06-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-24

**Name of Applicant:** Legg Mason Partners Income Trust

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer