# EDGAR Filing Document

**Accession Number:** 0000809559
**File Stem:** 0001752724-25-191777
**Filing Date:** 2025-8
**Character Count:** 298477
**Document Hash:** 135457d2895b1464f29da0ecaa82376f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-191777.hdr.sgml**: 20250819

**ACCESSION NUMBER**: 0001752724-25-191777

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250819

**DATE AS OF CHANGE**: 20250819

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TCW STRATEGIC INCOME FUND INC
- **CENTRAL INDEX KEY:** 0000809559

**ORGANIZATION NAME:**
- **EIN:** 930939398
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04980
- **FILM NUMBER:** 251229836

**BUSINESS ADDRESS:**
- **STREET 1:** 865 S FIGUEROA ST STE 1800
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90017
- **BUSINESS PHONE:** 2132440000

**MAIL ADDRESS:**
- **STREET 1:** 865 S. FIGUEROA STREET,
- **STREET 2:** SUITE 1800
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90017

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TCW CONVERTIBLE SECURITIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** TCW STRATEGIC INCOME FUND INC

- **b. Investment Company Act file number:** 811-04980

- **c. CIK number of Registrant:** 0000809559

- **d. LEI of Registrant:** 54930062BZFVP7F6WJ47

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

  - **Street Address 1:** 515 South Flower Street

  - **City:** LOS ANGELES

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90071

  - **Telephone number:** 213-244-0000

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

- **a. Name of Series:** TCW STRATEGIC INCOME FUND INC

- **c. LEI of Series:** 54930062BZFVP7F6WJ47

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $286230337.24

**Total Liabilities:** $40360443.36

**Net Assets:** $245869893.88

**Delayed Delivery Securities:** $2353048.95

**Cash Not Reported:** $1676663.44

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -285.26000000 | **1-Year:** -4742.03000000 | **5-Year:** -12150.65000000 | **10-Year:** -10306.48000000 | **30-Year:** -1698.38000000

