# EDGAR Filing Document

**Accession Number:** 0000809559
**File Stem:** 0001752724-23-031574
**Filing Date:** 2023-2
**Character Count:** 325845
**Document Hash:** a54d05501d3b822598b58a8bff034ae5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-031574.hdr.sgml**: 20230221

**ACCESSION NUMBER**: 0001752724-23-031574

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230221

**DATE AS OF CHANGE**: 20230221

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TCW STRATEGIC INCOME FUND INC
- **CENTRAL INDEX KEY:** 0000809559
- **IRS NUMBER:** 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:** 23647582

**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:** 865 S FIGUEROA ST

  - **City:** LOS ANGELES

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90017

  - **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:** 2022-12-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $294743848.24

**Total Liabilities:** $59015180.69

**Net Assets:** $235728667.55

**Delayed Delivery Securities:** $10128344.74

**Cash Not Reported:** $2173483.64

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -264.75000000 | **1-Year:** -5127.82000000 | **5-Year:** -17485.70000000 | **10-Year:** -22499.15000000 | **30-Year:** -8082.10000000

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

- **3-Month:** -410.81000000 | **1-Year:** -7817.98000000 | **5-Year:** -20189.17000000 | **10-Year:** -14059.12000000 | **30-Year:** -2865.28000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | -2.33%               | 2.17%                | 1.39%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-399070.90              | $-991651.02                                |
| Month 2  | $-371502.33              | $6398866.67                                |
| Month 3  | $70604.53                | $-2029108.82                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| 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        |    318744 | PA      | $273280.47    | 0.12%             | 2037-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: BWFCME023 IRS USD R V 03MLIBOR SWFCME023_FLO CCPVANILLA / Short: BWFCME023 IRS USD P F  1.80750 SWFCME023_FIX CCPVANILLA | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    265000 | OU      | $77422.61     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                 | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    190000 | PA      | $138711.40    | 0.06%             | 2036-09-16      | Fixed         | 2.48%                 | 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        |    254864 | PA      | $250297.83    | 0.11%             | 2035-04-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    425000 | PA      | $374395.25    | 0.16%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Alabama Economic Settlement Authority             | ALABAMA ECON SETTLEMENT AUTH BP SETTLEMENT REVENUE                                                                             | CUSIP: 01026CAD3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    705000 | PA      | $656129.47    | 0.28%             | 2032-09-15      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                      | British American Tobacco PLC                                                                                                   | CUSIP: 110448107<br>LEI: 213800FKA5MF17RJKT63 | Long             | EC               | CORP              | GB        |     15706 | NS      | $627925.88    | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                                                                              | CUSIP: 780097BK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    180000 | PA      | $175912.20    | 0.07%             | 2025-03-22      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Greenpoint Manufactured Housing                   | Greenpoint Manufactured Housing                                                                                                | CUSIP: 395383AN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    475311 | PA      | $356712.73    | 0.15%             | 2030-03-20      | Variable      | 8.14%                 | No            |                  2 | On Loan: No      |
| Farmers Exchange Capital                          | Farmers Exchange Capital                                                                                                       | CUSIP: 309588AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $514026.19    | 0.22%             | 2028-07-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| CHINA AOYUAN GROUP LTD                            | China Aoyuan Group Ltd                                                                                                         | CUSIP: 000000000<br>LEI: 549300YSOKQO5QD6MP25 | Long             | DBT              | CORP              | KY        |    400000 | PA      | $33800.00     | 0.01%             | 2024-02-08      | Fixed         | 6.35%                 | Yes           |                  3 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2012-GCJ7                                                                                         | CUSIP: 36192KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    304967 | PA      | $167.92       | 0.00%             | 2045-05-10      | Variable      | 0.64%                 | 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        |   1487523 | PA      | $69217.29     | 0.03%             | 2037-06-25      | Floating      | 1.68%                 | No            |                  3 | On Loan: No      |
| Options Clearing Corp.                            | COMERICA INC                                                                                                                   | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |       -23 | NC      | $-92.00       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: BWFCME027 IRS USD R V 03MLIBOR SWFCME027_FLO CCPVANILLA / Short: BWFCME027 IRS USD P F  1.78500 SWFCME027_FIX CCPVANILLA | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    400000 | OU      | $118521.64    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| COMERICA INC                                      | Comerica Inc                                                                                                                   | CUSIP: 200340AU1<br>LEI: I9Q57JVPWHHZ3ZGBW498 | Long             | DBT              | CORP              | US        |    395000 | PA      | $382123.00    | 0.16%             | 2025-07-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| EVERI HOLDINGS INC                                | Everi Holdings Inc                                                                                                             | CUSIP: 30034TAA1<br>LEI: 5299006DK5S7BG10K532 | Long             | DBT              | CORP              | US        |    275000 | PA      | $238218.75    | 0.10%             | 2029-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2021-R03                                                                                   | CUSIP: 20754AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $602557.40    | 0.26%             | 2041-12-25      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| Shell PLC                                         | Shell PLC                                                                                                                      | CUSIP: 780259305<br>LEI: 21380068P1DRHMJ8KU70 | Long             | EC               | CORP              | GB        |     12146 | NS      | $691714.70    | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                                                                        | CUSIP: 404119CG2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    105000 | PA      | $82315.80     | 0.03%             | 2052-03-15      | Fixed         | 4.63%                 | 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      | $101635.73    | 0.04%             | 2041-12-10      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                          | Santander UK Group Holdings PLC                                                                                                | CUSIP: 80281LAN5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    565000 | PA      | $529455.85    | 0.22%             | 2025-03-15      | Fixed         | 1.09%                 | 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        |    194170 | PA      | $179601.82    | 0.08%             | 2035-10-25      | Floating      | 5.41%                 | No            |                  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      | $1116370.67   | 0.47%             | 2040-08-17      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities            | Natixis Commercial Mortgage Securities Trust 2019-FAME                                                                         | CUSIP: 63873VAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    835000 | PA      | $715297.07    | 0.30%             | 2036-08-15      | Variable      | 4.40%                 | 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      | $672768.58    | 0.29%             | 2028-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                  | WFRBS Commercial Mortgage Trust 2014-C24                                                                                       | CUSIP: 92939KAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5129086 | PA      | $58925.25     | 0.02%             | 2047-11-15      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                                                                          | CUSIP: 04685A3C3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    425000 | PA      | $344160.75    | 0.15%             | 2028-08-19      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                 | General Motors Co                                                                                                              | CUSIP: 37045VAE0<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    150000 | PA      | $149578.50    | 0.06%             | 2023-10-02      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PIKE CORP                                         | Pike Corp                                                                                                                      | CUSIP: 721283AA7<br>LEI: 549300P4EKEP6HK0NC58 | Long             | DBT              | CORP              | US        |    300000 | PA      | $262761.00    | 0.11%             | 2028-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                          | Hudson Pacific Properties LP                                                                                                   | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |    275000 | PA      | $234383.41    | 0.10%             | 2027-11-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                                                                                       | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $276363.78    | 0.12%             | 2033-08-11      | Fixed         | 4.98%                 | 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        |   6782470 | PA      | $72817.95     | 0.03%             | 2037-01-25      | Variable      | 0.33%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                       | CUSIP: 38378BV30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1137772 | PA      | $18230.75     | 0.01%             | 2053-02-16      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                                                                            | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    145000 | PA      | $118990.10    | 0.05%             | 2026-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| TRIVIUM PACKAGING FIN                             | Trivium Packaging Finance BV                                                                                                   | CUSIP: 89686QAA4<br>LEI: 724500GMZWW3PVYET548 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $229771.40    | 0.10%             | 2026-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Berry Global Inc                                  | Berry Global Inc                                                                                                               | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     85000 | PA      | $82029.30     | 0.03%             | 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        |     43258 | PA      | $3102.50      | 0.00%             | 2037-05-25      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Comerica Inc                                      | Comerica Inc                                                                                                                   | CUSIP: 200340107<br>LEI: I9Q57JVPWHHZ3ZGBW498 | Long             | EC               | CORP              | US        |      2317 | NS      | $154891.45    | 0.07%             |  |  |  | No            |                  1 | 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      | $554217.30    | 0.24%             | 2029-09-10      | None          | 0.00%                 | 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        |   3083612 | PA      | $1336007.94   | 0.57%             | 2047-06-26      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                               | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    285000 | PA      | $264445.80    | 0.11%             | 2028-03-24      | Fixed         | 3.53%                 | 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        |    310957 | PA      | $294339.21    | 0.12%             | 2036-12-25      | Floating      | 3.44%                 | 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      | $509722.49    | 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      | $219553.96    | 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        |    474426 | PA      | $291581.44    | 0.12%             | 2037-06-25      | Floating      | 4.65%                 | 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        |   2926000 | PA      | $2283687.41   | 0.97%             | 2047-09-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GR                          | Cogent Communications Group Inc                                                                                                | CUSIP: 19240CAE3<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |    125000 | PA      | $121747.50    | 0.05%             | 2027-06-15      | Fixed         | 7.00%                 | 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        |    108375 | PA      | $92232.20     | 0.04%             | 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        |    430000 | PA      | $371661.90    | 0.16%             | 2027-09-10      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                  | BAT Capital Corp                                                                                                               | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    135000 | PA      | $95895.42     | 0.04%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                                         | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1450000 | PA      | $1276114.91   | 0.54%             | 2033-08-12      | Fixed         | 6.54%                 | 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      | $724119.95    | 0.31%             | 2044-12-27      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| EDGEWELL PERSONAL CARE                            | Edgewell Personal Care Co                                                                                                      | CUSIP: 28035QAA0<br>LEI: 549300CY8QZDL4Z3RU59 | Long             | DBT              | CORP              | US        |    265000 | PA      | $248384.50    | 0.11%             | 2028-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QA10 Trust                                                                                                    | CUSIP: 74922NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    399965 | PA      | $319959.91    | 0.14%             | 2036-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                             | Caesars Entertainment Inc                                                                                                      | CUSIP: 28470RAK8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    150000 | PA      | $147691.50    | 0.06%             | 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        |   2874696 | PA      | $81891.19     | 0.03%             | 2027-05-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                            | SHELL PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | GB        |      -120 | NC      | $-360.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-CCRE18 Mortgage Trust                                                                                                | CUSIP: 12632QAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6062124 | PA      | $65945.00     | 0.03%             | 2047-07-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                            | GAMING AND LEISURE PROPERTIES                                                                                                  | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |       -75 | NC      | $-1500.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AXALTA COAT/DUTCH HLD BV                          | Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV                                                         | CUSIP: 05454NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    135000 | PA      | $125212.50    | 0.05%             | 2027-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                                    | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    545000 | PA      | $393168.45    | 0.17%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                              | Colombia Government International Bond                                                                                         | CUSIP: 195325EF8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    200000 | PA      | $201000.00    | 0.09%             | 2033-04-20      | Fixed         | 8.00%                 | 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      | $212492.39    | 0.09%             | 2040-12-10      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                          | Warnermedia Holdings Inc                                                                                                       | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    756000 | PA      | $556151.40    | 0.24%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                                                  | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    440000 | PA      | $405073.43    | 0.17%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | 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        |    392671 | PA      | $3.95         | 0.00%             | 2036-07-25      | Variable      | 0.57%                 | No            |                  3 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PBH8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    505000 | PA      | $467847.15    | 0.20%             | 2026-03-13      | Fixed         | 2.01%                 | 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      | $246398.00    | 0.10%             | 2073-07-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                                    | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    205000 | PA      | $159112.80    | 0.07%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                             | Molina Healthcare Inc                                                                                                          | CUSIP: 60855RAL4<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |    175000 | PA      | $145699.75    | 0.06%             | 2032-05-15      | Fixed         | 3.88%                 | 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      | $658130.20    | 0.28%             | 2034-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                               | Petroleos Mexicanos                                                                                                            | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    486000 | PA      | $337373.28    | 0.14%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                                                                   | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    205000 | PA      | $192713.98    | 0.08%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                                                | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    355000 | PA      | $275507.11    | 0.12%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PRESTIGE BRANDS INC                               | Prestige Brands Inc                                                                                                            | CUSIP: 74112BAM7<br>LEI: 549300JBVP4J6D42I235 | Long             | DBT              | CORP              | US        |    445000 | PA      | $367545.56    | 0.16%             | 2031-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2014-R5 Trust                                                                                          | CUSIP: 05990PAA3<br>LEI: 549300LENCFK8RITKD65 | Long             | ABS-MBS          | CORP              | US        |      2004 | PA      | $2003.51      | 0.00%             | 2045-09-26      | Floating      | 6.73%                 | 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      | $1173225.17   | 0.50%             | 2059-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                                               | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     75000 | PA      | $68351.25     | 0.03%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MFT Trust                                         | MFT Trust 2020-ABC                                                                                                             | CUSIP: 55317BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $125758.50    | 0.05%             | 2042-02-10      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2021-HQA2                                                                                        | CUSIP: 35564KFV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $790109.78    | 0.34%             | 2033-12-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| ESC CB144A INTELSAT JA                            | ESC CB144A INTELSAT JA                                                                                                         | CUSIP: 458ESCAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    