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

- **3-Month:** -474.81000000 | **1-Year:** -7145.40000000 | **5-Year:** -12825.68000000 | **10-Year:** -10270.48000000 | **30-Year:** -2976.91000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 0.62%                | 0.82%                | 0.24%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-50922.54               | $-611999.55                                |
| Month 2  | $-55412.91               | $-314188.99                                |
| Month 3  | $240928.72               | $2454348.70                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| JANE STREET GRP/JSG FIN                                          | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    315000 | PA      | $325202.85    | 0.13%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR6                   | CUSIP: 25150RAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244281 | PA      | $211563.11    | 0.09%             | 2037-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                         | Bear Stearns ALT-A Trust 2005-3                                                 | CUSIP: 07386HSN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134583 | PA      | $131539.65    | 0.05%             | 2035-04-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    425000 | PA      | $415237.75    | 0.17%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                                     | British American Tobacco PLC                                                    | CUSIP: 110448107<br>LEI: 213800FKA5MF17RJKT63 | Long             | EC               | CORP              | GB        |     15706 | NS      | $743364.98    | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Greenpoint Manufactured Housing                                  | Greenpoint Manufactured Housing                                                 | CUSIP: 395383AN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    343808 | PA      | $198904.48    | 0.08%             | 2030-03-20      | Variable      | 8.14%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO                                          | Allied Universal Holdco LLC                                                     | CUSIP: 019576AD9<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |    125000 | PA      | $130771.25    | 0.05%             | 2031-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Farmers Exchange Capital                                         | Farmers Exchange Capital                                                        | CUSIP: 309588AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $525535.00    | 0.21%             | 2028-07-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                               | Wells Fargo Alternative Loan 2007-PA2 Trust                                     | CUSIP: 94985FAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1095376 | PA      | $114250.48    | 0.05%             | 2037-06-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon                                          | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              |  | XX        |         1 | NC      | $4077.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARDAGH PKG FIN/HLDGS USA                                         | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc                          | CUSIP: 03969AAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     85000 | PA      | $79887.25     | 0.03%             | 2026-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                              | Spectrum Brands Inc                                                             | CUSIP: 84762LAX3<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |    435000 | PA      | $352010.70    | 0.14%             | 2031-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| EVERI HOLDINGS INC                                               | Everi Holdings Inc                                                              | CUSIP: 30034TAA1<br>LEI: 5299006DK5S7BG10K532 | Long             | DBT              | CORP              | US        |    275000 | PA      | $278047.00    | 0.11%             | 2029-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    650000 | PA      | $677903.01    | 0.28%             | 2041-12-25      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                      | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3950000 | PA      | $3955451.00   | 1.61%             | 2054-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                                             | CHNGE Mortgage Trust 2023-1                                                     | CUSIP: 12547QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $466455.18    | 0.19%             | 2058-03-25      | Variable      | 8.17%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                     | Hudson Yards 2019-55HY Mortgage Trust                                           | CUSIP: 44421MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $127082.21    | 0.05%             | 2041-12-10      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                   | Carvana Auto Receivables Trust 2023-P2                                          | CUSIP: 14686TAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2000 | PA      | $251083.09    | 0.10%             | 2030-06-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4600000 | PA      | $4143024.50   | 1.69%             | 2054-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                | Citigroup Mortgage Loan Trust 2005-11                                           | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127025 | PA      | $131765.67    | 0.05%             | 2035-10-25      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Romania Government International Bonds                           | Romania Government International Bonds                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    200000 | PA      | $185210.00    | 0.08%             | 2035-03-24      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential 2021-SFR7 Trust                                            | CUSIP: 74333PAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1451000 | PA      | $1328923.89   | 0.54%             | 2040-08-17      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                | DISH Network Corp                                                               | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    150000 | PA      | $154603.50    | 0.06%             | 2027-11-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust                        | Santander Consumer Auto Receivables Trust 2021-C                                | CUSIP: 80281HAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5500 | PA      | $566298.39    | 0.23%             | 2028-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                       | Intel Corp                                                                      | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     55000 | PA      | $51185.75     | 0.02%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                           | Venture Global LNG Inc                                                          | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    189000 | PA      | $204223.95    | 0.08%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                         | Hudson Pacific Properties LP                                                    | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |    313000 | PA      | $300304.72    | 0.12%             | 2027-11-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2007-QS2 Trust                                                      | CUSIP: 74923CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4969784 | PA      | $49669.51     | 0.02%             | 2037-01-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                        | CUSIP: 38378BV30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    752001 | PA      | $15698.03     | 0.01%             | 2053-02-16      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                              | American Express Co                                                             | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    145000 | PA      | $141866.55    | 0.06%             | 2026-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $7902.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Berry Global Inc                                                 | Berry Global Inc                                                                | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40000.40     | 0.02%             | 2026-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                               | CUSIP: 31396VS66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34867 | PA      | $2337.87      | 0.00%             | 2037-05-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                   | Carvana Auto Receivables Trust 2022-P3                                          | CUSIP: 14686MAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2900 | PA      | $246574.65    | 0.10%             | 2029-09-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                      | Oracle Corp                                                                     | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    365000 | PA      | $371066.30    | 0.15%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic                                                | JP Morgan Resecuritization Trust Series 2015-4                                  | CUSIP: 46645AAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2836299 | PA      | $1074897.89   | 0.44%             | 2047-06-26      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                      | OCP CLO 2023-28 Ltd                                                             | CUSIP: 670891AG5<br>LEI: 2138002ZIH5ZX5JB4G62 | Long             | ABS-CBDO         | CORP              | JE        |    700000 | PA      | $700035.00    | 0.28%             | 2036-07-16      | Floating      | 9.61%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2024-RPL1 LLC                                                              | CUSIP: 69380XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $617806.22    | 0.25%             | 2064-12-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418EJP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    832380 | PA      | $659778.63    | 0.27%             | 2052-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst                 | Asset Backed Securities Corp Home Equity Loan Trust Series RFC 2007-HE1         | CUSIP: 04544RAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188663 | PA      | $182522.84    | 0.07%             | 2036-12-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| HAH GROUP HOLDING CO LLC                                         | HAH Group Holding Co LLC                                                        | CUSIP: 40518JAA7<br>LEI: 254900FFJQHW9R90FL74 | Long             | DBT              | CORP              | US        |    125000 | PA      | $123992.50    | 0.05%             | 2031-10-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB                 | CUSIP: 46651EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    585000 | PA      | $549523.14    | 0.22%             | 2039-06-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co                                             | Kraft Heinz Foods Co                                                            | CUSIP: 423074AF0<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    210000 | PA      | $220707.90    | 0.09%             | 2028-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                 | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3                  | CUSIP: 59024VAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246447 | PA      | $245796.71    | 0.10%             | 2037-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                     | Saxon Asset Securities Trust 2007-3                                             | CUSIP: 80557BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1326000 | PA      | $1123073.47   | 0.46%             | 2047-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | Banc of America Funding 2006-3 Trust                                            | CUSIP: 058931BF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79152 | PA      | $71922.80     | 0.03%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1303776.00   | 0.53%             | 2027-09-10      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Academic Loan Funding Trust                                      | Academic Loan Funding Trust 2012-1                                              | CUSIP: 00400V206<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3368 | PA      | $267419.20    | 0.11%             | 2044-12-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                                   | Golub Capital Partners Clo 42M-R                                                | CUSIP: 381742AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    600000 | PA      | $604138.80    | 0.25%             | 2036-01-20      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| EDGEWELL PERSONAL CARE                                           | Edgewell Personal Care Co                                                       | CUSIP: 28035QAA0<br>LEI: 549300CY8QZDL4Z3RU59 | Long             | DBT              | CORP              | US        |    133000 | PA      | $132468.00    | 0.05%             | 2028-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROLOGIS EURO FINANCE                                            | Prologis Euro Finance LLC                                                       | CUSIP: 000000000<br>LEI: 549300MI5D1784PRQH06 | Long             | DBT              |  | US        |    145000 | PA      | $174170.62    | 0.07%             | 2034-05-05      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                                            | Caesars Entertainment Inc                                                       | CUSIP: 28470RAK8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    370000 | PA      | $370392.20    | 0.15%             | 2027-07-01      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWGL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2742803 | PA      | $71795.35     | 0.03%             | 2027-05-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-57454.18    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                          | Colombia Government International Bonds                                         | CUSIP: 195325EF8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    200000 | PA      | $207452.00    | 0.08%             | 2033-04-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-7736.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     85000 | PA      | $83155.50     | 0.03%             | 2029-01-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance Plc                                 | Grace Trust 2020-GRCE                                                           | CUSIP: 38406JAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10620000 | PA      | $150256.01    | 0.06%             | 2040-12-10      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                              | COMM 2016-787S Mortgage Trust                                                   | CUSIP: 12635WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    693000 | PA      | $670214.30    | 0.27%             | 2036-02-10      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                                     | State Street Institutional US Government Money Market Fund                      | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |    193679 | NS      | $193678.63    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2006-AR13                                      | CUSIP: 45661XAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155378 | PA      | $0.17         | 0.00%             | 2036-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC                                               | Voyager Parent LLC                                                              | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |    245000 | PA      | $255598.70    | 0.10%             | 2032-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| HELIOS SOFT/ION CORP SOL                                         | Helios Software Holdings Inc / ION Corporate Solutions Finance Sarl             | CUSIP: 42329HAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    197000 | PA      | $202744.52    | 0.08%             | 2029-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                           | SLM Student Loan Trust 2008-5                                                   | CUSIP: 78444YAE5<br>LEI: 549300SRMXHPGI3BJ386 | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $264498.88    | 0.11%             | 2073-07-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    242000 | PA      | $239972.04    | 0.10%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                                | Cedar Funding II CLO Ltd                                                        | CUSIP: 15032TBG0<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $700863.80    | 0.29%             | 2034-04-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                           | Venture Global LNG Inc                                                          | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     45000 | PA      | $46521.90     | 0.02%             | 2028-06-01      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                                   | Golub Capital Partners CLO 69M                                                  | CUSIP: 38179UAD0<br>LEI: 2549004WBNSFGOX1MY52 | Long             | ABS-CBDO         | CORP              | US        |    870000 | PA      | $875513.19    | 0.36%             | 2036-11-09      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                         | Avis Budget Rental Car Funding AESOP LLC 2021                                   | CUSIP: 05377REU4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $241805.30    | 0.10%             | 2028-02-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| PRESTIGE BRANDS INC                                              | Prestige Brands Inc                                                             | CUSIP: 74112BAM7<br>LEI: 549300JBVP4J6D42I235 | Long             | DBT              | CORP              | US        |    595000 | PA      | $548578.10    | 0.22%             | 2031-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                           | Extra Space Storage LP                                                          | CUSIP: 30225VAQ0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |     56000 | PA      | $48691.44     | 0.02%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                         | Ajax Mortgage Loan Trust 2019-F                                                 | CUSIP: 00969PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1252783.48   | 0.51%             | 2059-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BECLE SA DE CV                                                   | Becle SAB de CV                                                                 | CUSIP: 07586PAA9<br>LEI: 529900JY55CZKMJLCE09 | Long             | DBT              | CORP              | MX        |    395000 | PA      | $327407.60    | 0.13%             | 2031-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Taurus CMBS                                                      | Taurus 2021-1 UK DAC                                                            | CUSIP: 000000000<br>LEI: 635400SG2ZVJCYHITE32 | Long             | ABS-MBS          | CORP              | IE        |    665115 | PA      | $913443.02    | 0.37%             | 2031-05-17      | Floating      | 7.89%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                         | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     55000 | PA      | $53426.45     | 0.02%             | 2027-06-14      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                              | General Electric Co                                                             | CUSIP: 36962GX74<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2252136.00   | 0.92%             | 2036-08-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                       | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                            | CUSIP: 78413MAC2<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |    805000 | PA      | $670976.52    | 0.27%             | 2043-01-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                        | CUSIP: 38379EFX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3410924 | PA      | $280512.18    | 0.11%             | 2044-08-20      | Floating      | 1.17%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                                            | Caesars Entertainment Inc                                                       | CUSIP: 12769GAC4<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    125000 | PA      | $128211.25    | 0.05%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AGNC Investment Corp                                             | AGNC Investment Corp                                                            | CUSIP: 00123Q104<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EC               |  | US        |    144641 | NS      | $1329250.79   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Shamrock Residential                                             | Shamrock Residential 2024-1 DAC                                                 | CUSIP: 000000000<br>LEI: 635400DULOLZBZ1GY715 | Long             | ABS-MBS          | CORP              | IE        |    575000 | PA      | $671360.48    | 0.27%             | 2078-12-24      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTL                                                 | MGM Resorts International                                                       | CUSIP: 552953CJ8<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |     75000 | PA      | $76260.75     | 0.03%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                            | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    275000 | PA      | $247076.50    | 0.10%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                                            | Guatemala Government Bond                                                       | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |    200000 | PA      | $169646.00    | 0.07%             | 2033-10-07      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303526 | PA      | $290626.34    | 0.12%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                       | Verus Securitization Trust 2025-3                                               | CUSIP: 924928AE4<br>LEI: 213800DYYV3EM7TSTN14 | Long             | ABS-MBS          | CORP              | US        |    734000 | PA      | $745461.70    | 0.30%             | 2070-05-25      | Variable      | 7.52%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                   | Apidos CLO XXXVII                                                               | CUSIP: 03769HAC1<br>LEI: 549300OGB01ASKLNI660 | Long             | ABS-CBDO         | CORP              | KY        |    725000 | PA      | $726308.63    | 0.30%             | 2034-10-22      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-4581.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     48000 | PA      | $48086.25     | 0.02%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  1 | On Loan: No      |