535000 | PA      | $0.00         | 0.00%             | 2024-10-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                          | Santander UK Group Holdings PLC                                                                                                | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     55000 | PA      | $46708.20     | 0.02%             | 2027-06-14      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOAN TRUST             | Harvest Commercial Capital Loan Trust 2019-1                                                                                   | CUSIP: 41753CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283694 | PA      | $268704.17    | 0.11%             | 2046-09-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| General Electric Co                               | General Electric Co                                                                                                            | CUSIP: 36962GX74<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $1984204.44   | 0.84%             | 2036-08-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                  | Wells Fargo & Co                                                                                                               | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |     19525 | NS      | $806187.25    | 0.34%             |  |  |  | No            |                  1 | 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      | $522924.80    | 0.22%             | 2043-01-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Qwest Corp                                        | Qwest Corp                                                                                                                     | CUSIP: 912920AK1<br>LEI: 549300R2L4N683OO1509 | Long             | DBT              | CORP              | US        |    250000 | PA      | $251250.00    | 0.11%             | 2025-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2020-SFR3 Trust                                                                                                           | CUSIP: 001807AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $892244.60    | 0.38%             | 2037-09-17      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| AGNC Investment Corp                              | AGNC Investment Corp                                                                                                           | CUSIP: 00123Q104<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EC               |  | US        |    144641 | NS      | $1497034.35   | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| 321 Henderson Receivables LLC                     | J.G. Wentworth XXXVIII LLC                                                                                                     | CUSIP: 46620JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    191960 | PA      | $166768.86    | 0.07%             | 2060-08-16      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| UNIFRAX ESCROW ISS CORP                           | ASP Unifrax Holdings Inc                                                                                                       | CUSIP: 90473LAA0<br>LEI: 549300RRU6BWJLD0YT71 | Long             | DBT              | CORP              | US        |    280000 | PA      | $225705.20    | 0.10%             | 2028-09-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                          | AT&T Inc                                                                                                                       | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    530000 | PA      | $450534.12    | 0.19%             | 2046-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                           | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     80000 | PA      | $64112.80     | 0.03%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                              | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1075000 | PA      | $870158.75    | 0.37%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                             | Guatemala Government Bond                                                                                                      | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |    242000 | PA      | $200230.80    | 0.08%             | 2033-10-07      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                               | Petroleos Mexicanos                                                                                                            | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    130000 | PA      | $82663.75     | 0.04%             | 2060-01-28      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| EFS Volunteer No 2 LLC                            | EFS Volunteer No 2 LLC                                                                                                         | CUSIP: 26845BAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    628103 | PA      | $621672.16    | 0.26%             | 2036-03-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                        | Apidos CLO XXXVII                                                                                                              | CUSIP: 03769HAC1<br>LEI: 549300OGB01ASKLNI660 | Long             | ABS-CBDO         | CORP              | KY        |    725000 | PA      | $689547.50    | 0.29%             | 2034-10-22      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Redwood Trust Inc                                 | Redwood Trust Inc                                                                                                              | CUSIP: 758075402<br>LEI: DRBV4N1ERQLEMIF11G78 | Long             | EC               |  | US        |     61963 | NS      | $418869.88    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| PNC FINANCIAL SERVICES                            | PNC Financial Services Group Inc/The                                                                                           | CUSIP: 693475BJ3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    235000 | PA      | $245885.20    | 0.10%             | 2033-10-28      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                            | Brazilian Government International Bond                                                                                        | CUSIP: 105756CC2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    200000 | PA      | $173960.00    | 0.07%             | 2030-06-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                | BX Trust 2019-OC11                                                                                                             | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $222418.32    | 0.09%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-7                                                                                                   | CUSIP: 52520QAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2888836 | PA      | $281685.93    | 0.12%             | 2036-11-25      | Floating      | 2.16%                 | No            |                  3 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SWFCME022 IRS USD R F  1.07250 SWFCME022_FIX CCPVANILLA / Short: SWFCME022 IRS USD P V 03MLIBOR SWFCME022_FLO CCPVANILLA | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   3190000 | OU      | $-189101.60   | -0.08%            |  |  |  | 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        |    639056 | PA      | $530926.84    | 0.23%             | 2037-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| NCR CORP                                          | NCR Corp                                                                                                                       | CUSIP: 62886EBA5<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |    315000 | PA      | $263793.60    | 0.11%             | 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        |   2500000 | PA      | $156008.25    | 0.07%             | 2044-12-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                       | CUSIP: 38374M7D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    881631 | PA      | $90945.51     | 0.04%             | 2036-07-20      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                          | Warnermedia Holdings Inc                                                                                                       | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    630000 | PA      | $485125.20    | 0.21%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                          | Santander UK Group Holdings PLC                                                                                                | CUSIP: 80281LAH8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    275000 | PA      | $274983.71    | 0.12%             | 2024-01-05      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2550000 | PA      | $2455459.72   | 1.04%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                              | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                                                                         | CUSIP: 46590XAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     25000 | PA      | $23846.63     | 0.01%             | 2030-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                              | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    285000 | PA      | $246059.56    | 0.10%             | 2027-05-24      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                | VICI Properties LP                                                                                                             | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    265000 | PA      | $246015.40    | 0.10%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | CoreVest American Finance 2020-3 Trust                                                                                         | CUSIP: 21873CAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1650000 | PA      | $197816.36    | 0.08%             | 2053-08-15      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| US AIRWAYS 2010-1A PTT                            | US Airways 2010-1 Class A Pass Through Trust                                                                                   | CUSIP: 90345KAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    231812 | PA      | $231253.37    | 0.10%             | 2023-04-22      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Ball Corp                                         | Ball Corp                                                                                                                      | CUSIP: 058498AS5<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |     90000 | PA      | $88537.50     | 0.04%             | 2023-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                             | CUSIP: 3137APLC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    554788 | PA      | $56026.85     | 0.02%             | 2042-04-15      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-8 LLC                                                                                                                | CUSIP: 69360MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    728980 | PA      | $656775.73    | 0.28%             | 2026-09-25      | Variable      | 1.74%                 | 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        |   1943020 | PA      | $553564.37    | 0.23%             | 2036-07-25      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                 | Cedar Funding XII CLO Ltd                                                                                                      | CUSIP: 15033TAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1375000 | PA      | $1333791.25   | 0.57%             | 2034-10-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| SCRIPPS ESCROW INC                                | Scripps Escrow Inc                                                                                                             | CUSIP: 81104PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    265000 | PA      | $238500.00    | 0.10%             | 2027-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                                   | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    161000 | PA      | $120914.22    | 0.05%             | 2033-02-15      | Fixed         | 2.60%                 | 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        |    341991 | PA      | $332390.13    | 0.14%             | 2037-02-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                              | Michaels Cos Inc/The                                                                                                           | CUSIP: 55916AAB0<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |    590000 | PA      | $395269.49    | 0.17%             | 2029-05-01      | Fixed         | 7.88%                 | 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      | $1217192.21   | 0.52%             | 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        |   6504372 | PA      | $235572.03    | 0.10%             | 2049-11-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| TRITON WATER HOLDINGS IN                          | Triton Water Holdings Inc                                                                                                      | CUSIP: 89680EAA7<br>LEI: 5493005IYCEL7QJFZZ63 | Long             | DBT              | CORP              | US        |    350000 | PA      | $285687.50    | 0.12%             | 2029-04-01      | Fixed         | 6.25%                 | 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      | $269267.03    | 0.11%             | 2048-05-15      | Variable      | 0.50%                 | 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        |   4674325 | PA      | $498469.98    | 0.21%             | 2036-04-25      | Floating      | 1.11%                 | No            |                  3 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                                         | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    500000 | PA      | $347595.00    | 0.15%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                   | Gen Digital Inc                                                                                                                | CUSIP: 668771AK4<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |    250000 | PA      | $245745.00    | 0.10%             | 2027-09-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| DIGITAL INTREPID HOLDING                          | Digital Intrepid Holding BV                                                                                                    | CUSIP: 000000000<br>LEI: 5493003H2CB2KXPP7461 | Long             | DBT              |  | NL        |    165000 | PA      | $120762.51    | 0.05%             | 2031-07-15      | Fixed         | 0.63%                 | Yes           |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                            | Arizona Public Service Co                                                                                                      | CUSIP: 040555DB7<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $667170.00    | 0.28%             | 2050-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                          | Aon Corp / Aon Global Holdings PLC                                                                                             | CUSIP: 03740LAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    270000 | PA      | $209557.80    | 0.09%             | 2052-02-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2022-P2                                                                                         | CUSIP: 14686JAM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3700 | PA      | $635157.71    | 0.27%             | 2029-05-10      | None          | 0.00%                 | 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      | $403956.00    | 0.17%             | 2034-01-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM / SPEC I                          | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC                                                | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    981562 | PA      | $970458.03    | 0.41%             | 2025-03-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| OMAN GOV INTERNTL BOND                            | Oman Government International Bond                                                                                             | CUSIP: 000000000<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |    200000 | PA      | $197860.00    | 0.08%             | 2028-01-17      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                               | Eaton Vance CLO 2020-1 Ltd                                                                                                     | CUSIP: 278300AJ7<br>LEI: 5493004NKU3QU5G6QW39 | Long             | ABS-CBDO         | CORP              | KY        |    850000 | PA      | $826625.00    | 0.35%             | 2034-10-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                     | FirstCash Inc                                                                                                                  | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |    280000 | PA      | $250745.60    | 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        |    357126 | PA      | $208641.86    | 0.09%             | 2036-05-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                          | Rockies Express Pipeline LLC                                                                                                   | CUSIP: 77340RAT4<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    125000 | PA      | $110781.25    | 0.05%             | 2030-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2022-3 LLC                                                                                                                | CUSIP: 693589AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1331539 | PA      | $1286098.40   | 0.55%             | 2027-06-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2013-CCRE11 Mortgage Trust                                                                                                | CUSIP: 12626LAF9<br>LEI: 549300BCCWSDWINK2593 | Long             | ABS-MBS          | CORP              | US        |   9400084 | PA      | $29870.65     | 0.01%             | 2050-08-10      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                          | Healthcare Realty Holdings LP                                                                                                  | CUSIP: 42225UAM6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |     22000 | PA      | $16131.06     | 0.01%             | 2031-03-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: BWFCME025 IRS USD R V 03MLIBOR SWFCME025_FLO CCPVANILLA / Short: BWFCME025 IRS USD P F  1.77250 SWFCME025_FIX CCPVANILLA | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    530000 | OU      | $158261.18    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| ADVANCED DRAINAGE SYSTEM                          | Advanced Drainage Systems Inc                                                                                                  | CUSIP: 00790RAB0<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Long             | DBT              | CORP              | US        |    125000 | PA      | $121626.25    | 0.05%             | 2030-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3138LF5C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1086461 | PA      | $909380.93    | 0.39%             | 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        |    640000 | PA      | $506920.13    | 0.22%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                               | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PAP1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    385000 | PA      | $382512.00    | 0.16%             | 2024-04-23      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                                   | Allegro CLO XIII Ltd                                                                                                           | CUSIP: 01750WAE9<br>LEI: 254900E6QZJ305P65V74 | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $623284.35    | 0.26%             | 2034-07-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                          | Teachers Insurance & Annuity Association of America                                                                            | CUSIP: 878091BE6<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    675000 | PA      | $647604.28    | 0.27%             | 2054-09-15      | Fixed         | 4.38%                 | 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      | $172138.76    | 0.07%             | 2083-01-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2021-R3                                                                                                              | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    871644 | PA      | $772560.96    | 0.33%             | 2057-06-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                     | ModivCare Inc                                                                                                                  | CUSIP: 743815AE2<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | DBT              | CORP              | US        |    130000 | PA      | $122280.14    | 0.05%             | 2025-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc                             | Reynolds American Inc                                                                                                          | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    975000 | PA      | $836725.50    | 0.35%             | 2045-08-15      | Fixed         | 5.85%                 | 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        |    114491 | PA      | $101636.81    | 0.04%             | 2037-04-25      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co                              | Kraft Heinz Foods Co                                                                                                           | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    210000 | PA      | $171861.90    | 0.07%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                           | HCA Inc                                                                                                                        | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     65000 | PA      | $64367.55     | 0.03%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4688362.40   | 1.99%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BLOOMIN' BRANDS INC/OSI                           | Bloomin' Brands Inc / OSI Restaurant Partners LLC                                                                              | CUSIP: 094234AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    285000 | PA      | $242250.00    | 0.10%             | 2029-04-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                 | ABFC 2007-NC1 Trust                                                                                                            | CUSIP: 00076BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    852903 | PA      | $774446.38    | 0.33%             | 2037-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust        | JPMBB Commercial Mortgage Securities Trust 2014-C21                                                                            | CUSIP: 46642EBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1498468 | PA      | $15031.88     | 0.01%             | 2047-08-15      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2019-R07                                                                                   | CUSIP: 20753WAE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $970149.00    | 0.41%             | 2039-10-25      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| GLOBAL SWITCH FINANCE                             | Global Switch Finance BV                                                                                                       | CUSIP: 000000000<br>LEI: 635400GVJAKOJNEUMF33 | Long             | DBT              | CORP              | NL        |    315000 | PA      | $285444.37    | 0.12%             | 2030-10-07      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2020-SFR1 Trust                                                                                                           | CUSIP: 00180AAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $810095.48    | 0.34%             | 2037-04-17      | Fixed         | 8.19%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                 | Brown & Brown Inc                                                                                                              | CUSIP: 115236AF8<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    200000 | PA      | $163638.00    | 0.07%             | 2052-03-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2006-12N                                                                                                | CUSIP: 525226AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545586 | PA      | $518991.21    | 0.22%             | 2046-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2013-CCRE12 Mortgage Trust                                                                                                | CUSIP: 12591KAF2<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |   8487125 | PA      | $45303.42     | 0.02%             | 2046-10-10      | Variable      | 1.06%                 | 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              | CORP              | US        |    210000 | PA      | $200482.80    | 0.09%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                           | Park Aerospace Holdings Ltd                                                                                                    | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |    110000 | PA      | $109736.69    | 0.05%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2013-LC13 Mortgage Trust                                                                                                  | CUSIP: 12626GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5473539 | PA      | $19172.17     | 0.01%             | 2046-08-10      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP/FINANCE CORP                            | Sunoco LP / Sunoco Finance Corp                                                                                                | CUSIP: 86765LAT4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    283000 | PA      | $248955.10    | 0.11%             | 2029-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT MAR23                                                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -308 | NC      | $138119.89    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| GLP CAPITAL LP / FIN II                           | GLP Capital LP / GLP Financing II Inc                                                                                          | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    621000 | PA      | $610254.91    | 0.26%             | 2026-04-15      | Fixed         | 5.38%                 | 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        |   1819426 | NS      | $1819425.52   | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2007-QS3 Trust                                                                                                     | CUSIP: 75116BAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7778425 | PA      | $89353.88     | 0.04%             | 2037-02-25      | Variable      | 0.36%                 | No            |                  3 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                                                                                 | CUSIP: 67087TAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10816 | PA      | $10787.21     | 0.00%             | 2026-12-15      | Fixed         | 6.99%                 | 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        |   5899127 | PA      | $505339.59    | 0.21%             | 2036-03-25      | Floating      | 2.71%                 | No            |                  3 | On Loan: No      |
| CoreVest American Finance Ltd                     | Corevest American Finance 2020-1 Trust                                                                                         | CUSIP: 21872UAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    470000 | PA      | $407902.47    | 0.17%             | 2050-03-15      | Fixed         | 2.30%                 | 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        |    453333 | PA      | $222527.30    | 0.09%             | 2034-09-20      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                              | LXP Industrial Trust                                                                                                           | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              |  | US        |    275000 | PA      | $219728.02    | 0.09%             | 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        |    268494 | PA      | $254324.22    | 0.11%             | 2034-10-25      | Variable      | 3.83%                 | 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      | $527058.93    | 0.22%             | 2030-06-15      | Variable      | 8.29%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                            | VICI Properties LP / VICI Note Co Inc                                                                                          | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              |  | US        |     25000 | PA      | $22765.63     | 0.01%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC                             | Directv Financing LLC / Directv Financing Co-Obligor Inc                                                                       | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $202079.25    | 0.09%             | 2027-08-15      | Fixed         | 5.88%                 | 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        |    360000 | PA      | $297878.40    | 0.13%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                             | Tenet Healthcare Corp                                                                                                          | CUSIP: 88033GCY4<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    260000 | PA      | $248053.00    | 0.11%             | 2026-01-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                            | Egypt Government International Bond                                                                                            | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    200000 | PA      | $180000.00    | 0.08%             | 2025-10-06      | Fixed         | 5.25%                 | Yes           |                  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        |    117886 | PA      | $85640.60     | 0.04%             | 2036-02-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Transocean Poseidon Ltd                           | Transocean Poseidon Ltd                                                                                                        | CUSIP: 89383JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    274750 | PA      | $267798.83    | 0.11%             | 2027-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                       | GSAMP Trust 2007-NC1                                                                                                           | CUSIP: 3622MGAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2361585 | PA      | $1160202.95   | 0.49%             | 2046-12-25      | Floating      | 4.54%                 | 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              | CORP              | US        |    345000 | PA      | $339824.84    | 0.14%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2021-NR4                                                                                                             | CUSIP: 12566DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1186185 | PA      | $1099952.82   | 0.47%             | 2061-10-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                          | Venture Global Calcasieu Pass LLC                                                                                              | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    425000 | PA      | $372618.75    | 0.16%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                                                                    | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    305000 | PA      | $281881.00    | 0.12%             | 2025-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| INTELSAT EMERGENCE SA                             | INTELSAT EMERGENCE SA                                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |     11069 | NS      | $267869.80    | 0.11%             |  |  |  | No            |                  3 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2020-CBM Mortgage Trust                                                                                                   | CUSIP: 20049AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5644863 | PA      | $61108.47     | 0.03%             | 2037-02-10      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Banc of California Multifamily Housing            | Freddie Mac Multifamily Structured Pass Through Certificates                                                                   | CUSIP: 3137FMUM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1981145 | PA      | $7383.53      | 0.00%             | 2024-08-25      | Fixed         | 0.36%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                          | Warnermedia Holdings Inc                                                                                                       | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4125.20      | 0.00%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                          | Santander UK Group Holdings PLC                                                                                                | CUSIP: 80281LAM7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     55000 | PA      | $48499.33     | 0.02%             | 2026-08-21      | Fixed         | 1.53%                 | 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        |    300000 | PA      | $226602.00    | 0.10%             | 2027-08-15      | Fixed         | 5.25%                 | 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        |   5744351 | PA      | $213429.37    | 0.09%             | 2050-11-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| VZ SECURED FINANCING BV                           | VZ Secured Financing BV                                                                                                        | CUSIP: 91845AAA3<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $245526.00    | 0.10%             | 2032-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                          | Graphic Packaging International LLC                                                                                            | CUSIP: 38869AAA5<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    130000 | PA      | $123012.50    | 0.05%             | 2027-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | PURCHASED EUR / SOLD USD                                                                                                       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |         1 | NC      | $3681.22      | 0.00%             |  |  |  | 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        |    932186 | PA      | $311816.67    | 0.13%             | 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        |    621705 | PA      | $534918.87    | 0.23%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bacardi Ltd                                       | Bacardi Ltd                                                                                                                    | CUSIP: 067316AH2<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |    205000 | PA      | $183721.93    | 0.08%             | 2048-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                      | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    590000 | PA      | $461309.20    | 0.20%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Global SC Finance SRL                             | Global SC Finance II SRL                                                                                                       | CUSIP: 37952UAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BB        |     68391 | PA      | $65908.30     | 0.03%             | 2029-07-17      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                               | Invitation Homes Operating Partnership LP                                                                                      | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              |  | US        |    210000 | PA      | $155183.70    | 0.07%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Gaming and Leisure Properties Inc                 | Gaming and Leisure Properties Inc                                                                                              | CUSIP: 36467J108<br>LEI: 5493006GWRDBCZYWTM57 | Long             | EC               |  | US        |      7500 | NS      | $390675.00    | 0.17%             |  |  |  | No            |                  1 | 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      | $1000897.91   | 0.42%             | 2038-12-17      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Churchill Downs Inc                               | Churchill Downs Inc                                                                                                            | CUSIP: 171484AE8<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |    400000 | PA      | $358568.00    | 0.15%             | 2028-01-15      | Fixed         | 4.75%                 | 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        |   1360112 | PA      | $239805.21    | 0.10%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| AT&T Inc                                          | AT&T Inc                                                                                                                       | CUSIP: 00206RHK1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    348000 | PA      | $311954.16    | 0.13%             | 2039-03-01      | Fixed         | 4.85%                 | 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      | $82492.04     | 0.03%             | 2043-10-25      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PCV6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    495000 | PA      | $465901.23    | 0.20%             | 2026-02-24      | Fixed         | 2.60%                 | 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        |   2613739 | PA      | $151345.31    | 0.06%             | 2041-08-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                               | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $963665.64    | 0.41%             | 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        |    741745 | PA      | $654270.83    | 0.28%             | 2058-10-25      | Variable      | 3.25%                 | 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      | $349650.00    | 0.15%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                   | CUSIP: 3137B5JN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25583218 | PA      | $8569.10      | 0.00%             | 2023-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                                    | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     60000 | PA      | $49816.80     | 0.02%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Vita Scientia                                     | Vita Scientia 2022-1 DAC                                                                                                       | CUSIP: 000000000<br>LEI: 635400JHBEHLCY2DZM20 | Long             | ABS-MBS          | CORP              | IE        |   1500000 | PA      | $1383758.78   | 0.59%             | 2033-02-27      | Floating      | 4.41%                 | Yes           |                  2 | On Loan: No      |
| Bank of America N.A.                              | PURCHASED USD / SOLD EUR                                                                                                       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-1479.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                          | Rockies Express Pipeline LLC                                                                                                   | CUSIP: 77340RAR8<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    425000 | PA      | $388233.25    | 0.16%             | 2029-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                             | Tenet Healthcare Corp                                                                                                          | CUSIP: 88033GDJ6<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    260000 | PA      | $233789.40    | 0.10%             | 2028-10-01      | Fixed         | 6.13%                 | 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        |  50802836 | PA      | $225844.01    | 0.10%             | 2046-02-15      | Variable      | 0.39%                 | 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        |    313122 | PA      | $252937.99    | 0.11%             | 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        |    215000 | PA      | $190004.10    | 0.08%             | 2026-12-09      | Fixed         | 1.09%                 | 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      | $301869.27    | 0.13%             | 2083-07-26      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                                                                                 | CUSIP: 67087TBW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    683313 | PA      | $176907.48    | 0.08%             | 2030-07-15      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GR/DIAMON                          | Diamond Sports Group LLC / Diamond Sports Finance Co                                                                           | CUSIP: 25277LAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    522000 | PA      | $61987.50     | 0.03%             | 2026-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                           | HCA Inc                                                                                                                        | CUSIP: 197677AJ6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    235000 | PA      | $246106.10    | 0.10%             | 2027-12-01      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                               | Macquarie Group Ltd                                                                                                            | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    555000 | PA      | $427139.65    | 0.18%             | 2033-01-14      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-CCRE21 Mortgage Trust                                                                                                | CUSIP: 12592RBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16026825 | PA      | $203364.71    | 0.09%             | 2047-12-10      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                                             | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    634000 | PA      | $473122.50    | 0.20%             | 2028-02-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                          | Occidental Petroleum Corp                                                                                                      | CUSIP: 674599DG7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    513000 | PA      | $262394.37    | 0.11%             | 2036-10-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                             | CUSIP: 3133T5X32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14339 | PA      | $14248.09     | 0.01%             | 2024-02-15      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| HUB International Ltd                             | HUB International Ltd                                                                                                          | CUSIP: 44332PAD3<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |    125000 | PA      | $122881.25    | 0.05%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc                                  | T-Mobile USA Inc                                                                                                               | CUSIP: 87264AAV7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    186000 | PA      | $181446.65    | 0.08%             | 2028-02-01      | Fixed         | 4.75%                 | 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        |    229889 | PA      | $209192.51    | 0.09%             | 2033-10-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORG                                  | Organon & Co / Organon Foreign Debt Co-Issuer BV                                                                               | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | PA      | $239068.50    | 0.10%             | 2031-04-30      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                    | Air Lease Corp                                                                                                                 | CUSIP: 00912XAY0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    120000 | PA      | $108796.01    | 0.05%             | 2027-12-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                  | FirstEnergy Corp                                                                                                               | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    450000 | PA      | $297708.75    | 0.13%             | 2050-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER                          | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                                                                 | CUSIP: 01883LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $225790.00    | 0.10%             | 2027-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VONOVIA SE                                        | Vonovia SE                                                                                                                     | CUSIP: 000000000<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |    100000 | PA      | $59261.78     | 0.03%             | 2041-06-14      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd                    | HPS Loan Management 10-2016 Ltd                                                                                                | CUSIP: 40436TAS5<br>LEI: 2549009NI8GVCM3ROT27 | Long             | ABS-CBDO         | CORP              | KY        |    875000 | PA      | $846938.75    | 0.36%             | 2034-04-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2022-R04                                                                                   | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    850000 | PA      | $848420.70    | 0.36%             | 2042-03-25      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                                                                        | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    208000 | PA      | $190326.24    | 0.08%             | 2029-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE                            | Alliant Energy Finance LLC                                                                                                     | CUSIP: 01882YAD8<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    535000 | PA      | $462502.15    | 0.20%             | 2032-03-01      | Fixed         | 3.60%                 | 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        |    968768 | PA      | $598315.49    | 0.25%             | 2037-06-25      | Floating      | 4.75%                 | 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        |    345766 | PA      | $198745.81    | 0.08%             | 2035-07-25      | Variable      | 4.26%                 | 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        |    820759 | PA      | $503964.79    | 0.21%             | 2037-02-25      | Variable      | 3.55%                 | 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        |    329511 | PA      | $278076.65    | 0.12%             | 2035-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                  | Vmed O2 UK Financing I PLC                                                                                                     | CUSIP: 92858RAA8<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    260000 | PA      | $211060.20    | 0.09%             | 2031-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                        | Humana Inc                                                                                                                     | CUSIP: 444859BE1<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    125000 | PA      | $113507.56    | 0.05%             | 2044-10-01      | Fixed         | 4.95%                 | 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        |   1176074 | PA      | $1118781.84   | 0.47%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                                                               | CUSIP: 05526DBV6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    175000 | PA      | $146107.50    | 0.06%             | 2052-03-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| HERTZ CORP/THE                                    | Hertz Corp/The                                                                                                                 | CUSIP: 428040DA4<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |     25000 | PA      | $21000.00     | 0.01%             | 2026-12-01      | Fixed         | 4.63%                 | 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        |   5774079 | PA      | $319576.52    | 0.14%             | 2045-10-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                          | Healthcare Realty Holdings LP                                                                                                  | CUSIP: 42225UAH7<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |    170000 | PA      | $129087.40    | 0.05%             | 2031-03-15      | Fixed         | 2.00%                 | 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        |    432173 | PA      | $399732.30    | 0.17%             | 2034-10-25      | Floating      | 5.29%                 | No            |                  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        |    431141 | PA      | $402822.80    | 0.17%             | 2047-10-25      | Floating      | 5.29%                 | 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      | $994123.38    | 0.42%             | 2036-10-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                             | Time Warner Cable LLC                                                                                                          | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    120000 | PA      | $100035.17    | 0.04%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                   | CUSIP: 3137FBTD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3455000 | PA      | $121690.28    | 0.05%             | 2045-11-25      | Variable      | 1.96%                 | 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        |    557211 | PA      | $499988.31    | 0.21%             | 2047-06-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE MUTUAL INSURA                          | Nationwide Mutual Insurance Co                                                                                                 | CUSIP: 638671AJ6<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $997650.08    | 0.42%             | 2024-12-15      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                                                                            | CUSIP: 37940XAQ5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    105000 | PA      | $100228.80    | 0.04%             | 2032-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                                   | Allegro CLO XII Ltd                                                                                                            | CUSIP: 01750TAG1<br>LEI: 254900E0ZQX4DLP7HF87 | Long             | ABS-CBDO         | CORP              | KY        |    475000 | PA      | $458113.75    | 0.19%             | 2032-01-21      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| TITAN ACQ/CO-BORROWER                             | Titan Acquisition Ltd / Titan Co-Borrower LLC                                                                                  | CUSIP: 88827AAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    140000 | PA      | $126684.60    | 0.05%             | 2026-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.             | Conseco Finance Securitizations Corp                                                                                           | CUSIP: 20846QAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1282377 | PA      | $492877.56    | 0.21%             | 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        |    655000 | PA      | $504749.55    | 0.21%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                   | CUSIP: 3137B4H25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4020000 | PA      | $29403.49     | 0.01%             | 2041-10-25      | Variable      | 1.66%                 | 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        |    950679 | PA      | $243092.19    | 0.10%             | 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        |   4702111 | PA      | $75742.07     | 0.03%             | 2047-05-10      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| TIF Funding II LLC                                | TIF Funding II LLC                                                                                                             | CUSIP: 872480AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1289959 | PA      | $1053314.07   | 0.45%             | 2046-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2575000 | PA      | $2338422.49   | 0.99%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                             | CUSIP: 3133T4DA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6641 | PA      | $6817.89      | 0.00%             | 2024-02-15      | Floating      | 11.22%                | 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        |   1607772 | PA      | $701383.63    | 0.30%             | 2037-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| USQ Rail I LLC                                    | ITE Rail Fund Levered LP                                                                                                       | CUSIP: 90352WAD6<br>LEI: 25490077I8NB6ADB4I38 | Long             | ABS-O            | CORP              | US        |    383450 | PA      | $321703.17    | 0.14%             | 2051-02-28      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                              | Heathrow Funding Ltd                                                                                                           | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |    150000 | PA      | $115996.35    | 0.05%             | 2034-03-14      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                           | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    625000 | PA      | $552218.94    | 0.23%             | 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        |   8244055 | PA      | $127552.01    | 0.05%             | 2048-04-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                          | Neuberger Berman Loan Advisers Clo 43 Ltd                                                                                      | CUSIP: 64134AAA0<br>LEI: 549300LCOEVXWN75LP18 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $782926.40    | 0.33%             | 2035-07-17      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                            | Rockford Tower CLO 2020-1 Ltd                                                                                                  | CUSIP: 77341EAG0<br>LEI: 5493009YDNBJVFWX7747 | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $832824.00    | 0.35%             | 2032-01-20      | Floating      | 7.99%                 | 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      | $496873.81    | 0.21%             | 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      | $1331574.20   | 0.56%             | 2040-11-17      | Fixed         | 2.81%                 | 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        |    634525 | PA      | $598512.73    | 0.25%             | 2038-07-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2020-SFR2 Trust                                                                                                           | CUSIP: 00178UAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1375000 | PA      | $1280592.91   | 0.54%             | 2037-07-17      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                              | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                                                                         | CUSIP: 46590XAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    650000 | PA      | $530822.50    | 0.23%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                           | HCA Inc                                                                                                                        | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99786.00     | 0.04%             | 2028-09-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                               | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    195000 | PA      | $186103.61    | 0.08%             | 2027-01-29      | Fixed         | 3.96%                 | 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      | $1139025.45   | 0.48%             | 2052-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| ENCOMPASS HEALTH CORP                             | Encompass Health Corp                                                                                                          | CUSIP: 29261AAE0<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |    285000 | PA      | $245855.25    | 0.10%             | 2031-04-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| AMCOR FINANCE USA INC                             | Amcor Finance USA Inc                                                                                                          | CUSIP: 02343UAG0<br>LEI: 549300ZMT7FVT8R77U18 | Long             | DBT              | CORP              | US        |    400000 | PA      | $379520.00    | 0.16%             | 2026-04-28      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| OPTION CARE HEALTH INC                            | Option Care Health Inc                                                                                                         | CUSIP: 68404LAA0<br>LEI: 549300DI3Q5ACSYJRI17 | Long             | DBT              | CORP              | US        |    275000 | PA      | $242330.00    | 0.10%             | 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      | $259109.27    | 0.11%             | 2041-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| CATALENT PHARMA SOLUTION                          | Catalent Pharma Solutions Inc                                                                                                  | CUSIP: 14879EAK4<br>LEI: 549300HALRZ339MSTH85 | Long             | DBT              | CORP              | US        |    450000 | PA      | $355889.25    | 0.15%             | 2030-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 85 CLO Ltd                                                                                                              | CUSIP: 26246BAL8<br>LEI: 549300XS2BVK8BZTXN05 | Long             | ABS-CBDO         | CORP              | KY        |   1375000 | PA      | $1338308.13   | 0.57%             | 2035-10-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| HERTZ CORP/THE                                    | Hertz Corp/The                                                                                                                 | CUSIP: 428040DB2<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |    405000 | PA      | $308265.75    | 0.13%             | 2029-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                | Morgan Stanley Mortgage Loan Trust 2007-15AR                                                                                   | CUSIP: 61756XBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273403 | PA      | $251305.81    | 0.11%             | 2037-11-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                 | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    450000 | PA      | $365204.80    | 0.15%             | 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        |    380845 | PA      | $310381.48    | 0.13%             | 2035-10-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                | Panama Government International Bond                                                                                           | CUSIP: 698299BN3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    200000 | PA      | $148851.08    | 0.06%             | 2032-09-29      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                       | CUSIP: 38378KGP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6407628 | PA      | $7902.85      | 0.00%             | 2055-02-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2011-GC3                                                                                          | CUSIP: 36248FAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540960 | PA      | $5.41         | 0.00%             | 2044-03-10      | Variable      | 0.29%                 | 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        |    183982 | PA      | $166599.08    | 0.07%             | 2034-12-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                    | Adjustable Rate Mortgage Trust 2006-1                                                                                          | CUSIP: 225470A94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335521 | PA      | $201995.08    | 0.09%             | 2036-03-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                              | Pilgrim's Pride Corp                                                                                                           | CUSIP: 72147KAF5<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    285000 | PA      | $242731.65    | 0.10%             | 2031-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                       | CUSIP: 38376G3C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3733292 | PA      | $4.11         | 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        |   1000000 | PA      | $1010921.50   | 0.43%             | 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        |   1323848 | PA      | $86346.64     | 0.04%             | 2036-03-15      | Floating      | 1.31%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                             | Molina Healthcare Inc                                                                                                          | CUSIP: 60855RAK6<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |    520000 | PA      | $444600.00    | 0.19%             | 2030-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ASSUREDPARTNERS INC                               | AssuredPartners Inc                                                                                                            | CUSIP: 04624VAB5<br>LEI: 549300HNDSDQWQ3L2P80 | Long             | DBT              | CORP              | US        |    150000 | PA      | $123650.92    | 0.05%             | 2029-01-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Rithm Capital Corp                                | Rithm Capital Corp                                                                                                             | CUSIP: 64828T201<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EC               |  | US        |     55339 | NS      | $452119.63    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Petroleos Mexicanos                               | Petroleos Mexicanos                                                                                                            | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     34000 | PA      | $20918.84     | 0.01%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                              | Bank of America Corp                                                                                                           | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    120000 | PA      | $112000.90    | 0.05%             | 2028-01-20      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                                                                        | CUSIP: 404119CF4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    180000 | PA      | $152422.20    | 0.06%             | 2032-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                   | CUSIP: 3137BYPS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9812638 | PA      | $79950.92     | 0.03%             | 2024-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                                                                  | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    675000 | PA      | $646184.25    | 0.27%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                              | Bank of America Corp                                                                                                           | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    395000 | PA      | $358430.90    | 0.15%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2003-2                                                                                          | CUSIP: 07324SAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141351 | PA      | $134682.14    | 0.06%             | 2033-12-25      | Floating      | 5.26%                 | 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      | $252276.75    | 0.11%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                           | Hungary Government International Bond                                                                                          | CUSIP: 445545AM8<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    200000 | PA      | $148009.00    | 0.06%             | 2031-09-22      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                   | CVS Health Corp                                                                                                                | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    685000 | PA      | $618979.70    | 0.26%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                             | Palmer Square CLO 2018-1 Ltd                                                                                                   | CUSIP: 69703PAA7<br>LEI: 549300A8L0VCZ9626397 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $592192.20    | 0.25%             | 2031-04-18      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| ENERGIZER HOLDINGS INC                            | Energizer Holdings Inc                                                                                                         | CUSIP: 29272WAD1<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |    265000 | PA      | $223262.50    | 0.09%             | 2029-03-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                          | FirstEnergy Transmission LLC                                                                                                   | CUSIP: 33767BAB5<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    750000 | PA      | $731467.95    | 0.31%             | 2025-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2014-10                                                                                          | CUSIP: 17323FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    342778 | PA      | $342526.68    | 0.15%             | 2037-07-25      | Floating      | 4.27%                 | 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        |    241697 | PA      | $194074.60    | 0.08%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                   | CUSIP: 3137BQC21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3406698 | PA      | $948.77       | 0.00%             | 2023-03-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | Pretium Mortgage Credit Partners LLC                                                                                           | CUSIP: 69381PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1125000 | PA      | $1018545.19   | 0.43%             | 2052-08-25      | Variable      | 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        |    424806 | PA      | $388884.87    | 0.16%             | 2046-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                      | RBSSP Resecuritization Trust 2012-6                                                                                            | CUSIP: 74931TAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54120 | PA      | $54417.45     | 0.02%             | 2036-01-26      | Floating      | 4.37%                 | 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      | $851328.98    | 0.36%             | 2028-12-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                          | Lloyds Banking Group PLC                                                                                                       | CUSIP: 539439AQ2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $180200.00    | 0.08%             | 2028-11-07      | Fixed         | 3.57%                 | 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      | $311275.60    | 0.13%             | 2027-09-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                            | BANK OF AMERICA CORP                                                                                                           | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |      -284 | NC      | $-36352.