| Redwood Trust Inc                                                | Redwood Trust Inc                                                               | CUSIP: 758075402<br>LEI: DRBV4N1ERQLEMIF11G78 | Long             | EC               |  | US        |     61963 | NS      | $366201.33    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Reorganized ISA SA                                               | Reorganized ISA SA                                                              | CUSIP: 000000000<br>LEI: 529900YI9I36GOXH4729 | Long             | EC               | CORP              | LU        |      9093 | NS      | $95099.14     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418EMQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1221468 | PA      | $1138497.89   | 0.46%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                            | Lehman Mortgage Trust 2006-7                                                    | CUSIP: 52520QAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2865401 | PA      | $325897.20    | 0.13%             | 2036-11-25      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note Asset                             | Merrill Lynch Alternative Note Asset Trust Series 2007-OAR2                     | CUSIP: 59024BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    474806 | PA      | $373370.49    | 0.15%             | 2037-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| NCR VOYIX CORP                                                   | NCR Voyix Corp                                                                  | CUSIP: 62886EBA5<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |    128000 | PA      | $126383.36    | 0.05%             | 2029-04-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BTAF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2499972 | PA      | $58261.86     | 0.02%             | 2044-12-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                        | CUSIP: 38374M7D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    635447 | PA      | $63177.78     | 0.03%             | 2036-07-20      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| WASTE PRO USA INC                                                | Waste Pro USA Inc                                                               | CUSIP: 94107JAC7<br>LEI: 549300BY1QXU5BI3UF28 | Long             | DBT              | CORP              | US        |     74000 | PA      | $77045.84     | 0.03%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                            | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    239000 | PA      | $259001.91    | 0.11%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                     | Hudson Yards 2019-30HY Mortgage Trust                                           | CUSIP: 44421GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $409288.86    | 0.17%             | 2039-07-10      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Trust 2023-DELC                                                              | CUSIP: 05610DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615000 | PA      | $621232.23    | 0.25%             | 2038-05-15      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS Health Corp                                                                 | CUSIP: 126650DZ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    136000 | PA      | $130146.56    | 0.05%             | 2053-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JAZZ SECURITIES DAC                                              | Jazz Securities DAC                                                             | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |    460000 | PA      | $444714.20    | 0.18%             | 2029-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FIN NV                                           | Volkswagen International Finance NV                                             | CUSIP: 000000000<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $265745.43    | 0.11%             | 2032-09-06      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MHSL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    770156 | PA      | $610457.86    | 0.25%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                              | CUSIP: 3137APLC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390366 | PA      | $43222.52     | 0.02%             | 2042-04-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1425000 | PA      | $1233090.26   | 0.50%             | 2054-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                              | JP Morgan Mortgage Acquisition Trust 2006-WF1                                   | CUSIP: 46628SAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1789397 | PA      | $478340.40    | 0.19%             | 2036-07-25      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1401441 | PA      | $1214542.47   | 0.49%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                   | 1261229 BC Ltd                                                                  | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    230000 | PA      | $232288.50    | 0.09%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| XEROX CORPORATION                                                | Xerox Corp                                                                      | CUSIP: 984121CS0<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |    255000 | PA      | $267189.00    | 0.11%             | 2030-10-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                                    | EchoStar Corp                                                                   | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |     80000 | PA      | $82319.20     | 0.03%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | Banc of America Funding 2015-R4 Trust                                           | CUSIP: 05990RAD3<br>LEI: 549300R847L762RQF071 | Long             | ABS-MBS          | CORP              | US        |     65873 | PA      | $65610.83     | 0.03%             | 2037-02-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                                             | Michaels Cos Inc/The                                                            | CUSIP: 55916AAB0<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |     60000 | PA      | $39652.80     | 0.02%             | 2029-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                   | Sabre GLBL Inc                                                                  | CUSIP: 78573NAL6<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |     45000 | PA      | $46318.05     | 0.02%             | 2029-11-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential 2021-SFR8 Trust                                            | CUSIP: 74333TAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1450000 | PA      | $1412615.96   | 0.57%             | 2038-10-17      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                        | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                     | CUSIP: 61766RBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5881960 | PA      | $59431.33     | 0.02%             | 2049-11-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                       | JPMBB Commercial Mortgage Securities Trust 2015-C29                             | CUSIP: 46644RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26458000 | PA      | $123389.53    | 0.05%             | 2048-05-15      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                          | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAL0<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    370000 | PA      | $374510.30    | 0.15%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| KRE Commercial Mortgage Trust 2025-AIP4                          | KRE Commercial Mortgage Trust 2025-AIP4                                         | CUSIP: 50077KAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490000 | PA      | $488818.32    | 0.20%             | 2042-03-15      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2006-8T1                                                 | CUSIP: 12668BMF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4660685 | PA      | $524730.19    | 0.21%             | 2036-04-25      | Floating      | 1.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                      | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1550000 | PA      | $1483603.43   | 0.60%             | 2054-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3675000 | PA      | $3049197.11   | 1.24%             | 2055-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                       | Verus Securitization Trust 2023-4                                               | CUSIP: 92539TAA1<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |    705087 | PA      | $706184.48    | 0.29%             | 2068-05-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                                             | Wingstop Funding LLC                                                            | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    541750 | PA      | $514104.55    | 0.21%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advisers CLO                           | Park Avenue Institutional Advisers CLO Ltd 2021-1                               | CUSIP: 70015QAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    420000 | PA      | $420416.22    | 0.17%             | 2034-01-20      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| EQUINIX EU 2 FINANCING C                                         | Equinix Europe 2 Financing Corp LLC                                             | CUSIP: 000000000<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              |  | US        |    155000 | PA      | $177014.09    | 0.07%             | 2034-11-22      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                      | OCP CLO 2015-9 Ltd                                                              | CUSIP: 67092BAE3<br>LEI: 254900XV0U0WEM36A370 | Long             | ABS-CBDO         | CORP              | KY        |   1360000 | PA      | $580694.16    | 0.24%             | 2037-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                      | Paychex Inc                                                                     | CUSIP: 704326AB3<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    700000 | PA      | $718907.00    | 0.29%             | 2032-04-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                                    | FirstCash Inc                                                                   | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |    280000 | PA      | $279801.20    | 0.11%             | 2030-01-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                               | JP Morgan Alternative Loan Trust                                                | CUSIP: 46628GAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322103 | PA      | $183018.37    | 0.07%             | 2036-05-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC Holdings LLC                                                                | CUSIP: 126307BN6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    196000 | PA      | $186002.04    | 0.08%             | 2029-01-31      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                                             | Michaels Cos Inc/The                                                            | CUSIP: 55916AAA2<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |    281000 | PA      | $226556.25    | 0.09%             | 2028-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                           | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     75000 | PA      | $83917.50     | 0.03%             | 2034-10-20      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LF5C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1020504 | PA      | $867890.74    | 0.35%             | 2046-11-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    100000 | PA      | $88328.00     | 0.04%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                                                  | Allegro CLO XIII Ltd                                                            | CUSIP: 01750WAE9<br>LEI: 254900E6QZJ305P65V74 | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $650798.85    | 0.26%             | 2034-07-20      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| SUEZ                                                             | Suez SACA                                                                       | CUSIP: 000000000<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |    100000 | PA      | $109807.75    | 0.04%             | 2034-05-24      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $2979.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US BANCORP                                                       | US Bancorp                                                                      | CUSIP: 91159HJL5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24715.50     | 0.01%             | 2034-02-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                           | SLM Student Loan Trust 2008-2                                                   | CUSIP: 784442AD7<br>LEI: 549300MHMWVKFEDI8G73 | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $230792.31    | 0.09%             | 2083-01-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                        | CIM Trust 2021-R3                                                               | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    602247 | PA      | $557409.26    | 0.23%             | 2057-06-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                              | American Tower Corp                                                             | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    495000 | PA      | $461359.80    | 0.19%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                         | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBE2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    686000 | PA      | $480282.32    | 0.20%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust                     | Wells Fargo Mortgage Backed Securities 2007-AR3 Trust                           | CUSIP: 94983UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70906 | PA      | $62688.57     | 0.03%             | 2037-04-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                   | Morgan Stanley Capital I Trust 2020-CNP                                         | CUSIP: 61770YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $507409.12    | 0.21%             | 2042-04-05      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                                | ABFC 2007-NC1 Trust                                                             | CUSIP: 00076BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    638779 | PA      | $601613.32    | 0.24%             | 2037-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| NGL ENRGY OP/FIN CORP                                            | NGL Energy Operating LLC / NGL Energy Finance Corp                              | CUSIP: 62922LAD0<br>LEI: 5299005YSRP46BE8Z459 | Long             | DBT              | CORP              | US        |    210000 | PA      | $210489.30    | 0.09%             | 2032-02-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| UK Logisitics                                                    | UK Logistics 2025-1 DAC                                                         | CUSIP: 000000000<br>LEI: 635400LLQ82YFJBFFU27 | Long             | ABS-MBS          | CORP              | GB        |    300000 | PA      | $413245.38    | 0.17%             | 2035-05-17      | Floating      | 9.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753WAE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    841278 | PA      | $860153.38    | 0.35%             | 2039-10-25      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| GLOBAL SWITCH FINANCE                                            | Global Switch Finance BV                                                        | CUSIP: 000000000<br>LEI: 635400GVJAKOJNEUMF33 | Long             | DBT              | CORP              | NL        |    315000 | PA      | $346678.30    | 0.14%             | 2030-10-07      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| Lehman XS Trust                                                  | Lehman XS Trust Series 2006-12N                                                 | CUSIP: 525226AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394034 | PA      | $400905.04    | 0.16%             | 2046-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC Holdings LLC                                                                | CUSIP: 126307BA4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    117000 | PA      | $58086.99     | 0.02%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                              | COMM 2013-CCRE12 Mortgage Trust                                                 | CUSIP: 12591KAF2<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |    659198 | PA      | $13.38        | 0.00%             | 2046-10-10      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                          | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              |  | US        |     55000 | PA      | $55637.45     | 0.02%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-3888.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                                 | AMC Networks Inc                                                                | CUSIP: 00164VAG8<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |    120000 | PA      | $124539.60    | 0.05%             | 2029-01-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| CRSNT Trust                                                      | CRSNT Trust 2021-MOON                                                           | CUSIP: 22877LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $608829.03    | 0.25%             | 2036-04-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| NATL GAS TRANSMISSION                                            | National Gas Transmission PLC                                                   | CUSIP: 000000000<br>LEI: FPCHGTHKVH9ZWXS7S453 | Long             | DBT              | CORP              | GB        |    215000 | PA      | $263752.29    | 0.11%             | 2030-04-05      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2007-QS3 Trust                                                      | CUSIP: 75116BAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6134511 | PA      | $89520.31     | 0.04%             | 2037-02-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO III Ltd                                              | Elmwood CLO III Ltd                                                             | CUSIP: 29002JAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $584536.00    | 0.24%             | 2037-07-18      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                                    | MASTR Alternative Loan Trust 2006-2                                             | CUSIP: 5764342J2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5879176 | PA      | $344208.11    | 0.14%             | 2036-03-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                           | CHL Mortgage Pass-Through Trust 2004-HYB4                                       | CUSIP: 12669FW25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59108 | PA      | $12684.38     | 0.01%             | 2034-09-20      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     80000 | PA      | $80365.60     | 0.03%             | 2035-12-03      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                             | LXP Industrial Trust                                                            | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              |  | US        |    275000 | PA      | $246224.00    | 0.10%             | 2030-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2004-AR6                                       | CUSIP: 45660NX83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202539 | PA      | $194366.27    | 0.08%             | 2034-10-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.                 | BCMSC Trust 2000-A                                                              | CUSIP: 09774XBQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3316690 | PA      | $257490.60    | 0.10%             | 2030-06-15      | Variable      | 8.29%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                         | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    220000 | PA      | $200360.60    | 0.08%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                              | CUSIP: 3137HLMB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    392875 | PA      | $373346.52    | 0.15%             | 2055-06-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                            | Westlake Automobile Receivables Trust 2024-1                                    | CUSIP: 96043RAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $612506.64    | 0.25%             | 2029-10-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $5382.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                              | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AR1             | CUSIP: 65535VRY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101332 | PA      | $66912.01     | 0.03%             | 2036-02-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                      | GSAMP Trust 2007-NC1                                                            | CUSIP: 3622MGAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2099862 | PA      | $1037826.33   | 0.42%             | 2046-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                  | Fannie Mae Interest Strip                                                       | CUSIP: 31424UGV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3302115 | PA      | $436398.19    | 0.18%             | 2052-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                          | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              |  | US        |    345000 | PA      | $353880.30    | 0.14%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                         | Venture Global Calcasieu Pass LLC                                               | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     93000 | PA      | $87819.90     | 0.04%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| INTELSAT EMERGENCE SA                                            | INTELSAT EMERGENCE SA                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |      9093 | NS      | $281883.00    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LA FRANCAISE DES JEUX SA                                         | La Francaise des Jeux SACA                                                      | CUSIP: 000000000<br>LEI: 969500R4CLSQFTYYI535 | Long             | DBT              | CORP              | FR        |    100000 | PA      | $115936.41    | 0.05%             | 2033-11-21      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5600000 | PA      | $5357007.60   | 2.18%             | 2054-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARDAGH PKG FIN/HLDGS USA                                         | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc                          | CUSIP: 03969AAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    280000 | PA      | $125227.20    | 0.05%             | 2027-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORP                                               | Bausch + Lomb Corp                                                              | CUSIP: 071705AA5<br>LEI: 549300NY6OZM39SO6475 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $73171.00     | 0.03%             | 2028-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                    | UBS Commercial Mortgage Trust 2017-C5                                           | CUSIP: 90276TAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4889498 | PA      | $82929.32     | 0.03%             | 2050-11-15      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| GREAT CAN GAMING/RAPTOR                                          | Great Canadian Gaming Corp/Raptor LLC                                           | CUSIP: 389925AA6<br>LEI: 549300FU60SSFLTE0M84 | Long             | DBT              | CORP              | XX        |     95000 | PA      | $93252.95     | 0.04%             | 2029-11-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| VZ SECURED FINANCING BV                                          | VZ Secured Financing BV                                                         | CUSIP: 91845AAA3<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |    615000 | PA      | $546999.45    | 0.22%             | 2032-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                           | Residential Asset Securitization Trust 2005-A15                                 | CUSIP: 45660L4F3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    931914 | PA      | $260997.72    | 0.11%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                              | CitiMortgage Alternative Loan Trust Series 2006-A3                              | CUSIP: 17309KAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    466135 | PA      | $409356.21    | 0.17%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1650000 | PA      | $1534688.93   | 0.62%             | 2054-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATI                                         | Consolidated Communications Inc                                                 | CUSIP: 20903XAH6<br>LEI: 549300WW675Y48HDVX34 | Long             | DBT              | CORP              | US        |    110000 | PA      | $111333.20    | 0.05%             | 2028-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WORLDLINE SA/FRANCE                                              | Worldline SA/France                                                             | CUSIP: 000000000<br>LEI: 549300CJMQNCA0U4TS33 | Long             | DBT              | CORP              | FR        |    234264 | PA      | $255339.83    | 0.10%             | 2026-07-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| INVITATION HOMES OP                                              | Invitation Homes Operating Partnership LP                                       | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              |  | US        |     95000 | PA      | $80766.15     | 0.03%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    997916 | PA      | $957579.75    | 0.39%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                        | CUSIP: 38384YEE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2530837 | PA      | $209507.04    | 0.09%             | 2054-10-20      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                       | US Bancorp                                                                      | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     80000 | PA      | $83143.20     | 0.03%             | 2035-01-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2021-SFR3 Trust                                   | FirstKey Homes 2021-SFR3 Trust                                                  | CUSIP: 33768JAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1173000 | PA      | $1127378.39   | 0.46%             | 2038-12-17      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                           | Residential Asset Securitization Trust 2007-A5                                  | CUSIP: 76114HAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1083953 | PA      | $175239.37    | 0.07%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BLN38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2330000 | PA      | $1949.74      | 0.00%             | 2043-10-25      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | Morgan Stanley                                                                  | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    105000 | PA      | $108054.45    | 0.04%             | 2036-01-18      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| COOF Securitization Trust II                                     | COOF Securitization Trust II Series 2015-2                                      | CUSIP: 12593RAA6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1460699 | PA      | $89075.93     | 0.04%             | 2041-08-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    955000 | PA      | $920782.35    | 0.37%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                        | CIM Trust 2019-R1                                                               | CUSIP: 12555VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    549015 | PA      | $499886.99    | 0.20%             | 2058-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| OREGON TOOL INC                                                  | Oregon Tool Inc 2025 2nd Lien Term Loan                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    240036 | PA      | $195828.50    | 0.08%             | 2029-10-15      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INFO MGMT                                          | Iron Mountain Information Management Services Inc                               | CUSIP: 46285MAA8<br>LEI: N/A                  | Long             | DBT              |  | US        |    420000 | PA      | $403326.00    | 0.16%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BCPE FLAVOR DEBT/ISSUER                                          | BCPE Flavor Debt Merger Sub LLC and BCPE Flavor Issuer Inc                      | CUSIP: 072933AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125000 | PA      | $128008.75    | 0.05%             | 2032-07-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Vita Scientia                                                    | Vita Scientia 2022-1 DAC                                                        | CUSIP: 000000000<br>LEI: 635400JHBEHLCY2DZM20 | Long             | ABS-MBS          | CORP              | IE        |   1500000 | PA      | $1694753.95   | 0.69%             | 2033-02-27      | Floating      | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                         | Madison Park Funding XLV Ltd                                                    | CUSIP: 55820BAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    625000 | PA      | $625704.38    | 0.25%             | 2034-07-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                    | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3                    | CUSIP: 46635TAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  47286629 | PA      | $363657.82    | 0.15%             | 2046-02-15      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QS7 Trust                                                      | CUSIP: 748940AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232887 | PA      | $184603.91    | 0.08%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXM1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1255377.75   | 0.51%             | 2026-12-09      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51308.00     | 0.02%             | 2036-01-28      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                           | SLM Student Loan Trust 2008-7                                                   | CUSIP: 78445FAE5<br>LEI: 54930067BGNOZYMNWK87 | Long             | ABS-O            | CORP              | US        |    305000 | PA      | $308915.96    | 0.13%             | 2083-07-26      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                          | Frontier Communications Holdings LLC                                            | CUSIP: 35908MAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    465000 | PA      | $494448.45    | 0.20%             | 2031-03-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| MVM ENERGETIKA ZRT                                               | MVM Energetika Zrt                                                              | CUSIP: 000000000<br>LEI: 529900ELI5AQ9F74PF85 | Long             | DBT              | CORP              | HU        |    200000 | PA      | $207294.00    | 0.08%             | 2031-03-13      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                                  | Oakwood Mortgage Investors Inc                                                  | CUSIP: 67087TBW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    681680 | PA      | $96323.55     | 0.04%             | 2030-07-15      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DQTB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1228033 | PA      | $1145567.10   | 0.47%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                          | HCA Inc                                                                         | CUSIP: 197677AJ6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    235000 | PA      | $247410.35    | 0.10%             | 2027-12-01      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1876287 | PA      | $1800737.36   | 0.73%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | Energy Transfer LP                                                              | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    634000 | PA      | $632605.20    | 0.26%             | 2028-02-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                           | Philip Morris International Inc                                                 | CUSIP: 000000000<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    125000 | PA      | $145707.00    | 0.06%             | 2029-06-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                      | Bear Stearns ARM Trust 2003-7                                                   | CUSIP: 07384MYZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144204 | PA      | $132416.18    | 0.05%             | 2033-10-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                                   | Air Lease Corp                                                                  | CUSIP: 00912XAY0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    120000 | PA      | $118224.00    | 0.05%             | 2027-12-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    477000 | PA      | $478881.91    | 0.19%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  1 | On Loan: No      |
| VONOVIA SE                                                       | Vonovia SE                                                                      | CUSIP: 000000000<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $157763.02    | 0.06%             | 2041-06-14      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE                                           | Alliant Energy Finance LLC                                                      | CUSIP: 01882YAD8<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    535000 | PA      | $486833.95    | 0.20%             | 2032-03-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| RINGCENTRAL INC                                                  | RingCentral Inc                                                                 | CUSIP: 76680RAJ6<br>LEI: 549300C8EH0H1614VE84 | Long             | DBT              | CORP              | US        |    115000 | PA      | $123082.20    | 0.05%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                 | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3                  | CUSIP: 59024VAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    354132 | PA      | $354246.10    | 0.14%             | 2037-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| VT TOPCO INC                                                     | VT Topco Inc                                                                    | CUSIP: 91838PAA9<br>LEI: 5493007T812R37X02Y38 | Long             | DBT              | CORP              | US        |    120000 | PA      | $127557.60    | 0.05%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2005-QA8 Trust                                                      | CUSIP: 761118BS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270688 | PA      | $139657.24    | 0.06%             | 2035-07-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                  | C-BASS Mortgage Loan Trust 2007-CB2                                             | CUSIP: 1248MBAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    680681 | PA      | $399990.90    | 0.16%             | 2037-02-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                            | Foundry JV Holdco LLC                                                           | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71803.90     | 0.03%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                           | Banc of America Alternative Loan Trust 2005-10                                  | CUSIP: 05948KQ85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231731 | PA      | $201832.22    | 0.08%             | 2035-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-605361.01   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| ELIA GROUP SA/NV                                                 | Elia Group SA/NV                                                                | CUSIP: 000000000<br>LEI: 549300S1MP1NFDIKT460 | Long             | DBT              | CORP              | BE        |    100000 | PA      | $119646.95    | 0.05%             | 2031-06-11      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| ALTICE FINANCING SA                                              | Altice Financing SA                                                             | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    125000 | PA      | $91683.75     | 0.04%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                                         | Amcor Flexibles North America Inc                                               | CUSIP: 02344AAC2<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    365000 | PA      | $368069.65    | 0.15%             | 2028-03-17      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| STAR PARENT INC                                                  | Star Parent Inc                                                                 | CUSIP: 855170AA4<br>LEI: 254900GRGCJYRMDRWT73 | Long             | DBT              | CORP              | US        |    375000 | PA      | $395160.00    | 0.16%             | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                              | CUSIP: 3137H7R88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1910385 | PA      | $132579.77    | 0.05%             | 2050-12-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                   | Carrington Mortgage Loan Trust Series 2007-RFC1                                 | CUSIP: 144526AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    679535 | PA      | $664788.92    | 0.27%             | 2036-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| SMRT                                                             | SMRT 2022-MINI                                                                  | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246000 | PA      | $239796.05    | 0.10%             | 2039-01-15      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| ARTERA SERVICES LLC                                              | Artera Services LLC                                                             | CUSIP: 04302XAA2<br>LEI: 549300J2G34D0WX8Z443 | Long             | DBT              | CORP              | US        |    170000 | PA      | $141576.00    | 0.06%             | 2031-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BXHPP TRUST                                                      | BXHPP Trust 2021-FILM                                                           | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430000 | PA      | $387431.72    | 0.16%             | 2036-08-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| bmo sba coof trust                                               | BMO SBA COOF Trust 2019-1                                                       | CUSIP: 05588XAA4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   3303916 | PA      | $129567.04    | 0.05%             | 2045-10-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                              | CUSIP: 36180AB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1273670 | PA      | $1221437.30   | 0.50%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                   | Long Beach Mortgage Loan Trust 2004-4                                           | CUSIP: 542514HT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    252115 | PA      | $244137.05    | 0.10%             | 2034-10-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GRIFOLS SA                                                       | Grifols SA                                                                      | CUSIP: 000000000<br>LEI: 959800HSSNXWRKBK4N60 | Long             | DBT              | CORP              | ES        |    203000 | PA      | $249724.66    | 0.10%             | 2030-05-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                            | CWABS Asset-Backed Certificates Trust 2007-13                                   | CUSIP: 126698AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    348545 | PA      | $323881.50    | 0.13%             | 2047-10-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                   | Carrington Mortgage Loan Trust Series 2006-NC4                                  | CUSIP: 14453MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1065127.50   | 0.43%             | 2036-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| OT MIDCO LTD                                                     | OT Midco Ltd                                                                    | CUSIP: 68877AAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $232338.00    | 0.09%             | 2030-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-8353.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                      | Bear Stearns ARM Trust 2007-4                                                   | CUSIP: 07401CAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    478617 | PA      | $421717.46    | 0.17%             | 2047-06-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1200633 | PA      | $1152010.55   | 0.47%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.                            | Conseco Finance Securitizations Corp                                            | CUSIP: 20846QAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1178493 | PA      | $326171.87    | 0.13%             | 2030-06-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                            | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    145000 | PA      | $126419.70    | 0.05%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                       | AMSR 2022-SFR1 Trust                                                            | CUSIP: 00179WAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $845588.33    | 0.34%             | 2039-03-17      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                   | Credit Suisse First Boston Mortgage Securities Corp                             | CUSIP: 225470RS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    948046 | PA      | $209361.63    | 0.09%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                              | Citigroup Commercial Mortgage Trust 2014-GC21                                   | CUSIP: 17322MAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4710600 | PA      | $126.24       | 0.00%             | 2047-05-10      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| TIF Funding II LLC                                               | TIF Funding II LLC                                                              | CUSIP: 872480AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    976544 | PA      | $878848.47    | 0.36%             | 2046-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                          | Fremont Home Loan Trust 2005-A                                                  | CUSIP: 35729PHP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1432275 | PA      | $1304562.43   | 0.53%             | 2035-01-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                   | Carvana Auto Receivables Trust 2023-P1                                          | CUSIP: 14688EAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4400 | PA      | $372281.72    | 0.15%             | 2030-03-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                   | CFMT 2024-NR1 LLC                                                               | CUSIP: 12531DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    807314 | PA      | $811717.72    | 0.33%             | 2029-11-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                             | Las Vegas Sands Corp                                                            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    490000 | PA      | $500025.40    | 0.20%             | 2028-06-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                                   | WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust                       | CUSIP: 933631AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1439259 | PA      | $653955.08    | 0.27%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| USQ Rail                                                         | USQ Rail I LLC                                                                  | CUSIP: 90352WAD6<br>LEI: 25490077I8NB6ADB4I38 | Long             | ABS-O            | CORP              | US        |    342974 | PA      | $321631.22    | 0.13%             | 2051-02-28      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                                         | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 46590XAL0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      8000 | PA      | $8220.00      | 0.00%             | 2030-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                            | Panama Government International Bonds                                           | CUSIP: 698299BT0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    200000 | PA      | $194986.00    | 0.08%             | 2035-02-14      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| E.ON SE                                                          | E.ON SE                                                                         | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | DBT              | CORP              | DE        |    155000 | PA      | $183640.59    | 0.07%             | 2033-04-16      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                            | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    460000 | PA      | $451315.20    | 0.18%             | 2027-03-11      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                        | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22                     | CUSIP: 61690FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1631116 | PA      | $23.81        | 0.00%             | 2048-04-15      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                        | BXP Trust 2017-GM                                                               | CUSIP: 056083AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575000 | PA      | $546422.27    | 0.22%             | 2039-06-13      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTY/RHP FINAN                                         | RHP Hotel Properties LP / RHP Finance Corp                                      | CUSIP: 749571AK1<br>LEI: N/A                  | Long             | DBT              |  | US        |    125000 | PA      | $128642.50    | 0.05%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                   | Carvana Auto Receivables Trust 2021-N3                                          | CUSIP: 14687GAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2200 | PA      | $143991.58    | 0.06%             | 2028-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential 2021-SFR9 Trust                                            | CUSIP: 74333QAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1707000 | PA      | $1598821.61   | 0.65%             | 2040-11-17      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| ROLLINS INC                                                      | Rollins Inc                                                                     | CUSIP: 775711AC8<br>LEI: 549300F2A0BXT4SGWD84 | Long             | DBT              | CORP              | US        |    370000 | PA      | $371609.50    | 0.15%             | 2035-02-24      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                            | Tenet Healthcare Corp                                                           | CUSIP: 88033GDB3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    490000 | PA      | $489421.80    | 0.20%             | 2027-11-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                             | PRET 2025-NPL6 LLC                                                              | CUSIP: 740936AA7<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $701797.67    | 0.29%             | 2055-06-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                           | Mosaic Solar Loan Trust 2021-2                                                  | CUSIP: 61946RAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $38749.25     | 0.02%             | 2047-04-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                        | CUSIP: 38384D6P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245710 | PA      | $211063.42    | 0.09%             | 2053-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                      | Extended Stay America Trust 2021-ESH                                            | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    557523 | PA      | $558480.01    | 0.23%             | 2038-07-15      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                       | AMSR 2020-SFR2 Trust                                                            | CUSIP: 00178UAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1375000 | PA      | $1371618.05   | 0.56%             | 2037-07-17      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                          | HCA Inc                                                                         | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102976.00    | 0.04%             | 2028-09-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                             | PRET 2022-RN2 LLC                                                               | CUSIP: 69377NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1255000 | PA      | $1256363.31   | 0.51%             | 2052-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| BCRED CLO LLC                                                    | BCRED CLO 2023-1 LLC                                                            | CUSIP: 055978AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    850000 | PA      | $853210.45    | 0.35%             | 2036-01-20      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                              | CUSIP: 3137HLPB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2306622 | PA      | $150631.60    | 0.06%             | 2055-06-25      | Floating      | 0.74%                 | No            |                  2 | On Loan: No      |