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                                               | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    140000 | PA      | $114708.15    | 0.05%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| 180 MEDICAL INC                                   | 180 Medical Inc                                                                                                                | CUSIP: 682357AA6<br>LEI: 254900ZB648OPWVFVX59 | Long             | DBT              | CORP              | US        |    275000 | PA      | $237792.50    | 0.10%             | 2029-10-15      | Fixed         | 3.88%                 | 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        |   6688868 | PA      | $3712.99      | 0.00%             | 2046-06-15      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                | Vodafone Group PLC                                                                                                             | CUSIP: 92857WBS8<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    529000 | PA      | $444552.12    | 0.19%             | 2049-06-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                       | CUSIP: 38378XDR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2165513 | PA      | $16960.08     | 0.01%             | 2055-05-16      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| GRAY ESCROW II INC                                | Gray Escrow II Inc                                                                                                             | CUSIP: 389286AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    140000 | PA      | $101522.40    | 0.04%             | 2031-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CABLE ONE INC                                     | Cable One Inc                                                                                                                  | CUSIP: 12685JAC9<br>LEI: 549300648QS85T0XSH18 | Long             | DBT              | CORP              | US        |    415000 | PA      | $329406.25    | 0.14%             | 2030-11-15      | Fixed         | 4.00%                 | 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      | $119385.06    | 0.05%             | 2070-10-27      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                             | Level 3 Financing Inc                                                                                                          | CUSIP: 527298BN2<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    176000 | PA      | $146828.00    | 0.06%             | 2027-09-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SWFCME028 IRS USD R F  1.39000 SWFCME028_FIX CCPVANILLA / Short: SWFCME028 IRS USD P V 03MLIBOR SWFCME028_FLO CCPVANILLA | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   7515000 | OU      | $-375915.33   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                              | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    255000 | PA      | $195615.60    | 0.08%             | 2031-08-18      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD EUR                                                                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-7174.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2022-NR1                                                                                                             | CUSIP: 12569PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    368360 | PA      | $334829.84    | 0.14%             | 2062-07-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                 | Post Holdings Inc                                                                                                              | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    270000 | PA      | $233502.75    | 0.10%             | 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        |   1197340 | PA      | $580792.28    | 0.25%             | 2037-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| USA Compression Partners LP                       | USA Compression Partners LP                                                                                                    | CUSIP: 90290N109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     79823 | NS      | $1558943.19   | 0.66%             |  |  |  | No            |                  1 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                                                               | CUSIP: 000000000<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    130000 | PA      | $128263.22    | 0.05%             | 2034-06-15      | Fixed         | 3.85%                 | 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        |  26493843 | PA      | $663424.39    | 0.28%             | 2037-03-25      | Fixed         | 0.50%                 | No            |                  3 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                           | CUSIP: 060505GB4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    140000 | PA      | $119364.00    | 0.05%             | 2027-01-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                                                                    | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     85000 | PA      | $81520.95     | 0.03%             | 2024-07-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                                                                | CUSIP: 3136B7HP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7900000 | PA      | $249013.14    | 0.11%             | 2029-03-25      | Variable      | 0.70%                 | 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        |    110172 | PA      | $102394.22    | 0.04%             | 2035-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2006-6                                                                                              | CUSIP: 22942JAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476276 | PA      | $255699.42    | 0.11%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP/FINANCE CORP                            | Sunoco LP / Sunoco Finance Corp                                                                                                | CUSIP: 86765LAZ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     86000 | PA      | $74768.40     | 0.03%             | 2030-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                            | TOTALENERGIES SE                                                                                                               | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | FR        |      -114 | NC      | $-6555.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Metropolitan Transportation Authority             | MET TRANSPRTN AUTH NY REVENUE                                                                                                  | CUSIP: 59261AG76<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |     55000 | PA      | $49093.17     | 0.02%             | 2049-11-15      | Fixed         | 5.18%                 | 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        |   6359890 | PA      | $103042.30    | 0.04%             | 2048-11-10      | Variable      | 0.72%                 | 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        |   9108671 | PA      | $132802.87    | 0.06%             | 2048-05-15      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                            | Extra Space Storage LP                                                                                                         | CUSIP: 30225VAF4<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    320000 | PA      | $250668.80    | 0.11%             | 2031-06-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / FIN INC                            | Acrisure LLC / Acrisure Finance Inc                                                                                            | CUSIP: 00489LAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    280000 | PA      | $233066.40    | 0.10%             | 2029-02-15      | Fixed         | 4.25%                 | 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        |   4614000 | PA      | $3003776.29   | 1.27%             | 2037-01-25      | Floating      | 4.61%                 | 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        |    695301 | PA      | $617830.42    | 0.26%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                            | JPMORGAN CHASE + CO                                                                                                            | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |       -94 | NC      | $-35720.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR23                                                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       309 | NC      | $-20552.56    | -0.01%            |  |  |  | No            |                  1 | 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        |    115475 | PA      | $101225.54    | 0.04%             | 2036-08-25      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTN                          | Piedmont Operating Partnership LP                                                                                              | CUSIP: 720198AC4<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              |  | US        |    425000 | PA      | $421000.55    | 0.18%             | 2023-06-01      | Fixed         | 3.40%                 | 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      | $562931.25    | 0.24%             | 2029-12-29      | Variable      | 1.00%                 | 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      | $71212.76     | 0.03%             | 2029-03-25      | Variable      | 4.07%                 | 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        |    315709 | PA      | $323613.17    | 0.14%             | 2036-08-15      | Fixed         | 7.97%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                                                  | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    375000 | PA      | $291761.29    | 0.12%             | 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        |     54617 | NS      | $1005498.97   | 0.43%             |  |  |  | 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        |   2200832 | PA      | $199145.62    | 0.08%             | 2036-09-25      | Floating      | 2.77%                 | No            |                  3 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11                                                                 | CUSIP: 46639YAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14076944 | PA      | $3849.34      | 0.00%             | 2046-04-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                           | Imperial Brands Finance PLC                                                                                                    | CUSIP: 45262BAA1<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    270000 | PA      | $259024.50    | 0.11%             | 2024-07-26      | Fixed         | 3.13%                 | 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        |   3989152 | PA      | $1159151.44   | 0.49%             | 2037-05-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | CoreVest American Finance 2020-3 Trust                                                                                         | CUSIP: 21873CAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1128377 | PA      | $102093.26    | 0.04%             | 2053-08-15      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14000000 | PA      | $13794925.62  | 5.85%             | 2053-01-15      | Fixed         | 5.00%                 | 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      | $205088.60    | 0.09%             | 2083-07-26      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                              | Bank of America Corp                                                                                                           | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |     28443 | NS      | $942032.16    | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| OPEN TEXT CORP                                    | Open Text Corp                                                                                                                 | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |    120000 | PA      | $121200.00    | 0.05%             | 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        |    350000 | PA      | $292103.98    | 0.12%             | 2038-09-17      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                   | CUSIP: 3137B1UJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1561552 | PA      | $60.99        | 0.00%             | 2041-01-25      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                                                                    | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     80000 | PA      | $63005.19     | 0.03%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-46CB                                                                                               | CUSIP: 12668ABD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    563489 | PA      | $405930.35    | 0.17%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac Structured Agency Credit Risk Debt Notes                                                                           | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    525000 | PA      | $519552.94    | 0.22%             | 2033-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS LP/FIN                          | Archrock Partners LP / Archrock Partners Finance Corp                                                                          | CUSIP: 03959KAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    415000 | PA      | $381800.00    | 0.16%             | 2028-04-01      | Fixed         | 6.25%                 | 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      | $218161.25    | 0.09%             | 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        |    348618 | PA      | $308068.19    | 0.13%             | 2035-09-25      | Variable      | 5.50%                 | 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      | $428106.96    | 0.18%             | 2048-09-15      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                                                                    | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    406000 | PA      | $325111.90    | 0.14%             | 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        |   1393184 | PA      | $31966.35     | 0.01%             | 2054-11-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee             | VOLT CIII LLC                                                                                                                  | CUSIP: 92873JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    894804 | PA      | $804405.67    | 0.34%             | 2051-08-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                                         | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    760000 | PA      | $782845.60    | 0.33%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                           | Frontier Communications Holdings LLC                                                                                           | CUSIP: 35906ABF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $306064.50    | 0.13%             | 2028-05-01      | Fixed         | 5.00%                 | 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      | $300859.65    | 0.13%             | 2031-04-18      | 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        |   1906037 | PA      | $1408261.96   | 0.60%             | 2036-12-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                | Energy Transfer LP                                                                                                             | CUSIP: 29273V100<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | EC               | CORP              | US        |    103400 | NS      | $1227358.00   | 0.52%             |  |  |  | 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        |    158419 | PA      | $134232.25    | 0.06%             | 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        |    335000 | PA      | $299339.25    | 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        |     84437 | PA      | $7593.02      | 0.00%             | 2038-06-15      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                           | HCA Inc                                                                                                                        | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    340000 | PA      | $306142.80    | 0.13%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRANSMONTAIGE PARTNERS                            | TransMontaigne Partners LP / TLP Finance Corp                                                                                  | CUSIP: 89376VAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    265000 | PA      | $229225.00    | 0.10%             | 2026-02-15      | Fixed         | 6.13%                 | 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        |    346163 | PA      | $236152.97    | 0.10%             | 2036-10-19      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                           | Jane Street Group / JSG Finance Inc                                                                                            | CUSIP: 47077WAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    435000 | PA      | $380420.55    | 0.16%             | 2029-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                                    | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    120000 | PA      | $129970.80    | 0.06%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                          | Sunac China Holdings Ltd                                                                                                       | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $43480.00     | 0.02%             | 2025-01-10      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                               | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1155129.20   | 0.49%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                                                                                 | CUSIP: 67087TBC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1723544 | PA      | $466480.74    | 0.20%             | 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        |    983741 | PA      | $769650.31    | 0.33%             | 2036-01-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                              | Colombia Government International Bond                                                                                         | CUSIP: 195325DR3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     50000 | PA      | $38350.00     | 0.02%             | 2030-01-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                  | Berry Global Inc                                                                                                               | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    140000 | PA      | $119927.89    | 0.05%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                              | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    430000 | PA      | $391673.81    | 0.17%             | 2026-06-04      | Fixed         | 2.10%                 | 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        |   7725489 | PA      | $250379.62    | 0.11%             | 2027-06-25      | Variable      | 1.21%                 | 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      | $209320.40    | 0.09%             | 2040-12-10      | Variable      | 2.68%                 | 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        |   