| OPTION CARE HEALTH INC                                           | Option Care Health Inc                                                          | CUSIP: 68404LAA0<br>LEI: 549300DI3Q5ACSYJRI17 | Long             | DBT              | CORP              | US        |    275000 | PA      | $265144.00    | 0.11%             | 2029-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                           | SLM Student Loan Trust 2005-9                                                   | CUSIP: 78442GRC2<br>LEI: SCSW2GRYW6ZPGKE5DL61 | Long             | ABS-O            | CORP              | US        |    286988 | PA      | $270020.04    | 0.11%             | 2041-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| CENTRAL GARDEN & PET CO                                          | Central Garden & Pet Co                                                         | CUSIP: 153527AP1<br>LEI: 5493004DVZLD37DJ0H83 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93143.00     | 0.04%             | 2031-04-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418EJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1423855 | PA      | $1183735.16   | 0.48%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | Morgan Stanley                                                                  | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    220000 | PA      | $196477.60    | 0.08%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                | Citigroup Mortgage Loan Trust 2005-8                                            | CUSIP: 17307GE20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300689 | PA      | $240736.81    | 0.10%             | 2035-10-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                 | GGAM Finance Ltd                                                                | CUSIP: 36170JAA4<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |    117000 | PA      | $123894.81    | 0.05%             | 2028-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                        | CUSIP: 38378KGP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5245850 | PA      | $2697.42      | 0.00%             | 2055-02-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2004-A6                                                | CUSIP: 466247HA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142731 | PA      | $142623.96    | 0.06%             | 2034-12-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DWEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2447345 | PA      | $2282619.42   | 0.93%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                       | Verus Securitization Trust 2023-7                                               | CUSIP: 92539YAE2<br>LEI: 213800W65K5FH3AI2J91 | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $654905.94    | 0.27%             | 2068-10-25      | Variable      | 7.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                        | CUSIP: 38376G3C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1631553 | PA      | $16.32        | 0.00%             | 2051-09-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                               | NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE                            | CUSIP: 6499022E2<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    903339 | PA      | $914906.39    | 0.37%             | 2033-03-15      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                              | CUSIP: 31396JM36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    888401 | PA      | $46609.45     | 0.02%             | 2036-03-15      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                          | Colombia Government International Bonds                                         | CUSIP: 195325EP6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    200000 | PA      | $195990.00    | 0.08%             | 2036-11-07      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                              | New Residential Mortgage Loan Trust 2022-NQM2                                   | CUSIP: 64831MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    930000 | PA      | $744032.36    | 0.30%             | 2062-03-27      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Rithm Capital Corp                                               | Rithm Capital Corp                                                              | CUSIP: 64828T201<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EC               |  | US        |     55339 | NS      | $624777.31    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Petroleos Mexicanos                                              | Petroleos Mexicanos                                                             | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     34000 | PA      | $23711.94     | 0.01%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                     | Novelis Corp                                                                    | CUSIP: 670001AG1<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98464.00     | 0.04%             | 2026-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-3848.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp                                             | Bank of America Corp                                                            | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    395000 | PA      | $386136.20    | 0.16%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PART/FIN CORP                                           | AmeriGas Partners LP / AmeriGas Finance Corp                                    | CUSIP: 030981AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    195000 | PA      | $202244.25    | 0.08%             | 2030-06-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PART/GLP FINANCE                                          | Global Partners LP / GLP Finance Corp                                           | CUSIP: 37954FAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | PA      | $280167.25    | 0.11%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $7055.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                  | CVS Health Corp                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    190000 | PA      | $164272.10    | 0.07%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| DIGITAL DUTCH FINCO BV                                           | Digital Dutch Finco BV                                                          | CUSIP: 000000000<br>LEI: 549300ONZ5IS6B6IMJ70 | Long             | DBT              |  | NL        |    135000 | PA      | $155964.27    | 0.06%             | 2035-03-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                                   | VCAT 2025-NPL1 LLC                                                              | CUSIP: 921962AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    592901 | PA      | $594494.48    | 0.24%             | 2055-01-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| GCAT                                                             | GCAT 2021-NQM6 Trust                                                            | CUSIP: 36167KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    927773 | PA      | $841616.95    | 0.34%             | 2066-08-25      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                       | Intel Corp                                                                      | CUSIP: 458140BU3<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    205000 | PA      | $176191.35    | 0.07%             | 2031-08-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QS1 Trust                                                      | CUSIP: 761118SB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180886 | PA      | $142478.02    | 0.06%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OPAL BIDCO SAS                                                   | OPAL BIDCO                                                                      | CUSIP: 68348BAA1<br>LEI: 969500R96XT7XY2UJ564 | Long             | DBT              | CORP              | FR        |     60000 | PA      | $61213.80     | 0.02%             | 2032-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KEDRION SPA                                                      | Kedrion SpA                                                                     | CUSIP: 49272YAB9<br>LEI: 81560047FA58E1BEDF67 | Long             | DBT              | CORP              | IT        |    415000 | PA      | $397607.35    | 0.16%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                  | Lehman XS Trust Series 2006-10N                                                 | CUSIP: 525229AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325438 | PA      | $312663.55    | 0.13%             | 2046-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust                        | Santander Consumer Auto Receivables Trust 2021-B                                | CUSIP: 802824AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5000 | PA      | $1360387.03   | 0.55%             | 2029-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                   | Carvana Auto Receivables Trust 2022-N1                                          | CUSIP: 14686GAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4700 | PA      | $241490.66    | 0.10%             | 2028-12-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KPW79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    750711 | PA      | $700066.22    | 0.28%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                 | Berry Global Inc                                                                | CUSIP: 08576PAQ4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31041.30     | 0.01%             | 2034-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                   | Carvana Auto Receivables Trust 2020-P1                                          | CUSIP: 14687AAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2000 | PA      | $151889.08    | 0.06%             | 2027-09-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                              | CUSIP: 3137HLVW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393902 | PA      | $373539.86    | 0.15%             | 2055-06-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PART/FIN CORP                                           | AmeriGas Partners LP / AmeriGas Finance Corp                                    | CUSIP: 030981AM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    271000 | PA      | $279650.32    | 0.11%             | 2028-06-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| GRAND CANYON UNIVERSITY                                          | Grand Canyon University                                                         | CUSIP: 38528UAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $242580.00    | 0.10%             | 2028-10-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PEH5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    145000 | PA      | $152458.80    | 0.06%             | 2035-04-22      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| SOTERA HEALTH HLDGS LLC                                          | Sotera Health Holdings LLC                                                      | CUSIP: 83600WAE9<br>LEI: 549300OVT7MBXFLOFU20 | Long             | DBT              | CORP              | US        |    120000 | PA      | $124744.80    | 0.05%             | 2031-06-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD                                            | HUB International Ltd                                                           | CUSIP: 44332PAJ0<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |    104000 | PA      | $108865.12    | 0.04%             | 2032-01-31      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                 | WFRBS Commercial Mortgage Trust 2013-C14                                        | CUSIP: 92890PAL8<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |    134139 | PA      | $1.15         | 0.00%             | 2046-06-15      | Variable      | 0.46%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                        | CUSIP: 38378XDR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2030909 | PA      | $10058.08     | 0.00%             | 2055-05-16      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| CABLE ONE INC                                                    | Cable One Inc                                                                   | CUSIP: 12685JAC9<br>LEI: 549300648QS85T0XSH18 | Long             | DBT              | CORP              | US        |    305000 | PA      | $240584.00    | 0.10%             | 2030-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                                           | Cloud Software Group Inc                                                        | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |     95000 | PA      | $98572.95     | 0.04%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                           | SLM Student Loan Trust 2007-7                                                   | CUSIP: 78444EAE9<br>LEI: 549300IZGFDRVV7YTH38 | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $150615.84    | 0.06%             | 2070-10-27      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC Holdings PLC                                                               | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    130000 | PA      | $115554.40    | 0.05%             | 2031-08-18      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                | Post Holdings Inc                                                               | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    505000 | PA      | $486133.20    | 0.20%             | 2030-04-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                             | ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1                    | CUSIP: 00442JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1114949 | PA      | $450481.61    | 0.18%             | 2037-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                              | Bear Stearns Mortgage Funding Trust 2007-AR3                                    | CUSIP: 07401VAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22034056 | PA      | $436848.30    | 0.18%             | 2037-03-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                      | RCKT Mortgage Trust 2024-CES8                                                   | CUSIP: 749421AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $707401.45    | 0.29%             | 2044-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                       | Humana Inc                                                                      | CUSIP: 444859CD2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201172.00    | 0.08%             | 2035-05-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                            | CUSIP: 060505GB4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    140000 | PA      | $137715.20    | 0.06%             | 2027-01-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136B7HP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7900000 | PA      | $160543.80    | 0.07%             | 2029-03-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-6021.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                                 | Vmed O2 UK Financing I PLC                                                      | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    260000 | PA      | $240679.40    | 0.10%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                      | Bear Stearns ARM Trust 2005-9                                                   | CUSIP: 07387AEG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76567 | PA      | $72621.83     | 0.03%             | 2035-10-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | Morgan Stanley                                                                  | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     40000 | PA      | $34239.20     | 0.01%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    200000 | PA      | $183246.00    | 0.07%             | 2031-02-11      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                         | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $182100.60    | 0.07%             | 2034-02-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $2032.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                              | Citigroup Commercial Mortgage Trust 2015-GC35                                   | CUSIP: 17324KAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5793955 | PA      | $13396.78     | 0.01%             | 2048-11-10      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                        | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24                     | CUSIP: 61765LAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    963505 | PA      | $14.26        | 0.00%             | 2048-05-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                   | Securitized Asset Backed Receivables LLC Trust 2007-NC2                         | CUSIP: 81378GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1494000 | PA      | $987989.49    | 0.40%             | 2037-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                                             | JetBlue 2020-1 Class A Pass Through Trust                                       | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    564427 | PA      | $526886.85    | 0.21%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Backed Securities Trust                   | Merrill Lynch Mortgage Backed Securities Trust Series 2007-2                    | CUSIP: 59025GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79227 | PA      | $67812.55     | 0.03%             | 2036-08-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                 | Freddie Mac Strips                                                              | CUSIP: 31325YBW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3338409 | PA      | $447654.46    | 0.18%             | 2052-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Stratus CLO                                                      | Stratus CLO 2021-3 Ltd                                                          | CUSIP: 86315XAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $112.50       | 0.00%             | 2029-12-29      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BPCS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    690000 | PA      | $14096.29     | 0.01%             | 2029-03-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Structured Receivables Finance LLC                               | Structured Receivables Finance 2010-B LLC                                       | CUSIP: 86365LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    276899 | PA      | $282203.26    | 0.11%             | 2036-08-15      | Fixed         | 7.97%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | Citigroup Inc                                                                   | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    515000 | PA      | $450764.05    | 0.18%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                         | AT&T Inc                                                                        | CUSIP: 00206R102<br>LEI: 549300Z40J86GGSTL398 | Long             | EC               | CORP              | US        |     29505 | NS      | $853874.70    | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QS13 Trust                                                     | CUSIP: 75115DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1695760 | PA      | $226734.00    | 0.09%             | 2036-09-25      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| AMCOR GROUP FINANCE                                              | Amcor Group Finance PLC                                                         | CUSIP: 02344BAA4<br>LEI: 2549008XHB8M1L64J275 | Long             | DBT              | CORP              | GB        |    225000 | PA      | $231531.75    | 0.09%             | 2029-05-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    475000 | PA      | $496316.86    | 0.20%             | 2041-10-25      | Floating      | 10.31%                | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                           | Merrill Lynch Mortgage Investors Trust Series 2006-RM2                          | CUSIP: 590216AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3723264 | PA      | $1048582.12   | 0.43%             | 2037-05-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                           | SLM Student Loan Trust 2008-6                                                   | CUSIP: 78445CAE2<br>LEI: 549300JQFJDGC1WO7674 | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $226048.46    | 0.09%             | 2083-07-26      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                                   | Open Text Corp                                                                  | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |    580000 | PA      | $601413.60    | 0.24%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                            | FRTKL 2021-SFR1                                                                 | CUSIP: 30322DAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1015000 | PA      | $951567.07    | 0.39%             | 2038-09-17      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management Ltd                                          | HPS Loan Management 2023-18 Ltd                                                 | CUSIP: 442911AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $602251.80    | 0.24%             | 2036-07-20      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| LONZA FINANCE INTL NV                                            | Lonza Finance International NV                                                  | CUSIP: 000000000<br>LEI: 549300AS6XQBD4ETT379 | Long             | DBT              | CORP              | BE        |    125000 | PA      | $145373.92    | 0.06%             | 2034-09-04      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2005-46CB                                                | CUSIP: 12668ABD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    462298 | PA      | $319397.55    | 0.13%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FERRELLGAS LP/FERRELLGAS                                         | Ferrellgas LP / Ferrellgas Finance Corp                                         | CUSIP: 315289AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    345000 | PA      | $319739.10    | 0.13%             | 2029-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                                  | Oakwood Mortgage Investors Inc                                                  | CUSIP: 67087TCL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1671028 | PA      | $115670.57    | 0.05%             | 2031-06-15      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | Bear Stearns Asset Backed Securities I Trust 2005-AC6                           | CUSIP: 073879L55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229600 | PA      | $221197.19    | 0.09%             | 2035-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| SMRT                                                             | SMRT 2022-MINI                                                                  | CUSIP: 78457JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $503503.37    | 0.20%             | 2039-01-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                            | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    120000 | PA      | $116667.60    | 0.05%             | 2028-02-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                         | Benchmark 2020-IG3 Mortgage Trust                                               | CUSIP: 08162QBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    555000 | PA      | $502455.26    | 0.20%             | 2048-09-15      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                         | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    406000 | PA      | $386057.28    | 0.16%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                        | CUSIP: 38378XLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1254741 | PA      | $34930.47     | 0.01%             | 2054-11-16      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                            | VOLT CIII LLC                                                                   | CUSIP: 92873JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    446283 | PA      | $446628.30    | 0.18%             | 2051-08-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                            | Wells Fargo Commercial Mortgage Trust 2018-C47                                  | CUSIP: 95002DBR9<br>LEI: 549300VHRKFNCWVN9Y77 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $741019.43    | 0.30%             | 2061-09-15      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $27922.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2018-I Ltd                                                         | CUSIP: 12547WAC8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $273388.05    | 0.11%             | 2038-01-18      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                  | Credit-Based Asset Servicing and Securitization LLC                             | CUSIP: 12498NAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1647424 | PA      | $1331147.79   | 0.54%             | 2036-12-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                               | Energy Transfer LP                                                              | CUSIP: 29273V100<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | EC               | CORP              | US        |    103400 | NS      | $1874642.00   | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| LOAN PARTICIPATION 2                                             | LOAN PARTICIPATION 2                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    952317 | PA      | $952317.06    | 0.39%             | 2027-12-19      | Fixed         | 3.14%                 | No            |                  3 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                         | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668CS9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70522.90     | 0.03%             | 2035-03-27      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                                     | State Street Institutional U.S. Government Money Market Fund                    | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |   1026925 | NS      | $1026925.02   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Banc of America Funding Corporation                              | Banc of America Funding 2006-3 Trust                                            | CUSIP: 058931AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77070 | PA      | $65369.49     | 0.03%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                 | Berry Global Inc                                                                | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    323000 | PA      | $317308.74    | 0.13%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                              | CUSIP: 31397TTP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68286 | PA      | $6649.80      | 0.00%             | 2038-06-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                         | DSLA Mortgage Loan Trust 2006-AR2                                               | CUSIP: 23332QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    306607 | PA      | $203801.15    | 0.08%             | 2036-10-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    500000 | PA      | $457035.00    | 0.19%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XGX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318779 | PA      | $252677.20    | 0.10%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALBION FINANCING 1SARL /                                         | Albion Financing 1 SARL / Aggreko Holdings Inc                                  | CUSIP: 01330AAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    240000 | PA      | $245740.80    | 0.10%             | 2030-05-21      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                      | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1375000 | PA      | $1278390.44   | 0.52%             | 2054-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                                  | Oakwood Mortgage Investors Inc                                                  | CUSIP: 67087TBC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1717630 | PA      | $232996.15    | 0.09%             | 2029-09-15      | Variable      | 8.15%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                  | Securitized Asset Backed Receivables LLC Trust 2006-CB1                         | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    876407 | PA      | $750018.62    | 0.31%             | 2036-01-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     49000 | PA      | $48546.26     | 0.02%             | 2029-11-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $2957.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                                              | Altice Financing SA                                                             | CUSIP: 02154CAJ2<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    230000 | PA      | $198241.60    | 0.08%             | 2027-07-15      | Fixed         | 9.63%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                 | Berry Global Inc                                                                | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    149000 | PA      | $142989.34    | 0.06%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                          | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAJ2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $499995.00    | 0.20%             | 2028-06-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LINEAGE OP LP                                                    | Lineage OP LP                                                                   | CUSIP: 53567YAA7<br>LEI: 254900CSRDL1G4SRQE89 | Long             | DBT              |  | US        |    230000 | PA      | $231543.30    | 0.09%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                                    | Modivcare Inc 2025 Incremental Term Loan                                        | CUSIP: 60783LAD2<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | LON              | CORP              | US        |    173389 | PA      | $134896.60    | 0.05%             | 2026-01-09      | Floating      | 11.71%                | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6821140 | PA      | $96607.13     | 0.04%             | 2027-06-25      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance Plc                                 | Grace Trust 2020-GRCE                                                           | CUSIP: 38406JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    376000 | PA      | $289121.97    | 0.12%             | 2040-12-10      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                  | CVS Health Corp                                                                 | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45904.50     | 0.02%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                               | One New York Plaza Trust 2020-1NYP                                              | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390000 | PA      | $379355.77    | 0.15%             | 2036-01-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                     | GS Mortgage Securities Trust 2016-GS2                                           | CUSIP: 36252TAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3953512 | PA      | $20583.96     | 0.01%             | 2049-05-10      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                      | Citibank NA                                                                     | CUSIP: 17325FBP2<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    140000 | PA      | $142723.00    | 0.06%             | 2030-05-29      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                   | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 863579ZE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78400 | PA      | $72781.54     | 0.03%             | 2035-10-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| SLC Student Loan Trust                                           | SLC Student Loan Trust 2004-1                                                   | CUSIP: 784423AH8<br>LEI: 25490083RPF52FIUZ551 | Long             | ABS-O            | CORP              | US        |    154462 | PA      | $136226.45    | 0.06%             | 2031-08-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                              | CUSIP: 3137HLK35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    394161 | PA      | $379940.00    | 0.15%             | 2055-06-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                           | CHL Mortgage Pass-Through Trust 2006-HYB2                                       | CUSIP: 126694C63<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    538795 | PA      | $404655.46    | 0.16%             | 2036-04-20      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QS6 Trust                                                      | CUSIP: 74922EAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2247826 | PA      | $58895.74     | 0.02%             | 2036-06-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                           | Mosaic Solar Loan Trust 2021-1                                                  | CUSIP: 61947DAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    950000 | PA      | $100014.10    | 0.04%             | 2046-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                              | CUSIP: 3618N5AZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1353699 | PA      | $1259139.68   | 0.51%             | 2054-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                    | JPMCC Commercial Mortgage Securities Trust 2017-JP5                             | CUSIP: 46647TAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8966129 | PA      | $95283.06     | 0.04%             | 2050-03-15      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                         | Sinclair Television Group Inc                                                   | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |    195000 | PA      | $197683.20    | 0.08%             | 2033-02-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                            | Athene Global Funding                                                           | CUSIP: 04685A3L3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    135000 | PA      | $131319.90    | 0.05%             | 2027-03-08      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                           | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              |  | US        |      7000 | PA      | $6716.43      | 0.00%             | 2030-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                | First Franklin Mortgage Loan Trust 2006-FF13                                    | CUSIP: 30247DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    538517 | PA      | $352339.56    | 0.14%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     85000 | PA      | $74888.40     | 0.03%             | 2032-11-08      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| CLEARWATER PAPER CORP                                            | Clearwater Paper Corp                                                           | CUSIP: 18538RAJ2<br>LEI: 549300HCVV19GXN4P292 | Long             | DBT              | CORP              | US        |    125000 | PA      | $119000.00    | 0.05%             | 2028-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2006-AR9                                       | CUSIP: 45661EGC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415062 | PA      | $224017.08    | 0.09%             | 2036-06-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                      | RCKT Mortgage Trust 2024-CES6                                                   | CUSIP: 749410AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $806183.76    | 0.33%             | 2044-09-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                         | Neuberger Berman Loan Advisers Clo 56 Ltd                                       | CUSIP: 64135UAC1<br>LEI: 2549001742TZTUKJHB13 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $546960.40    | 0.22%             | 2037-07-24      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                                | 245 Park Avenue Trust 2017-245P                                                 | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $608571.47    | 0.25%             | 2037-06-05      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                        | CUSIP: 38373M8V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4420758 | PA      | $44.21        | 0.00%             | 2049-10-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                         | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBD4<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    480000 | PA      | $322929.60    | 0.13%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                           | SLM Student Loan Trust 2004-2                                                   | CUSIP: 78442GLB0<br>LEI: 549300Y3YMECZJOAL893 | Long             | ABS-O            | CORP              | US        |    139907 | PA      | $133608.15    | 0.05%             | 2039-07-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                    | RFMSI Series 2006-S9 Trust                                                      | CUSIP: 749577AP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13991521 | PA      | $149127.23    | 0.06%             | 2036-09-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO-BUND FUTURE SEP25                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -16 | NC      | $14251.66     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ARCHROCK PARTNERS LP/FIN                                         | Archrock Partners LP / Archrock Partners Finance Corp                           | CUSIP: 03959KAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $255137.50    | 0.10%             | 2032-09-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                              | CUSIP: 3137HLT85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122991 | PA      | $116841.31    | 0.05%             | 2055-06-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| BANIJAY ENTERTAINMENT                                            | Banijay Entertainment SAS                                                       | CUSIP: 060335AB2<br>LEI: 969500CE0IE2EZ5VBG13 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $207680.00    | 0.08%             | 2029-05-01      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                 | Altria Group Inc                                                                | CUSIP: 02209SBS1<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    195000 | PA      | $197724.15    | 0.08%             | 2028-02-04      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                         | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBC6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    285000 | PA      | $240730.95    | 0.10%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                 | CSC Holdings LLC                                                                | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    409000 | PA      | $332831.93    | 0.14%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TransDigm Inc                                                                   | CUSIP: 893647BW6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    260000 | PA      | $261729.00    | 0.11%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                   | 280 Park Avenue 2017-280P Mortgage Trust                                        | CUSIP: 90205FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490000 | PA      | $477076.69    | 0.19%             | 2034-09-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                  | C-BASS Mortgage Loan Trust 2007-CB3                                             | CUSIP: 17311YAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1068256 | PA      | $376407.64    | 0.15%             | 2037-03-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                | Hyatt Hotels Corp                                                               | CUSIP: 448579AU6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    310000 | PA      | $313410.00    | 0.13%             | 2028-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                                             | Eleven Madison Trust 2015-11MD Mortgage Trust                                   | CUSIP: 556227AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625000 | PA      | $593983.56    | 0.24%             | 2035-09-10      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| CENTRAL GARDEN & PET CO                                          | Central Garden & Pet Co                                                         | CUSIP: 153527AN6<br>LEI: 5493004DVZLD37DJ0H83 | Long             | DBT              | CORP              | US        |     24000 | PA      | $22665.84     | 0.01%             | 2030-10-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                         | American Assets Trust LP                                                        | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              |  | US        |    275000 | PA      | $246622.75    | 0.10%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| TEVA PHARM FIN IV                                                | Teva Pharmaceutical Finance Netherlands IV BV                                   | CUSIP: 881937AA4<br>LEI: 549300GKSD1RG56QRY33 | Long             | DBT              | CORP              | NL        |     58000 | PA      | $58911.76     | 0.02%             | 2030-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL                                          | Severn Trent Utilities Finance PLC                                              | CUSIP: 000000000<br>LEI: 213800KY9PT6WBH33232 | Long             | DBT              | CORP              | GB        |    150000 | PA      | $177295.87    | 0.07%             | 2035-08-04      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN MEDICAL SYST EU                                         | American Medical Systems Europe BV                                              | CUSIP: 000000000<br>LEI: 549300AA2JE6ZQ5D2493 | Long             | DBT              | CORP              | NL        |    260000 | PA      | $304797.99    | 0.12%             | 2031-03-08      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                        | CIM TRUST 2025-R1                                                               | CUSIP: 12575LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723754 | PA      | $716080.39    | 0.29%             | 2099-02-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2024-RPL2 LLC                                                              | CUSIP: 69381DAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $821737.08    | 0.33%             | 2054-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    309000 | PA      | $288856.29    | 0.12%             | 2030-06-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                            | Palmer Square CLO 2024-3 Ltd                                                    | CUSIP: 69688HAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    625000 | PA      | $554431.88    | 0.23%             | 2037-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                                   | Manhattan West 2020-1MW Mortgage Trust                                          | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    695000 | PA      | $657620.33    | 0.27%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| SMRT                                                             | SMRT 2022-MINI                                                                  | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005000 | PA      | $989366.12    | 0.40%             | 2039-01-15      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                         | Hudson Pacific Properties LP                                                    | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |      5000 | PA      | $4881.70      | 0.00%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN TITAN FIN LTD                                         | Transocean Titan Financing Ltd                                                  | CUSIP: 89386MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    152905 | PA      | $156598.94    | 0.06%             | 2028-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                           | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              |  | US        |     50000 | PA      | $48463.00     | 0.02%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                             | Heathrow Funding Ltd                                                            | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |    130000 | PA      | $136890.21    | 0.06%             | 2030-10-08      | Fixed         | 1.13%                 | Yes           |                  2 | On Loan: No      |
| Bear Mountain Park CLO, Ltd                                      | Bear Mountain Park CLO Ltd                                                      | CUSIP: 07403CAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    625000 | PA      | $627796.25    | 0.26%             | 2037-07-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                                   | PMT Loan Trust 2024-INV1                                                        | CUSIP: 73015BBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    707420 | PA      | $709553.77    | 0.29%             | 2059-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO, LTD                           | Goldentree Loan Management US Clo 11 Ltd                                        | CUSIP: 38138KAL4<br>LEI: 549300TMEEKUOKVHYV65 | Long             | ABS-CBDO         | CORP              | KY        |    625000 | PA      | $625012.50    | 0.25%             | 2034-10-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FORTREA HOLDINGS INC                                             | Fortrea Holdings Inc                                                            | CUSIP: 34965KAA5<br>LEI: 5493000FIVFABOVCDU97 | Long             | DBT              | CORP              | US        |    280000 | PA      | $253960.00    | 0.10%             | 2030-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO-SCHATZ FUT SEP25                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         3 | NC      | $-567.57      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Verizon Communications Inc                                       | Verizon Communications Inc                                                      | CUSIP: 92343V104<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | EC               | CORP              | US        |     15224 | NS      | $658742.48    | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| SLM Student Loan Trust                                           | SLM Student Loan Trust 2008-4                                                   | CUSIP: 78445AAE6<br>LEI: 549300EQOYJZL2D96G46 | Long             | ABS-O            | CORP              | US        |    515000 | PA      | $546794.97    | 0.22%             | 2073-04-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                                 | Hilton USA Trust 2016-HHV                                                       | CUSIP: 43300LAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1341000 | PA      | $1292569.38   | 0.53%             | 2038-11-05      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2007-AR5                                       | CUSIP: 45669EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    529200 | PA      | $424915.85    | 0.17%             | 2037-05-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation                                        | HSI Asset Loan Obligation Trust 2007-2                                          | CUSIP: 40432BAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265338 | PA      | $195461.74    | 0.08%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                            | CUSIP: 06051GJP5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     45000 | PA      | $40413.15     | 0.02%             | 2032-03-11      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                                  | Oakwood Mortgage Investors Inc                                                  | CUSIP: 67087TAU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    451967 | PA      | $198423.12    | 0.08%             | 2030-03-15      | Variable      | 7.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certificates                              | Freddie Mac Multifamily PC REMIC Trust 2019-P002                                | CUSIP: 3137FQKX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1295000 | PA      | $71272.07     | 0.03%             | 2033-07-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                     | Centene Corp                                                                    | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    248000 | PA      | $221702.08    | 0.09%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                           | CHL Mortgage Pass-Through Trust 2006-14                                         | CUSIP: 12670AAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5516681 | PA      | $19246.04     | 0.01%             | 2036-09-25      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| MFT Trust                                                        | MFT 2020-B6 Mortgage Trust                                                      | CUSIP: 55316TAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $142733.48    | 0.06%             | 2040-08-10      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-3379.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TCW Central Cash Fund                                            | TCW Central Cash Fund                                                           | CUSIP: 872365671<br>LEI: 2549003KPNUIFJCJM366 | Long             | EC               | RF                | US        |  18109354 | NS      | $18109354.20  | 7.37%             |  |  |  | No            |                  1 | On Loan: No      |