4086608 | PA      | $179027.12    | 0.08%             | 2049-05-10      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                 | CUSIP: 61747YEB7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    425000 | PA      | $402242.11    | 0.17%             | 2025-01-22      | Fixed         | 0.79%                 | 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        |     89975 | PA      | $83828.67     | 0.04%             | 2035-10-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                | VICI Properties LP                                                                                                             | CUSIP: 925650AE3<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    134000 | PA      | $118655.66    | 0.05%             | 2052-05-15      | Fixed         | 5.63%                 | 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        |    193022 | PA      | $176550.90    | 0.07%             | 2031-08-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS 2020-BID Mortgage Trust                                                                                                  | CUSIP: 05493BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705000 | PA      | $667278.76    | 0.28%             | 2037-10-15      | Floating      | 8.95%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                        | US Bancorp                                                                                                                     | CUSIP: 902973BC9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    130000 | PA      | $107065.40    | 0.05%             | 2027-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PENN ENTERTAINMENT INC                            | Penn Entertainment Inc                                                                                                         | CUSIP: 707569AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $240562.50    | 0.10%             | 2029-07-01      | Fixed         | 4.13%                 | 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        |    710391 | PA      | $478024.69    | 0.20%             | 2036-04-20      | Variable      | 3.55%                 | 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        |   2863532 | PA      | $61417.60     | 0.03%             | 2036-06-25      | Variable      | 0.77%                 | No            |                  3 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14625000 | PA      | $12375266.52  | 5.25%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                          | Republic of South Africa Government International Bond                                                                         | CUSIP: 836205AT1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    350000 | PA      | $339430.00    | 0.14%             | 2026-04-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                                             | CUSIP: 29273RBF5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    325000 | PA      | $272002.75    | 0.12%             | 2045-03-15      | Fixed         | 5.15%                 | 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        |  10570068 | PA      | $252522.09    | 0.11%             | 2050-03-15      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2022-P1                                                                                         | CUSIP: 14688DAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2200 | PA      | $735599.85    | 0.31%             | 2029-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                                                  | CUSIP: 172967ML2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    140000 | PA      | $114997.40    | 0.05%             | 2031-01-29      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2019-PRM                                                                                   | CUSIP: 29429JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14000000 | PA      | $221370.80    | 0.09%             | 2036-05-10      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                                                                          | CUSIP: 04685A3L3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    135000 | PA      | $120521.89    | 0.05%             | 2027-03-08      | Fixed         | 3.21%                 | 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        |    613382 | PA      | $418702.62    | 0.18%             | 2036-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2750000 | PA      | $2412313.97   | 1.02%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    425000 | PA      | $336153.75    | 0.14%             | 2032-11-08      | Fixed         | 2.55%                 | 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        |    437507 | PA      | $266237.76    | 0.11%             | 2036-06-25      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| SIMMONS FOOD INC/SIMMONS                          | Simmons Foods Inc/Simmons Prepared Foods Inc/Simmons Pet Food Inc/Simmons Feed                                                 | CUSIP: 82873MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $247371.00    | 0.10%             | 2029-03-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                   | CUSIP: 3137BDCY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3110000 | PA      | $118356.18    | 0.05%             | 2042-08-25      | Variable      | 2.11%                 | No            |                  2 | On Loan: No      |
| BCRR Trust                                        | BCRR 2016-FRR3 Trust                                                                                                           | CUSIP: 81753WAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    695789 | PA      | $614849.96    | 0.26%             | 2026-05-26      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                                                                                 | CUSIP: 67087TCW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    341993 | PA      | $198271.52    | 0.08%             | 2031-09-15      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| CIT Education Loan Trust                          | CIT Education Loan Trust 2007-1                                                                                                | CUSIP: 17284LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    407074 | PA      | $380185.24    | 0.16%             | 2042-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                           | HCA Inc                                                                                                                        | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247405.00    | 0.10%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                           | Bayer US Finance II LLC                                                                                                        | CUSIP: 07274NAQ6<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    285000 | PA      | $247142.40    | 0.10%             | 2048-06-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                       | CUSIP: 38373M8V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5001834 | PA      | $187.07       | 0.00%             | 2049-10-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                   | CUSIP: 3137BEVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4875000 | PA      | $159668.19    | 0.07%             | 2042-11-25      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| Sunoco LP                                         | Sunoco LP                                                                                                                      | CUSIP: 86765K109<br>LEI: 54930001NJU8E40NQ561 | Long             | EC               | CORP              | US        |     26257 | NS      | $1131676.70   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2004-2                                                                                                  | CUSIP: 78442GLB0<br>LEI: 549300Y3YMECZJOAL893 | Long             | ABS-O            | CORP              | US        |    231524 | PA      | $214992.60    | 0.09%             | 2039-07-25      | Floating      | 4.83%                 | 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        |  17474309 | PA      | $188850.10    | 0.08%             | 2036-09-25      | Variable      | 0.35%                 | No            |                  3 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-10 LLC                                                                                                               | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    967629 | PA      | $899285.66    | 0.38%             | 2026-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                  | CSC Holdings LLC                                                                                                               | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    372000 | PA      | $304896.78    | 0.13%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                          | Santander UK Group Holdings PLC                                                                                                | CUSIP: 80281LAJ4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    475000 | PA      | $467177.26    | 0.20%             | 2024-11-15      | Fixed         | 4.80%                 | 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        |   1175869 | PA      | $450376.84    | 0.19%             | 2037-03-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Pilgrim's Pride Corp                              | Pilgrim's Pride Corp                                                                                                           | CUSIP: 72147KAE8<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    250000 | PA      | $245435.00    | 0.10%             | 2027-09-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                          | American Assets Trust LP                                                                                                       | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              |  | US        |    275000 | PA      | $218311.50    | 0.09%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| OT MERGER CORP                                    | OT Merger Corp                                                                                                                 | CUSIP: 688777AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    575000 | PA      | $297487.75    | 0.13%             | 2029-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Latitude Management Real Estate Capital Inc       | LMREC 2019-CRE3 Inc                                                                                                            | CUSIP: 50209TAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    419328 | PA      | $417503.58    | 0.18%             | 2035-12-22      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                                                                    | CUSIP: 63861VAC1<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    150000 | PA      | $148072.40    | 0.06%             | 2024-08-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| MED Trust                                         | Med Trust 2021-MDLN                                                                                                            | CUSIP: 58403YBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670000 | PA      | $608598.72    | 0.26%             | 2038-11-15      | Floating      | 9.57%                 | 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      | $594623.93    | 0.25%             | 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      | $920843.01    | 0.39%             | 2039-01-15      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| MFT Trust                                         | MFT Trust 2020-ABC                                                                                                             | CUSIP: 55317BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $453830.12    | 0.19%             | 2042-02-10      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| NCR CORP                                          | NCR Corp                                                                                                                       | CUSIP: 62886EAZ1<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |     80000 | PA      | $66130.80     | 0.03%             | 2030-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                               | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    345000 | PA      | $327102.90    | 0.14%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                          | Hudson Pacific Properties LP                                                                                                   | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |     55000 | PA      | $51404.65     | 0.02%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                            | VICI Properties LP / VICI Note Co Inc                                                                                          | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              |  | US        |    150000 | PA      | $131681.88    | 0.06%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Artera Services LLC                               | Artera Services LLC                                                                                                            | CUSIP: 73939VAA2<br>LEI: 549300J2G34D0WX8Z443 | Long             | DBT              | CORP              | US        |    254000 | PA      | $213144.10    | 0.09%             | 2025-12-04      | Fixed         | 9.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                           | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    570000 | PA      | $479786.10    | 0.20%             | 2029-06-14      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust 2019-101C                     | CALI Mortgage Trust 2019-101C                                                                                                  | CUSIP: 129890AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    495000 | PA      | $429635.92    | 0.18%             | 2039-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                            | Conseco Finance Corp                                                                                                           | CUSIP: 393505PD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36905 | PA      | $37064.19     | 0.02%             | 2027-09-15      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                        | Verizon Communications Inc                                                                                                     | CUSIP: 92343V104<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | EC               | CORP              | US        |     15224 | NS      | $599825.60    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Transocean Proteus Ltd                            | Transocean Proteus Ltd                                                                                                         | CUSIP: 893829AA9<br>LEI: 5493000CTMQ2LH21VM89 | Long             | DBT              | CORP              | KY        |     78000 | PA      | $76956.62     | 0.03%             | 2024-12-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                               | Charles Schwab Corp/The                                                                                                        | CUSIP: 808513BT1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    150000 | PA      | $117798.00    | 0.05%             | 2031-12-01      | Fixed         | 1.95%                 | No            |                  2 | 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      | $495606.23    | 0.21%             | 2073-04-25      | Floating      | 6.21%                 | 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        |    656068 | PA      | $528573.61    | 0.22%             | 2037-05-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                                                                                 | CUSIP: 67087TDE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30840 | PA      | $30845.29     | 0.01%             | 2024-05-15      | Variable      | 6.03%                 | 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        |    346374 | PA      | $266966.32    | 0.11%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | Corevest American Finance 2019-1 Trust                                                                                         | CUSIP: 21872FAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    218116 | PA      | $8157.09      | 0.00%             | 2052-03-15      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                                                                                 | CUSIP: 67087TAU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    606704 | PA      | $391144.65    | 0.17%             | 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      | $107946.08    | 0.05%             | 2033-07-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2005-QA7 Trust                                                                                                     | CUSIP: 76110H7A1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    667101 | PA      | $478565.98    | 0.20%             | 2035-07-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                                                                   | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    248000 | PA      | $203857.05    | 0.09%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                                                                            | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    135000 | PA      | $111153.60    | 0.05%             | 2030-10-01      | Fixed         | 2.78%                 | 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        |   8185301 | PA      | $33853.58     | 0.01%             | 2036-09-25      | Variable      | 0.14%                 | No            |                  3 | On Loan: No      |
| H-FOOD HOLDNG/HEARTHSIDE                          | H-Food Holdings LLC / Hearthside Finance Co Inc                                                                                | CUSIP: 577088AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    175000 | PA      | $101776.50    | 0.04%             | 2026-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Newell Brands Inc                                 | Newell Brands Inc                                                                                                              | CUSIP: 651229AY2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    300000 | PA      | $239654.69    | 0.10%             | 2046-04-01      | Fixed         | 5.75%                 | 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      | $143746.70    | 0.06%             | 2040-08-10      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-AR3                                                                                               | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143669 | PA      | $106516.41    | 0.05%             | 2035-05-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2022-4 LLC                                                                                                                | CUSIP: 693588AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080000 | PA      | $968090.40    | 0.41%             | 2027-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GRIFOLS ESCROW ISSUER                             | Grifols Escrow Issuer SA                                                                                                       | CUSIP: 39843UAA0<br>LEI: 959800HLB3PGTGSLVV62 | Long             | DBT              | CORP              | ES        |    425000 | PA      | $367973.50    | 0.16%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                   | CUSIP: 3137B3NY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  49503267 | PA      | $14145.56     | 0.01%             | 2023-04-25      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                            | VICI Properties LP / VICI Note Co Inc                                                                                          | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              |  | US        |     95000 | PA      | $92808.35     | 0.04%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    175000 | PA      | $158621.75    | 0.07%             | 2028-02-24      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ASCENDAS REIT                                     | CapitaLand Ascendas REIT                                                                                                       | CUSIP: 000000000<br>LEI: 549300ILIBAEMQZK3L20 | Long             | DBT              |  | SG        |    115000 | PA      | $96339.81     | 0.04%             | 2028-06-23      | Fixed         | 0.75%                 | Yes           |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                            | VICI Properties LP / VICI Note Co Inc                                                                                          | CUSIP: 92564RAH8<br>LEI: N/A                  | Long             | DBT              |  | US        |     80000 | PA      | $76378.00     | 0.03%             | 2026-09-01      | 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        |    114973 | PA      | $107085.92    | 0.05%             | 2043-04-27      | Floating      | 5.21%                 | 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        |    983211 | PA      | $936068.43    | 0.40%             | 2036-03-25      | Floating      | 2.89%                 | 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        |    146219 | PA      | $68484.86     | 0.03%             | 2037-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2022-1 LLC                                                                                                                | CUSIP: 693582AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $933029.30    | 0.40%             | 2027-02-25      | Variable      | 6.29%                 | 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        |   2400000 | PA      | $118282.80    | 0.05%             | 2046-05-25      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS S A                     | INTELSAT JACKSON HOLDINGS S A                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |      1158 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| LEVEL 3 FINANCING INC                             | Level 3 Financing Inc                                                                                                          | CUSIP: 527298BP7<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25455.30     | 0.01%             | 2027-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                 | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    150000 | PA      | $115023.00    | 0.05%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co                              | Kraft Heinz Foods Co                                                                                                           | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    303000 | PA      | $275439.53    | 0.12%             | 2042-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                  | Altria Group Inc                                                                                                               | CUSIP: 02209S103<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | EC               | CORP              | US        |     12670 | NS      | $579145.70    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust Series 2007-9                                                                   | CUSIP: 86364JAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231867 | PA      | $144554.89    | 0.06%             | 2047-10-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) MAR23                                                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       161 | NC      | $39426.15     | 0.02%             |  |  |  | No            |                  1 | 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        |    671633 | PA      | $540320.73    | 0.23%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                | Dominican Republic International Bond                                                                                          | CUSIP: 25714PED6<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    200000 | PA      | $170940.00    | 0.07%             | 2030-01-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Regatta XII Funding Ltd.                          | Regatta XII Funding Ltd                                                                                                        | CUSIP: 75888HAN1<br>LEI: 2549001ZYXDVCT6R4I31 | Long             | ABS-CBDO         | CORP              | KY        |    725000 | PA      | $696014.50    | 0.30%             | 2032-10-15      | Floating      | 5.68%                 | 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        |   1479791 | PA      | $1244831.57   | 0.53%             | 2037-04-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                               | DBWF 2016-85T Mortgage Trust                                                                                                   | CUSIP: 23307CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615000 | PA      | $555170.89    | 0.24%             | 2036-12-10      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SWFCME026 IRS USD R F  1.03350 SWFCME026_FIX CCPVANILLA / Short: SWFCME026 IRS USD P V 03MLIBOR SWFCME026_FLO CCPVANILLA | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   4725000 | OU      | $-283497.16   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| CANO HEALTH LLC                                   | Cano Health LLC                                                                                                                | CUSIP: 13782CAA8<br>LEI: 254900OGI2T8V1NXN639 | Long             | DBT              | CORP              | US        |    160000 | PA      | $97600.00     | 0.04%             | 2028-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2020-UPTN                                                                                    | CUSIP: 36258PAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3150000 | PA      | $20403.18     | 0.01%             | 2037-02-10      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                                                                | CUSIP: 3136AT5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    836675 | PA      | $18325.74     | 0.01%             | 2039-07-25      | Variable      | 3.03%                 | 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      | $409583.59    | 0.17%             | 2062-12-15      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                                                  | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    135000 | PA      | $121954.95    | 0.05%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                           | CUSIP: 06051GJR1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    395000 | PA      | $370498.15    | 0.16%             | 2025-04-22      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                          | AT&T Inc                                                                                                                       | CUSIP: 00206RDR0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    705000 | PA      | $681361.35    | 0.29%             | 2037-03-01      | Fixed         | 5.25%                 | 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      | $555251.41    | 0.24%             | 2035-04-19      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities    | CSFB Mortgage-Backed Pass-Through Certificates Series 2004-AR5                                                                 | CUSIP: 22541SJL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16794 | PA      | $16792.32     | 0.01%             | 2034-06-25      | Floating      | 5.13%                 | 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      | $116320.42    | 0.05%             | 2028-01-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                  | Cinemark USA Inc                                                                                                               | CUSIP: 172441BF3<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |    300000 | PA      | $225000.00    | 0.10%             | 2028-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PENN ENTERTAINMENT INC                            | Penn Entertainment Inc                                                                                                         | CUSIP: 707569AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $149872.80    | 0.06%             | 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        |   8220174 | PA      | $230446.42    | 0.10%             | 2026-03-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2021-NR2                                                                                                             | CUSIP: 12565CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1146405 | PA      | $1079684.38   | 0.46%             | 2059-07-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| EMBECTA CORP                                      | Embecta Corp                                                                                                                   | CUSIP: 29082KAA3<br>LEI: 549300RPG8GXVDHNXZ62 | Long             | DBT              | CORP              | US        |    400000 | PA      | $336640.00    | 0.14%             | 2030-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | PURCHASED USD / SOLD EUR                                                                                                       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-59121.55    | -0.03%            |  |  |  | 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        |   1060738 | PA      | $515516.03    | 0.22%             | 2047-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                       | CUSIP: 38376G6L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1262941 | PA      | $1.33         | 0.00%             | 2051-08-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DENTSPLY SIRONA INC                               | DENTSPLY SIRONA Inc                                                                                                            | CUSIP: 24906PAA7<br>LEI: 9NHEHR1SOZCYXDO8HO28 | Long             | DBT              | CORP              | US        |    295000 | PA      | $245548.82    | 0.10%             | 2030-06-01      | Fixed         | 3.25%                 | 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      | $121954.80    | 0.05%             | 2032-02-01      | Fixed         | 2.30%                 | 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        |    329826 | PA      | $305240.42    | 0.13%             | 2034-05-25      | Floating      | 5.03%                 | 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      | $774132.80    | 0.33%             | 2029-10-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                                       | Netflix Inc                                                                                                                    | CUSIP: 64110LAL0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    485000 | PA      | $491484.45    | 0.21%             | 2025-02-15      | Fixed         | 5.88%                 | 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        |   9197388 | PA      | $67584.25     | 0.03%             | 2047-09-15      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                                                                   | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    635000 | PA      | $536251.15    | 0.23%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ESC CB144A INTELSAT JA                            | ESC CB144A INTELSAT JA                                                                                                         | CUSIP: 458ESCAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    621000 | PA      | $0.00         | 0.00%             | 2025-07-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                       | CUSIP: 38378BBQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3455735 | PA      | $34.56        | 0.00%             | 2052-05-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| TotalEnergies SE                                  | TotalEnergies SE                                                                                                               | CUSIP: 89151E109<br>LEI: 529900S21EQ1BO4ESM68 | Long             | EC               | CORP              | FR        |     11488 | NS      | $713175.04    | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11425000 | PA      | $9299442.73   | 3.94%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                                                  | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    145000 | PA      | $121963.85    | 0.05%             | 2030-11-05      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                          | Healthcare Realty Holdings LP                                                                                                  | CUSIP: 42225UAL8<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |    205000 | PA      | $160456.91    | 0.07%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN                          | USA Compression Partners LP / USA Compression Finance Corp                                                                     | CUSIP: 91740PAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    162000 | PA      | $155664.99    | 0.07%             | 2026-04-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                                               | CUSIP: 87264ABU8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    489000 | PA      | $448280.97    | 0.19%             | 2026-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                 | CUSIP: 61747YEG6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    920000 | PA      | $847826.00    | 0.36%             | 2025-10-21      | Fixed         | 1.16%                 | No            |                  2 | On Loan: No      |
| Student Loan Consolidation Center Student Loan    | Student Loan Consolidation Center Student Loan Trust I                                                                         | CUSIP: 86386MAX2<br>LEI: 5493008KMDJ3GC7JUA63 | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $969805.20    | 0.41%             | 2042-07-01      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| MODIVCARE ESCROW ISSUER                           | ModivCare Escrow Issuer Inc                                                                                                    | CUSIP: 60783XAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    295000 | PA      | $248779.40    | 0.11%             | 2029-10-01      | Fixed         | 5.00%                 | 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        |    484614 | PA      | $486765.77    | 0.21%             | 2046-01-16      | Fixed         | 7.61%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                              | Tencent Holdings Ltd                                                                                                           | CUSIP: 88032WBB1<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    285000 | PA      | $209998.40    | 0.09%             | 2041-04-22      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HLDG                             | Intelsat Jackson Holdings SA                                                                                                   | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |    397000 | PA      | $356775.96    | 0.15%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                               | Petroleos Mexicanos                                                                                                            | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     75000 | PA      | $48021.28     | 0.02%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                               | Macquarie Group Ltd                                                                                                            | CUSIP: 55607PAG0<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    160000 | PA      | $123339.20    | 0.05%             | 2032-06-23      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2004-2                                                                                          | CUSIP: 07324SAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176094 | PA      | $175888.04    | 0.07%             | 2034-08-25      | Floating      | 5.03%                 | 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        |    145934 | PA      | $133946.06    | 0.06%             | 2042-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2021-R5                                                                                                              | CUSIP: 12592SAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1096000 | PA      | $697522.02    | 0.30%             | 2061-08-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2004-3                                                                                          | CUSIP: 07324SAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88489 | PA      | $88312.23     | 0.04%             | 2035-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                        | US Bancorp                                                                                                                     | CUSIP: 91159HJJ0<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    235000 | PA      | $244651.45    | 0.10%             | 2033-10-21      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                          | Plains All American Pipeline LP / PAA Finance Corp                                                                             | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $435716.15    | 0.18%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | 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        |    943130 | PA      | $780707.19    | 0.33%             | 2036-06-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                               | Invitation Homes Operating Partnership LP                                                                                      | CUSIP: 46188BAC6<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              |  | US        |    135000 | PA      | $98764.72     | 0.04%             | 2034-01-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                   | CUSIP: 3137B3NZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4500000 | PA      | $19432.80     | 0.01%             | 2041-07-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| RENT-A-CENTER INC                                 | Rent-A-Center Inc/TX                                                                                                           | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |    270000 | PA      | $220399.25    | 0.09%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                             | CUSIP: 31395V2Z1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16810 | PA      | $16127.57     | 0.01%             | 2035-03-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                                                  | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    990000 | PA      | $800910.00    | 0.34%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                              | CUSIP: 31396VE20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    821082 | PA      | $58060.42     | 0.02%             | 2037-05-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                                    | CUSIP: 38141GZE7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    700000 | PA      | $675920.00    | 0.29%             | 2023-12-06      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                              | CUSIP: 31396Q4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139481 | PA      | $8976.15      | 0.00%             | 2039-09-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2012-LC4 Mortgage Trust                                                                                                   | CUSIP: 126192AJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15007215 | PA      | $172.58       | 0.00%             | 2044-12-10      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| ZHENRO PROPERTIES GROUP                           | Zhenro Properties Group Ltd                                                                                                    | CUSIP: 000000000<br>LEI: 549300I66TVJEL841P38 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $11200.00     | 0.00%             | 2026-01-07      | Fixed         | 6.63%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                       | CUSIP: 38375DLA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    536042 | PA      | $10822.04     | 0.00%             | 2038-05-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                       | CUSIP: 38376GXY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5023191 | PA      | $49108.72     | 0.02%             | 2050-09-16      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                              | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    145000 | PA      | $112189.40    | 0.05%             | 2032-05-24      | Fixed         | 2.80%                 | 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        |     84741 | PA      | $83161.83     | 0.04%             | 2036-04-25      | Floating      | 4.85%                 | No            |                  2 | 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        |   7321889 | PA      | $75826.22     | 0.03%             | 2047-11-15      | Variable      | 0.86%                 | 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        |    258157 | PA      | $230429.47    | 0.10%             | 2055-03-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2008-8                                                                                                  | CUSIP: 78445GAE3<br>LEI: 549300R59P5DXM48DO55 | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $248362.42    | 0.11%             | 2075-10-25      | Floating      | 6.61%                 | 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        |    806405 | PA      | $508640.07    | 0.22%             | 2037-02-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| ADTALEM GLOBAL EDUCATION                          | Adtalem Global Education Inc                                                                                                   | CUSIP: 00737WAA7<br>LEI: 549300Z467EZLMODV621 | Long             | DBT              | CORP              | US        |    141000 | PA      | $129535.29    | 0.05%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                  | WFRBS Commercial Mortgage Trust 2013-C16                                                                                       | CUSIP: 92938EAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10133448 | PA      | $19521.07     | 0.01%             | 2046-09-15      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| WASH MULTIFAM ACQ INC                             | WASH Multifamily Acquisition Inc                                                                                               | CUSIP: 93710WAA3<br>LEI: 549300AS7PRY5PHG6L12 | Long             | DBT              | CORP              | US        |    260000 | PA      | $245362.00    | 0.10%             | 2026-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-4 LLC                                                                                                                | CUSIP: 693583AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1317030 | PA      | $1185920.03   | 0.50%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Partners LP                   | Enterprise Products Partners LP                                                                                                | CUSIP: 293792107<br>LEI: K4CDIF4M54DJZ6TB4Q48 | Long             | EC               | CORP              | US        |     38393 | NS      | $926039.16    | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Tricon American Homes                             | Tricon American Homes 2017-SFR2 Trust                                                                                          | CUSIP: 89613FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1308616.29   | 0.56%             | 2036-01-17      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / FIN INC                            | Acrisure LLC / Acrisure Finance Inc                                                                                            | CUSIP: 00489LAH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $128600.00    | 0.05%             | 2029-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                  | CSC Holdings LLC                                                                                                               | CUSIP: 126307AY3<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    150000 | PA      | $102330.00    | 0.04%             | 2028-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                       | OCP CLO 2021-21 Ltd                                                                                                            | CUSIP: 671000AE7<br>LEI: 2549000M7NBNQ7XU2038 | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $383459.60    | 0.16%             | 2034-07-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                                                                    | CUSIP: 63861VAA5<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    520000 | PA      | $517186.61    | 0.22%             | 2024-03-08      | Fixed         | 3.77%                 | 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        |    542983 | PA      | $425614.05    | 0.18%             | 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        |    450000 | PA      | $364657.50    | 0.15%             | 2030-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                                             | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    831000 | PA      | $708203.13    | 0.30%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                                    | CUSIP: 38141GYL2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    285000 | PA      | $273118.36    | 0.12%             | 2024-10-21      | Fixed         | 0.93%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                         | Ball Corp                                                                                                                      | CUSIP: 058498AY2<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |    240000 | PA      | $246681.60    | 0.10%             | 2028-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Waste Pro USA Inc                                 | Waste Pro USA Inc                                                                                                              | CUSIP: 94107JAA1<br>LEI: 549300BY1QXU5BI3UF28 | Long             | DBT              | CORP              | US        |    425000 | PA      | $376278.00    | 0.16%             | 2026-02-15      | Fixed         | 5.50%                 | 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      | $207403.63    | 0.09%             | 2083-04-26      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2020-FACT                                                                                                                 | CUSIP: 126395AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1017000 | PA      | $856871.62    | 0.36%             | 2037-10-15      | Floating      | 10.48%                | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                                    | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    705000 | PA      | $617833.80    | 0.26%             | 2027-03-09      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                          | Healthcare Realty Holdings LP                                                                                                  | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |    245000 | PA      | $206183.62    | 0.09%             | 2030-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                              | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                                                                         | CUSIP: 46590XAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    180000 | PA      | $171802.80    | 0.07%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                             | CUSIP: 31397CW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308365 | PA      | $34354.02     | 0.01%             | 2036-11-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FARMERS INS EXCH                                  | Farmers Insurance Exchange                                                                                                     | CUSIP: 309601AE2<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4027.14      | 0.00%             | 2057-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                                                                     | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    375000 | PA      | $322211.25    | 0.14%             | 2030-03-01      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2014-GC18                                                                                         | CUSIP: 36252RAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  66563000 | PA      | $132909.67    | 0.06%             | 2047-01-10      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| PROLOGIS EURO FINANCE                             | Prologis Euro Finance LLC                                                                                                      | CUSIP: 000000000<br>LEI: 549300MI5D1784PRQH06 | Long             | DBT              |  | US        |    165000 | PA      | $129564.52    | 0.05%             | 2031-09-10      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2021-NR3                                                                                                             | CUSIP: 12564UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    337934 | PA      | $317521.76    | 0.13%             | 2057-06-25      | Variable      | 2.57%                 | 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        |    541175 | PA      | $473787.27    | 0.20%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                           | Park Aerospace Holdings Ltd                                                                                                    | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |    132000 | PA      | $130337.64    | 0.06%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SK INVICTUS INTERMEDIATE                          | SK Invictus Intermediate II Sarl                                                                                               | CUSIP: 29977LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    285000 | PA      | $234070.50    | 0.10%             | 2029-10-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                             | CUSIP: 31397GWM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64965 | PA      | $3347.89      | 0.00%             | 2037-05-15      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                                                                                 | CUSIP: 67087TCV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    590277 | PA      | $311191.61    | 0.13%             | 2022-09-15      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: BWFCME029 IRS USD R V 03MLIBOR SWFCME029_FLO CCPVANILLA / Short: BWFCME029 IRS USD P F  1.87000 SWFCME029_FIX CCPVANILLA | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    640000 | OU      | $176037.31    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                           | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    305000 | PA      | $233013.90    | 0.10%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                                                                            | CUSIP: 37940XAR3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    179000 | PA      | $163065.42    | 0.07%             | 2052-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                                                                                    | CUSIP: 912796ZG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   8265000 | PA      | $8111490.02   | 3.44%             | 2023-06-01      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2007-QS6 Trust                                                                                                     | CUSIP: 75116CCP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166590 | PA      | $127194.98    | 0.05%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                                         | CUSIP: 225401AT5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    190000 | PA      | $151517.40    | 0.06%             | 2027-02-02      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SWFCME024 IRS USD R F  1.02550 SWFCME024_FIX CCPVANILLA / Short: SWFCME024 IRS USD P V 03MLIBOR SWFCME024_FLO CCPVANILLA | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   6380000 | OU      | $-383738.50   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                            | VICI Properties LP / VICI Note Co Inc                                                                                          | CUSIP: 92564RAG0<br>LEI: N/A                  | Long             | DBT              |  | US        |     20000 | PA      | $19189.60     | 0.01%             | 2025-06-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2021-R4                                                                                                              | CUSIP: 12598HAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    893539 | PA      | $777029.34    | 0.33%             | 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        |   1291318 | PA      | $34372.42     | 0.01%             | 2036-11-20      | Floating      | 0.40%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                               | Charles Schwab Corp/The                                                                                                        | CUSIP: 808513CB9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    135000 | PA      | $123592.30    | 0.05%             | 2027-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Limited               | Textainer Marine Containers VII Ltd                                                                                            | CUSIP: 88315LAQ1<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |   1360667 | PA      | $1159321.75   | 0.49%             | 2046-04-20      | Fixed         | 2.23%                 | 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      | $1559336.98   | 0.66%             | 2037-08-17      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                 | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     55000 | PA      | $43021.55     | 0.02%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                                                | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $47916.70     | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | 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        |    214379 | PA      | $179037.21    | 0.08%             | 2035-12-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-11 LLC                                                                                                               | CUSIP: 69362QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440858 | PA      | $399784.46    | 0.17%             | 2026-11-25      | Variable      | 2.49%                 | No            |                  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      | $227114.63    | 0.10%             | 2047-05-25      | Variable      | 2.15%                 | 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        |     50000 | PA      | $37466.11     | 0.02%             | 2027-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                 | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    510000 | PA      | $384149.39    | 0.16%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                           | Bayer US Finance II LLC                                                                                                        | CUSIP: 07274NAN3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    515000 | PA      | $450532.30    | 0.19%             | 2038-06-25      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| PAPA JOHN'S INTERNATIONA                          | Papa John's International Inc                                                                                                  | CUSIP: 698813AA0<br>LEI: HZYLD3DK5XOX0WBVNB56 | Long             | DBT              | CORP              | US        |    285000 | PA      | $238661.85    | 0.10%             | 2029-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                 | Magnetite VII Ltd                                                                                                              | CUSIP: 55951PBA4<br>LEI: 549300B54XJTQC6DWJ15 | Long             | ABS-CBDO         | CORP              | KY        |    374091 | PA      | $369452.02    | 0.16%             | 2028-01-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| SES GLOBAL AMERICAS HLDG                          | SES GLOBAL Americas Holdings Inc                                                                                               | CUSIP: 78413KAB8<br>LEI: 5299000YGN3VJ3R60481 | Long             | DBT              | CORP              | US        |    675000 | PA      | $519365.04    | 0.22%             | 2044-03-25      | Fixed         | 5.30%                 | 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        |    200699 | PA      | $182142.66    | 0.08%             | 2036-05-25      | Floating      | 4.75%                 | 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      | $1535078.40   | 0.65%             | 2037-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                               | JPMorgan Chase & Co                                                                                                            | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |      9423 | NS      | $1263624.30   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                                               | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    235000 | PA      | $213417.73    | 0.09%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                             | Tenet Healthcare Corp                                                                                                          | CUSIP: 88033GDL1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    275000 | PA      | $238739.88    | 0.10%             | 2029-06-01      | Fixed         | 4.25%                 | 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        |    330731 | PA      | $305340.74    | 0.13%             | 2032-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                           | Imperial Brands Finance PLC                                                                                                    | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    125000 | PA      | $124467.50    | 0.05%             | 2027-07-27      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                                                                        | CUSIP: 404119BZ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    312000 | PA      | $267200.81    | 0.11%             | 2049-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                           | KazMunayGas National Co JSC                                                                                                    | CUSIP: 000000000<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    200000 | PA      | $149356.00    | 0.06%             | 2033-04-14      | Fixed         | 3.50%                 | Yes           |                  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      | $232002.62    | 0.10%             | 2046-11-10      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    430000 | PA      | $344778.30    | 0.15%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                                                                    | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $220435.00    | 0.09%             | 2028-02-16      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2019-R06                                                                                   | CUSIP: 20754JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $725468.57    | 0.31%             | 2039-09-25      | Floating      | 8.14%                 | 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        |    348498 | PA      | $292756.44    | 0.12%             | 2035-08-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee             | VOLT XCIX LLC                                                                                                                  | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1515901 | PA      | $1347563.03   | 0.57%             | 2051-04-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD EUR                                                                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-18253.10    | -0.01%            |  |  |  | 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      | $460386.70    | 0.20%             | 2029-10-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                                                  | CUSIP: 172967NA5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    430000 | PA      | $373652.80    | 0.16%             | 2027-06-09      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2008-9                                                                                                  | CUSIP: 78445JAB3<br>LEI: 549300MTK92VF84VT259 | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $260097.22    | 0.11%             | 2083-10-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                                                | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125000 | PA      | $99093.75     | 0.04%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT MAR23                                                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -86 | NC      | $34427.21     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Blackrock Rainier CLO Ltd                         | Blackrock Rainier CLO VI Ltd                                                                                                   | CUSIP: 09261MAA4<br>LEI: 549300HF4E86WXQDUX86 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $680050.00    | 0.29%             | 2033-04-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                                                                          | CUSIP: 04685A2Z3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    285000 | PA      | $246373.95    | 0.10%             | 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        |   1160802 | PA      | $377366.88    | 0.16%             | 2036-07-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS S A                     | INTELSAT JACKSON HOLDINGS S A                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |      1158 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| ILPT Commercial Mortgage Trust                    | ILPT Trust 2019-SURF                                                                                                           | CUSIP: 44965LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $220376.70    | 0.09%             | 2041-02-11      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                           | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     55000 | PA      | $48231.70     | 0.02%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                       | CUSIP: 38380BP58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1457914 | PA      | $245808.80    | 0.10%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                            | VICI Properties LP / VICI Note Co Inc                                                                                          | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              |  | US        |     40000 | PA      | $36926.88     | 0.02%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                             | Level 3 Financing Inc                                                                                                          | CUSIP: 527298BQ5<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    400000 | PA      | $316374.16    | 0.13%             | 2029-11-15      | Fixed         | 3.88%                 | 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      | $466484.57    | 0.20%             | 2043-01-05      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Annaly Capital Management Inc                     | Annaly Capital Management Inc                                                                                                  | CUSIP: 000000000<br>LEI: 2DTL0G3FPRYUT58TI025 | Long             | EC               |  | US        |     41441 | NS      | $873576.28    | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| NGL ENRGY OP/FIN CORP                             | NGL Energy Operating LLC / NGL Energy Finance Corp                                                                             | CUSIP: 62922LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    145000 | PA      | $129270.40    | 0.05%             | 2026-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE MAR23                                                                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -4 | NC      | $33761.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHOBANI LLC/FINANCE CORP                          | Chobani LLC / Chobani Finance Corp Inc                                                                                         | CUSIP: 17027NAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    267000 | PA      | $232881.41    | 0.10%             | 2028-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                           | Southern Co Gas Capital Corp                                                                                                   | CUSIP: 001192AL7<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    640000 | PA      | $618052.39    | 0.26%             | 2025-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd                               | Macquarie Group Ltd                                                                                                            | CUSIP: 55608JAP3<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    215000 | PA      | $203280.33    | 0.09%             | 2030-01-15      | Fixed         | 5.03%                 | 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        |    401606 | PA      | $318327.97    | 0.14%             | 2035-10-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| CUBESMART LP                                      | CubeSmart LP                                                                                                                   | CUSIP: 22966RAJ5<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              |  | US        |    210000 | PA      | $161011.20    | 0.07%             | 2032-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Richard Villa

**Name of Signer:** Richard Villa

**Title:** Treasurer