| GSR Mortgage Loan Trust                                          | GSR Mortgage Loan Trust 2005-AR3                                                | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113039 | PA      | $84387.93     | 0.03%             | 2035-05-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| GRIFOLS SA                                                       | Grifols SA                                                                      | CUSIP: 39843UAA0<br>LEI: 959800HSSNXWRKBK4N60 | Long             | DBT              | CORP              | ES        |    259000 | PA      | $248684.03    | 0.10%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED UTILITIES WAT FIN                                         | United Utilities Water Finance PLC                                              | CUSIP: 000000000<br>LEI: 213800313INX42GDLR44 | Long             | DBT              | CORP              | GB        |    115000 | PA      | $135043.98    | 0.05%             | 2034-05-23      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DWEK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    558123 | PA      | $535606.31    | 0.22%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                           | SLM Student Loan Trust 2007-6                                                   | CUSIP: 78444CAF0<br>LEI: 549300DP3T6QDZHB8271 | Long             | ABS-O            | CORP              | US        |     73926 | PA      | $69672.59     | 0.03%             | 2043-04-27      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst                 | Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2006-HE3        | CUSIP: 04541GXC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    473291 | PA      | $465710.31    | 0.19%             | 2036-03-25      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2007-S2                                                | CUSIP: 46630WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146910 | PA      | $45312.39     | 0.02%             | 2037-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FG7J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1984973 | PA      | $3172.19      | 0.00%             | 2046-05-25      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| OREGON TOOL LUX LP                                               | Oregon Tool Lux LP                                                              | CUSIP: 68610BAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    228735 | PA      | $132949.93    | 0.05%             | 2029-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | US ULTRA BOND CBT SEP25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -71 | NC      | $-284143.70   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| MONDELEZ INTL HLDINGS NE                                         | Mondelez International Holdings Netherlands BV                                  | CUSIP: 000000000<br>LEI: 549300CW356R8I7N8D33 | Long             | DBT              | CORP              | NL        |    100000 | PA      | $102828.04    | 0.04%             | 2031-10-01      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                               | EFMT 2025-CES1                                                                  | CUSIP: 26846VAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670000 | PA      | $680099.04    | 0.28%             | 2060-01-25      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                         | Ajax Mortgage Loan Trust 2021-D                                                 | CUSIP: 009723AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    706094 | PA      | $707371.69    | 0.29%             | 2060-03-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                         | Snap Inc                                                                        | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |    200000 | PA      | $205354.00    | 0.08%             | 2033-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Consolidated Communications LLC, Fidium Fiber Finance Holdco LLC | Consolidated Communications LLC/Fidium Fiber Finance Holdco LLC                 | CUSIP: 209031AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245000 | PA      | $253243.96    | 0.10%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | Morgan Stanley                                                                  | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    410000 | PA      | $355252.70    | 0.14%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| HOA Funding LLC                                                  | HOA Funding LLC - HOA                                                           | CUSIP: 40390GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    581627 | PA      | $133782.17    | 0.05%             | 2051-08-20      | Fixed         | 4.72%                 | No            |                  3 | On Loan: No      |
| TRANSDIGM INC                                                    | TransDigm Inc                                                                   | CUSIP: 893647BR7<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    350000 | PA      | $357686.00    | 0.15%             | 2028-08-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                                 | Altria Group Inc                                                                | CUSIP: 02209S103<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | EC               | CORP              | US        |     12670 | NS      | $742842.10    | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| TRANSOCEAN INC                                                   | Transocean Inc                                                                  | CUSIP: 893830BX6<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |     80000 | PA      | $82564.00     | 0.03%             | 2030-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| RAVEN ACQUISITION HOLDIN                                         | Raven Acquisition Holdings LLC                                                  | CUSIP: 75420NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    175000 | PA      | $175026.25    | 0.07%             | 2031-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                                         | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 46590XAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    540000 | PA      | $502729.20    | 0.20%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PBW5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1245000 | PA      | $1219664.25   | 0.50%             | 2027-02-04      | Fixed         | 1.04%                 | 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        |    550000 | PA      | $547887.07    | 0.22%             | 2038-05-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                        | Structured Asset Mortgage Investments II Trust 2006-AR4                         | CUSIP: 86360QAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    472372 | PA      | $382520.23    | 0.16%             | 2036-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                         | Angel Oak Mortgage Trust 2024-11                                                | CUSIP: 03463QAD8<br>LEI: 2549009VFCBSE99NTJ29 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $760735.20    | 0.31%             | 2069-08-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5000 | PA      | $4669.80      | 0.00%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                        | CUSIP: 38384YDR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3360062 | PA      | $239464.88    | 0.10%             | 2054-10-20      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2007-FLX2                                      | CUSIP: 45668RAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1125796 | PA      | $995071.70    | 0.40%             | 2037-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                  | Fannie Mae Interest Strip                                                       | CUSIP: 31423XZ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3798059 | PA      | $501305.20    | 0.20%             | 2052-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TRANSMONTAIGNE PARTNERS                                          | TransMontaigne Partners LLC                                                     | CUSIP: 89377AAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $125106.00    | 0.05%             | 2030-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                           | Venture Global LNG Inc                                                          | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    283000 | PA      | $276021.22    | 0.11%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136AT5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653424 | PA      | $12225.39     | 0.00%             | 2039-07-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| SUBURBAN PROPANE PARTNRS                                         | Suburban Propane Partners LP/Suburban Energy Finance Corp                       | CUSIP: 864486AL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $75766.40     | 0.03%             | 2031-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-20278.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                         | Benchmark 2019-B14 Mortgage Trust                                               | CUSIP: 08162YBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    535000 | PA      | $9742.19      | 0.00%             | 2062-12-15      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                                  | Israel Government International Bond                                            | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    200000 | PA      | $204482.00    | 0.08%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                            | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     35000 | PA      | $37518.95     | 0.02%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2022-II Ltd                                                        | CUSIP: 12567VAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    685000 | PA      | $508504.27    | 0.21%             | 2035-04-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    130000 | PA      | $128102.00    | 0.05%             | 2028-01-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PENN ENTERTAINMENT INC                                           | Penn Entertainment Inc                                                          | CUSIP: 707569AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $164574.30    | 0.07%             | 2027-01-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BP7A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7698242 | PA      | $34130.92     | 0.01%             | 2026-03-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                          | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     96000 | PA      | $101107.20    | 0.04%             | 2031-04-30      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                       | Verus Securitization Trust 2023-5                                               | CUSIP: 924934AE2<br>LEI: 984500BADC7CFE3B0756 | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $764422.74    | 0.31%             | 2068-06-25      | Variable      | 8.02%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                   | Sabre GLBL Inc                                                                  | CUSIP: 78573NAM4<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |     80000 | PA      | $83808.80     | 0.03%             | 2030-07-15      | Fixed         | 11.13%                | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                                    | MASTR Alternative Loan Trust 2007-HF1                                           | CUSIP: 55291YAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1046089 | PA      | $409529.30    | 0.17%             | 2047-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    185000 | PA      | $183229.55    | 0.07%             | 2035-10-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                        | CUSIP: 38376G6L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    639299 | PA      | $22.89        | 0.00%             | 2051-08-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418EJ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1245007 | PA      | $1160823.16   | 0.47%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / FIN INC                                           | Acrisure LLC / Acrisure Finance Inc                                             | CUSIP: 00489LAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | PA      | $284427.00    | 0.12%             | 2030-11-06      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                         | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $139260.00    | 0.06%             | 2032-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-179.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NCFA1                                                            | NCFA1                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    866268 | PA      | $866268.11    | 0.35%             | 2028-06-12      | Fixed         | 2.75%                 | No            |                  3 | On Loan: No      |
| Elmwood CLO 17 Ltd                                               | Elmwood CLO 17 Ltd                                                              | CUSIP: 29003GAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    850000 | PA      | $601849.30    | 0.24%             | 2037-07-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                             | ACE Securities Corp Home Equity Loan Trust Series 2004-IN1                      | CUSIP: 004421FD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287738 | PA      | $271349.28    | 0.11%             | 2034-05-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                           | Venture Global LNG Inc                                                          | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    111000 | PA      | $112386.39    | 0.05%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                           | Rockford Tower CLO 2017-2 Ltd                                                   | CUSIP: 77340GAL5<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $802362.40    | 0.33%             | 2029-10-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                       | JPMBB Commercial Mortgage Securities Trust 2014-C23                             | CUSIP: 46643ABG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1389558 | PA      | $19.59        | 0.00%             | 2047-09-15      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2469200 | PA      | $2139903.33   | 0.87%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE                | CUSIP: 46646GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775000 | PA      | $755879.20    | 0.31%             | 2038-09-06      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                        | CUSIP: 38378BBQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2216558 | PA      | $22.17        | 0.00%             | 2052-05-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                         | International Flavors & Fragrances Inc                                          | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    725000 | PA      | $641451.00    | 0.26%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HOLDINGS INC                                          | Zayo Group Holdings Inc                                                         | CUSIP: 98919VAA3<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | DBT              | CORP              | US        |    275000 | PA      | $258150.75    | 0.10%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                         | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    198000 | PA      | $132174.90    | 0.05%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| DAVIDE CAMPARI-MILANO SP                                         | Davide Campari-Milano NV                                                        | CUSIP: 000000000<br>LEI: 213800ED5AN2J56N6Z02 | Long             | DBT              | CORP              | NL        |    100000 | PA      | $112796.37    | 0.05%             | 2029-01-17      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-24859.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RAC BOND CO PLC                                                  | RAC Bond Co PLC                                                                 | CUSIP: 000000000<br>LEI: 2138008FCM2SUNLC7B21 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $148769.22    | 0.06%             | 2028-11-06      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| GLOBAL PART/GLP FINANCE                                          | Global Partners LP / GLP Finance Corp                                           | CUSIP: 37954FAL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    167000 | PA      | $169541.74    | 0.07%             | 2033-07-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Structured Receivables Finance LLC                               | Structured Receivables Finance 2010-A LLC                                       | CUSIP: 86365FAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    406239 | PA      | $410685.83    | 0.17%             | 2046-01-16      | Fixed         | 7.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509216 | PA      | $488554.92    | 0.20%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                 | GGAM Finance Ltd                                                                | CUSIP: 36170JAC0<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |    115000 | PA      | $118743.25    | 0.05%             | 2027-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES/ESCR                                         | Windstream Services LLC / Windstream Escrow Finance Corp                        | CUSIP: 97381AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    235000 | PA      | $246345.80    | 0.10%             | 2031-10-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                         | International Flavors & Fragrances Inc                                          | CUSIP: 459506AR2<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     15000 | PA      | $11020.05     | 0.00%             | 2040-11-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                             | FirstKey Homes 2022-SFR1 Trust                                                  | CUSIP: 33768NAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1101318.90   | 0.45%             | 2039-05-19      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Goal Capital Funding Trust                                       | Goal Capital Funding Trust 2006-1                                               | CUSIP: 38021BAG5<br>LEI: 5493009VZI2B6V83UU74 | Long             | ABS-O            | CORP              | US        |     82596 | PA      | $78657.53     | 0.03%             | 2042-08-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                        | CIM Trust 2021-R5                                                               | CUSIP: 12592SAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1096000 | PA      | $731236.40    | 0.30%             | 2061-08-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management Ltd                                          | HPS Loan Management 2024-19 Ltd                                                 | CUSIP: 442924AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $754330.50    | 0.31%             | 2037-04-15      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| EUROGRID GMBH                                                    | Eurogrid GmbH                                                                   | CUSIP: 000000000<br>LEI: 967600Q53854Z2NBCC81 | Long             | DBT              | CORP              | DE        |    100000 | PA      | $101489.85    | 0.04%             | 2032-05-15      | Fixed         | 1.11%                 | Yes           |                  2 | On Loan: No      |
| US BANCORP                                                       | US Bancorp                                                                      | CUSIP: 91159HJJ0<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5265.00      | 0.00%             | 2033-10-21      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    414000 | PA      | $411768.28    | 0.17%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  1 | On Loan: No      |
| DEUTSCHE ALT-B SECURITIES INC MORTGAGE L                         | Deutsche Alt-B Securities Inc Mortgage Loan Trust Series 2006-AB2               | CUSIP: 251511AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    727920 | PA      | $671792.22    | 0.27%             | 2036-06-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| UPBOUND GROUP INC                                                | Upbound Group Inc                                                               | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |    270000 | PA      | $267594.30    | 0.11%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC                               | MetroNet Infrastructure Issuer LLC                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $860857.39    | 0.35%             | 2053-04-20      | Fixed         | 7.95%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                               | CUSIP: 31396VE20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    586536 | PA      | $50366.91     | 0.02%             | 2037-05-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $840494.08    | 0.34%             | 2041-12-25      | Floating      | 10.31%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                               | CUSIP: 31396Q4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91674 | PA      | $9940.23      | 0.00%             | 2039-09-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                              | COMM 2012-LC4 Mortgage Trust                                                    | CUSIP: 126192AJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10175622 | PA      | $139.41       | 0.00%             | 2044-12-10      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                           | Mosaic Solar Loan Trust 2021-3                                                  | CUSIP: 61946TAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $68699.20     | 0.03%             | 2052-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ZHENRO PROPERTIES GROUP                                          | Zhenro Properties Group Ltd                                                     | CUSIP: 000000000<br>LEI: 549300I66TVJEL841P38 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $1040.00      | 0.00%             | 2026-01-07      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                           | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BC8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    130000 | PA      | $125879.00    | 0.05%             | 2026-09-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                        | Amgen Inc                                                                       | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58656.60     | 0.02%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                        | CUSIP: 38375DLA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204844 | PA      | $3733.75      | 0.00%             | 2038-05-20      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                        | CUSIP: 38376GXY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4590019 | PA      | $48105.23     | 0.02%             | 2050-09-16      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | Bear Stearns Asset Backed Securities I Trust 2006-IM1                           | CUSIP: 07387UFD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104502 | PA      | $104911.26    | 0.04%             | 2036-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO-BOBL FUTURE SEP25                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -10 | NC      | $4387.94      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                       | JPMBB Commercial Mortgage Securities Trust 2014-C24                             | CUSIP: 46643GAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1025593 | PA      | $24.10        | 0.00%             | 2047-11-15      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                                              | Sirius XM Radio LLC                                                             | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    600000 | PA      | $595218.00    | 0.24%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MNMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1312136 | PA      | $1090856.51   | 0.44%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential Trust                                                      | CUSIP: 74333HAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    730000 | PA      | $715939.11    | 0.29%             | 2038-07-17      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| SLC Student Loan Trust                                           | SLC Student Loan Trust 2006-1                                                   | CUSIP: 784427AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166074 | PA      | $149196.29    | 0.06%             | 2055-03-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                  | C-BASS Mortgage Loan Trust 2007-CB2                                             | CUSIP: 1248MBAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    668777 | PA      | $392995.86    | 0.16%             | 2037-02-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| GALDERMA FINANCE EUROPE                                          | Galderma Finance Europe BV                                                      | CUSIP: 000000000<br>LEI: 7245004RN4I1ORSTHY93 | Long             | DBT              | CORP              | NL        |    210000 | PA      | $248828.03    | 0.10%             | 2030-03-20      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Arbour CLO                                                       | ARBOUR CLO VIII DAC                                                             | CUSIP: 000000000<br>LEI: 635400YH93RIIHDLXQ91 | Long             | ABS-CBDO         | CORP              | IE        |    600000 | PA      | $702869.18    | 0.29%             | 2034-10-15      | Floating      | 3.98%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CNL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    406000 | PA      | $406269.61    | 0.17%             | 2027-06-30      | Fixed         | 3.75%                 | No            |                  1 | On Loan: No      |
| ADTALEM GLOBAL EDUCATION                                         | Adtalem Global Education Inc                                                    | CUSIP: 00737WAA7<br>LEI: 549300Z467EZLMODV621 | Long             | DBT              | CORP              | US        |    294000 | PA      | $291953.76    | 0.12%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-2294.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2021-4 LLC                                                                 | CUSIP: 693583AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    907595 | PA      | $909133.46    | 0.37%             | 2026-04-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Partners LP                                  | Enterprise Products Partners LP                                                 | CUSIP: 293792107<br>LEI: K4CDIF4M54DJZ6TB4Q48 | Long             | EC               | CORP              | US        |     21772 | NS      | $675149.72    | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $5382.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QS8 Trust                                                      | CUSIP: 75115AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    416608 | PA      | $348424.02    | 0.14%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT                                           | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc              | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $36985.60     | 0.02%             | 2030-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| AMERICOLD REALTY OPER PA                                         | Americold Realty Operating Partnership LP                                       | CUSIP: 03063UAB7<br>LEI: 549300FKD9KVWNHSUU79 | Long             | DBT              |  | US        |    370000 | PA      | $371924.00    | 0.15%             | 2032-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-76048.87    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                           | SLM Student Loan Trust 2008-3                                                   | CUSIP: 78444GAD6<br>LEI: 549300OORAXMFXOHG132 | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $225855.05    | 0.09%             | 2083-04-26      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                                         | Healthcare Realty Holdings LP                                                   | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |    130000 | PA      | $120877.90    | 0.05%             | 2030-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                         | Host Hotels & Resorts LP                                                        | CUSIP: 44107TBD7<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              |  | US        |    365000 | PA      | $370573.55    | 0.15%             | 2032-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                              | CUSIP: 31397CW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202993 | PA      | $21112.85     | 0.01%             | 2036-11-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FARMERS INS EXCH                                                 | Farmers Insurance Exchange                                                      | CUSIP: 309601AE2<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4081.10      | 0.00%             | 2057-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1800000 | PA      | $1425605.40   | 0.58%             | 2054-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                              | Elevance Health Inc                                                             | CUSIP: 036752BD4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    110000 | PA      | $111205.60    | 0.05%             | 2035-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                              | CitiMortgage Alternative Loan Trust Series 2006-A5                              | CUSIP: 18974BAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    428162 | PA      | $370838.92    | 0.15%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HEALTHEQUITY INC                                                 | HealthEquity Inc                                                                | CUSIP: 42226AAA5<br>LEI: 529900LRJU1RAFQHM467 | Long             | DBT              | CORP              | US        |    265000 | PA      | $257834.40    | 0.10%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                              | CUSIP: 31397GWM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43617 | PA      | $1074.86      | 0.00%             | 2037-05-15      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                                  | Oakwood Mortgage Investors Inc                                                  | CUSIP: 67087TCV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    477536 | PA      | $181623.12    | 0.07%             | 2022-09-15      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Frost CMBS                                                       | Frost CMBS 2021-1 DAC                                                           | CUSIP: 000000000<br>LEI: 635400USRLUMX8CQN243 | Long             | ABS-MBS          | CORP              | IE        |    721273 | PA      | $840533.14    | 0.34%             | 2033-11-20      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO-BUXL 30Y BND SEP25                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -2 | NC      | $3283.98      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                                                            | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    790000 | PA      | $689330.30    | 0.28%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| PRIMO / TRITON WATER HLD                                         | Primo Water Holdings Inc / Triton Water Holdings Inc                            | CUSIP: 74168RAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125000 | PA      | $126008.75    | 0.05%             | 2029-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2007-QS6 Trust                                                      | CUSIP: 75116CCP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135250 | PA      | $109858.25    | 0.04%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | US 5YR NOTE (CBT) SEP25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       207 | NC      | $318144.15    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                            | American Homes 4 Rent LP                                                        | CUSIP: 02666TAF4<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |    155000 | PA      | $120796.15    | 0.05%             | 2052-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-3904.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIM Trust                                                        | CIM Trust 2021-R4                                                               | CUSIP: 12598HAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    582146 | PA      | $537803.06    | 0.22%             | 2061-05-01      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                        | CUSIP: 38374NU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    742584 | PA      | $14780.35     | 0.01%             | 2036-11-20      | Floating      | 0.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2285764 | PA      | $1814572.26   | 0.74%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CB9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    135000 | PA      | $134909.55    | 0.05%             | 2027-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust                                   | FirstKey Homes 2020-SFR1 Trust                                                  | CUSIP: 33767MAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1735000 | PA      | $1727057.17   | 0.70%             | 2037-08-17      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                             | Pilgrim's Pride Corp                                                            | CUSIP: 72147KAK4<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    700000 | PA      | $740845.00    | 0.30%             | 2033-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | Morgan Stanley                                                                  | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    180000 | PA      | $157737.60    | 0.06%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                              | CUSIP: 3137HHAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1254580 | PA      | $88090.03     | 0.04%             | 2054-11-25      | Floating      | 1.09%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4943.10      | 0.00%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DWFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    522083 | PA      | $486699.98    | 0.20%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN FINANCIAL SER                                         | Volkswagen Financial Services AG                                                | CUSIP: 000000000<br>LEI: 529900SSGT49ZZSWYE62 | Long             | DBT              | CORP              | DE        |    300000 | PA      | $353831.09    | 0.14%             | 2031-11-19      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | Citigroup Inc                                                                   | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35796.60     | 0.01%             | 2035-06-11      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                    | First Horizon Alternative Mortgage Securities Trust 2005-AA10                   | CUSIP: 32051GA88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119509 | PA      | $90863.13     | 0.04%             | 2035-12-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                             | Heathrow Funding Ltd                                                            | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |    120000 | PA      | $139003.97    | 0.06%             | 2036-01-16      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMU91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3750000 | PA      | $67629.00     | 0.03%             | 2047-05-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    660000 | PA      | $619482.60    | 0.25%             | 2029-06-01      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                          | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAT8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    309000 | PA      | $315794.91    | 0.13%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARDAGH PKG FIN/HLDGS USA                                         | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc                          | CUSIP: 03969AAP5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     55000 | PA      | $24304.50     | 0.01%             | 2027-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | US 2YR NOTE (CBT) SEP25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -40 | NC      | $-33450.65    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Bayer US Finance II LLC                                          | Bayer US Finance II LLC                                                         | CUSIP: 07274NAN3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    515000 | PA      | $455847.10    | 0.19%             | 2038-06-25      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                      | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3025000 | PA      | $2971858.31   | 1.21%             | 2054-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WORLDLINE SA/FRANCE                                              | Worldline SA/France                                                             | CUSIP: 000000000<br>LEI: 549300CJMQNCA0U4TS33 | Long             | DBT              | CORP              | FR        |     53748 | PA      | $74032.85     | 0.03%             | 2025-07-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PAPA JOHN'S INTERNATIONA                                         | Papa John's International Inc                                                   | CUSIP: 698813AA0<br>LEI: HZYLD3DK5XOX0WBVNB56 | Long             | DBT              | CORP              | US        |    135000 | PA      | $131241.60    | 0.05%             | 2029-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BXHPP Trust                                                      | BXHPP Trust 2021-FILM                                                           | CUSIP: 05609JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515000 | PA      | $459653.26    | 0.19%             | 2036-08-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4625000 | PA      | $4534060.94   | 1.84%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSC Capital Corp Mortgage Trust                                  | GSC Capital Corp Mortgage Trust 2006-2                                          | CUSIP: 362480AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136943 | PA      | $131297.10    | 0.05%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                              | Mastr Asset Backed Securities Trust 2007-HE1                                    | CUSIP: 576457AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1695433.00   | 0.69%             | 2037-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PBT2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     75000 | PA      | $73989.00     | 0.03%             | 2026-11-19      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | Citigroup Inc                                                                   | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     75000 | PA      | $75634.50     | 0.03%             | 2036-03-27      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                  | Credit-Based Asset Servicing and Securitization LLC                             | CUSIP: 12489WGJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185739 | PA      | $180388.20    | 0.07%             | 2032-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I                                           | Vmed O2 UK Financing I PLC                                                      | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    140000 | PA      | $145699.40    | 0.06%             | 2032-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                                         | Thermo Fisher Scientific Inc                                                    | CUSIP: 883556CE0<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    140000 | PA      | $106181.02    | 0.04%             | 2049-10-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                          | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    125000 | PA      | $129011.25    | 0.05%             | 2027-07-27      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                          | KazMunayGas National Co JSC                                                     | CUSIP: 000000000<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    200000 | PA      | $173168.00    | 0.07%             | 2033-04-14      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Brazil Government International Bonds                            | Brazil Government International Bonds                                           | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    200000 | PA      | $199006.00    | 0.08%             | 2034-03-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                                    | ModivCare Inc                                                                   | CUSIP: 60783XAC8<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | DBT              | CORP              | US        |    537600 | PA      | $147840.00    | 0.06%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                              | COMM 2020-CX Mortgage Trust                                                     | CUSIP: 12656KAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $285468.43    | 0.12%             | 2046-11-10      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                      | Rad CLO 22 Ltd                                                                  | CUSIP: 74923VAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $353778.25    | 0.14%             | 2037-01-20      | Floating      | 9.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    568168 | PA      | $582303.57    | 0.24%             | 2039-09-25      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATI                                         | Consolidated Communications Inc                                                 | CUSIP: 20903XAF0<br>LEI: 549300WW675Y48HDVX34 | Long             | DBT              | CORP              | US        |    131000 | PA      | $133469.35    | 0.05%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                   | Adjustable Rate Mortgage Trust 2005-4                                           | CUSIP: 007036KJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283608 | PA      | $224683.97    | 0.09%             | 2035-08-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                            | VOLT XCIX LLC                                                                   | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122984 | PA      | $123008.19    | 0.05%             | 2051-04-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| TCW Private Asset Income Fund                                    | TCW Private Asset Income Fund                                                   | CUSIP: 87807Y206<br>LEI: 254900JOZ7KOHWZ5ZD02 | Long             | EC               | RF                | US        |    636358 | NS      | $6376310.87   | 2.59%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US 10YR ULTRA FUT SEP25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -245 | NC      | $-794951.02   | -0.32%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                               | CUSIP: 3136BTLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4965831 | PA      | $283775.20    | 0.12%             | 2054-07-25      | Floating      | 1.04%                 | No            |                  2 | On Loan: No      |
| NXPT Commercial Mortgage Trust                                   | NXPT Commercial Mortgage Trust 2024-STOR                                        | CUSIP: 67119YAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    528000 | PA      | $533794.17    | 0.22%             | 2041-11-05      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| EZCORP INC                                                       | EZCORP Inc                                                                      | CUSIP: 302301AJ5<br>LEI: 5493003K6PG3ZQ7TUQ63 | Long             | DBT              | CORP              | US        |    225000 | PA      | $236866.50    | 0.10%             | 2032-04-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                           | SLM Student Loan EDC Repackaging Trust 2013-M1                                  | CUSIP: 78447T103<br>LEI: 549300QFNKDN6MY4H751 | Long             | ABS-O            | CORP              | US        |      1000 | PA      | $210773.72    | 0.09%             | 2029-10-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FERRELLGAS LP/FERRELLGAS                                         | Ferrellgas LP / Ferrellgas Finance Corp                                         | CUSIP: 315289AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    140000 | PA      | $138983.60    | 0.06%             | 2026-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                            | Athene Global Funding                                                           | CUSIP: 04685A2Z3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    240000 | PA      | $233460.00    | 0.09%             | 2026-06-29      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                           | GSAA Home Equity Trust 2006-13                                                  | CUSIP: 36244SAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1067189 | PA      | $299806.21    | 0.12%             | 2036-07-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION                                           | Clydesdale Acquisition Holdings Inc                                             | CUSIP: 18972EAA3<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |    120000 | PA      | $121818.00    | 0.05%             | 2029-04-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS Health Corp                                                                 | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    375000 | PA      | $377077.50    | 0.15%             | 2054-12-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust                                   | ILPT Trust 2019-SURF                                                            | CUSIP: 44965LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $233852.42    | 0.10%             | 2041-02-11      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                                           | Blackstone Property Partners Europe Holdings Sarl                               | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |    150000 | PA      | $166090.31    | 0.07%             | 2028-05-04      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                       | AMSR 2021-SFR2 Trust                                                            | CUSIP: 00179VAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $727855.13    | 0.30%             | 2038-08-17      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                        | CUSIP: 38380BP58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1124682 | PA      | $214766.53    | 0.09%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance Plc                                 | Grace Trust 2020-GRCE                                                           | CUSIP: 38406JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $603047.69    | 0.25%             | 2040-12-10      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| PIKE CORP                                                        | Pike Corp                                                                       | CUSIP: 721283AB5<br>LEI: 549300P4EKEP6HK0NC58 | Long             | DBT              | CORP              | US        |    230000 | PA      | $250520.60    | 0.10%             | 2031-01-31      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                           | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              |  | US        |     33000 | PA      | $32875.26     | 0.01%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                       | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                            | CUSIP: 78413MAQ1<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |    880000 | PA      | $696579.66    | 0.28%             | 2043-01-05      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                          | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAM8<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    245000 | PA      | $249069.45    | 0.10%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Annaly Capital Management Inc                                    | Annaly Capital Management Inc                                                   | CUSIP: 035710839<br>LEI: 2DTL0G3FPRYUT58TI025 | Long             | EC               |  | US        |     41441 | NS      | $779919.62    | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| ELO SACA                                                         | ELO SACA                                                                        | CUSIP: 000000000<br>LEI: 969500ASEC557H5A4F22 | Long             | DBT              | CORP              | FR        |    100000 | PA      | $109459.11    | 0.04%             | 2029-03-22      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                          | Southern Co Gas Capital Corp                                                    | CUSIP: 001192AL7<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    640000 | PA      | $638348.80    | 0.26%             | 2025-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                 | Berry Global Inc                                                                | CUSIP: 08576PAL5<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     95000 | PA      | $97531.75     | 0.04%             | 2028-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MAJORDRIVE HOLDINGS IV L                                         | MajorDrive Holdings IV LLC                                                      | CUSIP: 56085RAA8<br>LEI: 25490044R1FR5N8FIT62 | Long             | DBT              | CORP              | US        |    135000 | PA      | $107071.20    | 0.04%             | 2029-06-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| STAPLES INC                                                      | Staples Inc                                                                     | CUSIP: 855030AQ5<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |     55000 | PA      | $52294.55     | 0.02%             | 2029-09-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2005-AR19                                      | CUSIP: 45660LXA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354490 | PA      | $287100.34    | 0.12%             | 2035-10-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-01

**Name of Applicant:** TCW STRATEGIC INCOME FUND INC

**Signature:** Richard Villa

**Name of Signer:** Richard Villa

**Title:** Treasurer