# EDGAR Filing Document

**Accession Number:** 0000710826
**File Stem:** 0001752724-23-043992
**Filing Date:** 2023-2
**Character Count:** 387350
**Document Hash:** ec8bd3660feceea096b79a6f9fd793f5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-043992.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-043992

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brighthouse Funds Trust II
- **CENTRAL INDEX KEY:** 0000710826
- **IRS NUMBER:** 833164113
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03618
- **FILM NUMBER:** 23678659

**BUSINESS ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 125 HIGH STREET, SUITE 732
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 980-949-5121

**MAIL ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 125 HIGH STREET, SUITE 732
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** METROPOLITAN SERIES FUND
- **DATE OF NAME CHANGE:** 20120430

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** METROPOLITAN SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Western Asset Management Strategic Bond Opportunities Portfolio (Series ID: S000006526)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000017842 | Class A      |  |
| C000017843 | Class B      |  |
| C000017844 | Class E      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Brighthouse Funds Trust II

- **b. Investment Company Act file number:** 811-03618

- **c. CIK number of Registrant:** 0000710826

- **d. LEI of Registrant:** 549300NPPA08K2CWOV06

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

  - **Street Address 1:** Brighthouse Investment Advisers, LLC

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 980-949-4301

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

- **a. Name of Series:** Western Asset Management Strategic Bond Opportunities Portfolio

- **b. EDGAR series identifier (if any):** S000006526

- **c. LEI of Series:** 549300FA3RFIWG5VDH47

**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:** $2575532676.21

**Total Liabilities:** $354815519.74

**Net Assets:** $2220717156.47

**Delayed Delivery Securities:** $3492478.10

**Cash Not Reported:** $84944810.83

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -993.94000000 | **1-Year:** -14915.46000000 | **5-Year:** -40776.04000000 | **10-Year:** -59781.00000000 | **30-Year:** -38941.50000000

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

- **3-Month:** -3409.43000000 | **1-Year:** -107767.14000000 | **5-Year:** -328266.02000000 | **10-Year:** -138925.92000000 | **30-Year:** -26322.15000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000017842 | -1.05%               | 3.96%                | -0.37%               |
| Class ID C000017844 | -1.06%               | 3.98%                | -0.37%               |
| Class ID C000017843 | -1.06%               | 3.90%                | -0.38%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-13090389.43            | $10682454.92                               |
| Month 2  | $-6133065.27             | $46348609.33                               |
| Month 3  | $-7689705.90             | $-4462591.14                               |

**Designated Index Information**

- **Index Name:** 70% Bloomberg US Agg  30% Bloomberg US HY

- **Index Identifier:** 70%LBUSTRUU 30%LF98TRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| SINO FOREST CORPORATION                                 | SINO FOREST CORPORATION                                                                                    | CUSIP: 829ESC9D6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      1246000 | PA      | $0.00         | 0.00%             | 2016-12-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Amentum Government Services Holdings LLC                | Amentum Government Services Holdings LLC 2020 2nd Lien Term Loan                                           | CUSIP: 02351UAB0<br>LEI: 5493008CT6B5L54YSE94 | Long             | LON              | CORP              | US        |      4140000 | PA      | $3808800.00   | 0.17%             | 2028-01-31      | Floating      | 13.90%                | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                                               | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       135000 | PA      | $96968.86     | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: —       |
| VIKING OCEAN CRUISES SHI                                | Viking Ocean Cruises Ship VII Ltd                                                                          | CUSIP: 92682RAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1460000 | PA      | $1175300.00   | 0.05%             | 2029-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Berry Petroleum Co LLC                                  | Berry Petroleum Co LLC                                                                                     | CUSIP: 08580BAA4<br>LEI: DQ2XTZKV7SILNNV77403 | Long             | DBT              | CORP              | US        |     11840000 | PA      | $10874277.27  | 0.49%             | 2026-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| Intercontinental Exchange, Inc.                         | Long: BWS075747 CDS USD R V 03MEVENT 1 CCPCDX / Short: BWS075747 CDS USD P F  5.00000 2 CCPCDX             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     33959100 | OU      | $-209120.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital                                        | Barclays Capital                                                                                           | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | Long             | RA               | CORP              | US        |     12907473 | PA      | $12907472.51  | 0.58%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 3140XBKJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13232760 | PA      | $10872874.55  | 0.49%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ACURIS FIN US/ACURIS FIN                                | Acuris Finance US Inc / Acuris Finance SARL                                                                | CUSIP: 00511BAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2900000 | PA      | $2312750.00   | 0.10%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | S+P EMINI 3RD WK  FEB23P 3300 EXP 02/17/2023                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |         -412 | NC      | $-180250.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                | Petrobras Global Finance BV                                                                                | CUSIP: 71647NAZ2<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |      1000000 | PA      | $971250.00    | 0.04%             | 2029-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                             | Freddie Mac Pool                                                                                           | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6176062 | PA      | $5895773.11   | 0.27%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pacific Bells, LLC                                      | Pacific Bells, LLC Term Loan B                                                                             | CUSIP: 69403HAL4<br>LEI: 549300VGOQXINYVBJF37 | Long             | LON              | CORP              | US        |      3237637 | PA      | $3059567.08   | 0.14%             | 2028-11-10      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                                        | Ocean Trails Clo X                                                                                         | CUSIP: 67516BAE1<br>LEI: 635400RMMLHBGDGXBC03 | Long             | ABS-CBDO         | CORP              | KY        |      5290000 | PA      | $4718653.55   | 0.21%             | 2034-10-15      | Floating      | 11.65%                | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | PURCHASED USD / SOLD GBP                                                                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |            1 | NC      | $-197960.49   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                  | Southwestern Energy Co                                                                                     | CUSIP: 845467AP4<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |      4053000 | PA      | $4178402.25   | 0.19%             | 2028-09-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                         | CUSIP: 3617VKGV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       324072 | PA      | $273401.21    | 0.01%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                  | RR 18 Ltd                                                                                                  | CUSIP: 749737AA0<br>LEI: 54930003V8ISBLDELD80 | Long             | ABS-CBDO         | CORP              | KY        |      7070000 | PA      | $6321272.86   | 0.28%             | 2034-10-15      | Floating      | 10.33%                | No            |                  2 | On Loan: No      |
| Allied Universal                                        | Allied Universal Holdco LLC / Allied Universal Finance Corp                                                | CUSIP: 019576AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3050000 | PA      | $2790750.00   | 0.13%             | 2026-07-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: —       |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                         | CUSIP: 36202DS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         3728 | PA      | $3889.11      | 0.00%             | 2032-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                               | GSMPS Mortgage Loan Trust 2006-RP2                                                                         | CUSIP: 36298XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       786769 | PA      | $649863.62    | 0.03%             | 2036-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                     | AUST 10Y BOND FUT MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |          202 | NC      | $-915218.19   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| VIAVI SOLUTIONS INC                                     | Viavi Solutions Inc                                                                                        | CUSIP: 925550AF2<br>LEI: 5493006K3E3N1QOBF092 | Long             | DBT              | CORP              | US        |      1940000 | PA      | $1630481.81   | 0.07%             | 2029-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| NEPTUNE ENERGY BONDCO                                   | Neptune Energy Bondco PLC                                                                                  | CUSIP: 64073KAA1<br>LEI: 549300CPMT8I2QBRYF88 | Long             | DBT              | CORP              | GB        |      5270000 | PA      | $5117211.32   | 0.23%             | 2025-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                  | Sequoia Mortgage Trust 2003-2                                                                              | CUSIP: 81743PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        42754 | PA      | $40026.05     | 0.00%             | 2033-06-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 3140XBUH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1150794 | PA      | $1130258.36   | 0.05%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Greystone Select Financial LLC                          | Greystone Select Financial LLC Term Loan B                                                                 | CUSIP: 39808KAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      5427908 | PA      | $5237930.95   | 0.24%             | 2028-06-16      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| Hayward Industries, Inc.                                | Hayward Industries, Inc. 2022 Term Loan                                                                    | CUSIP: 421300AM6<br>LEI: 549300NV8ZMMEDUHQ091 | Long             | LON              | CORP              | US        |      2094750 | PA      | $2008341.56   | 0.09%             | 2028-05-30      | Variable      | 7.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128M9PU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        36798 | PA      | $39525.69     | 0.00%             | 2039-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                                           | CUSIP: 31329KUG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2733075 | PA      | $2535452.17   | 0.11%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIC NY                                                  | CIC NY                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      5000145 | PA      | $5000145.00   | 0.23%             | 2023-01-09      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CANPACK SA/CANPACK US                                   | Canpack SA / Canpack US LLC                                                                                | CUSIP: 13806CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      1396000 | PA      | $1100131.38   | 0.05%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MUFG Bank Ltd, New York Branch                          | MUFG Bank Ltd, New York Branch                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      2000180 | PA      | $2000180.00   | 0.09%             | 2023-04-13      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LTD,NY                       | SUMITOMO MITSUI TRUST BANK LTD,NY                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      6001668 | PA      | $6001668.00   | 0.27%             | 2023-03-07      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS            | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust                             | CUSIP: 93936HAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7014175 | PA      | $1122629.23   | 0.05%             | 2037-04-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                        | Societe Generale                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |     10650000 | PA      | $10650000.00  | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| SMR 2022-IND Mortgage Trust                             | SMR 2022-IND Mortgage Trust                                                                                | CUSIP: 78458MAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2864834 | PA      | $2640787.11   | 0.12%             | 2039-02-15      | Floating      | 10.34%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                          | CUSIP: 31393YBS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        38416 | PA      | $37790.26     | 0.00%             | 2034-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| UST Holdings, Ltd                                       | UST Holdings, Ltd Term Loan                                                                                | CUSIP: 90355HAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4395600 | PA      | $4340655.00   | 0.20%             | 2028-11-20      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| ADAPTHEALTH LLC                                         | AdaptHealth LLC                                                                                            | CUSIP: 00653VAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3650000 | PA      | $3055962.50   | 0.14%             | 2029-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| CROWDSTRIKE HOLDINGS INC                                | Crowdstrike Holdings Inc                                                                                   | CUSIP: 22788CAA3<br>LEI: 549300YBY08K9KM4HX32 | Long             | DBT              | CORP              | US        |      2405000 | PA      | $2029254.58   | 0.09%             | 2029-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| TALLGRASS NRG PRTNR/FIN                                 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                                               | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3230000 | PA      | $2793077.90   | 0.13%             | 2030-12-31      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| FIVE POINT OP CO LP/FIVE                                | Five Point Operating Co LP / Five Point Capital Corp                                                       | CUSIP: 33834YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4047000 | PA      | $3401993.31   | 0.15%             | 2025-11-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 3140XCHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4411139 | PA      | $3718352.28   | 0.17%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ZIFF DAVIS INC                                          | Ziff Davis Inc                                                                                             | CUSIP: 48123VAF9<br>LEI: 5493008OJYGLHD7MXA18 | Long             | DBT              | CORP              | US        |      5586000 | PA      | $4726761.48   | 0.21%             | 2030-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| Amentum Government Services Holdings LLC                | Amentum Government Services Holdings LLC Term Loan B                                                       | CUSIP: 57776DAB9<br>LEI: 5493008CT6B5L54YSE94 | Long             | LON              | CORP              | US        |      4609922 | PA      | $4514842.77   | 0.20%             | 2027-01-29      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                  | Credit Suisse Group AG                                                                                     | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      4280000 | PA      | $3755243.41   | 0.17%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: —       |
| UniCredit SpA                                           | UniCredit SpA                                                                                              | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |      1750000 | PA      | $1603861.26   | 0.07%             | 2034-04-02      | Fixed         | 7.30%                 | No            |                  2 | On Loan: —       |
| BX Trust                                                | BX Commercial Mortgage Trust 2020-VIVA                                                                     | CUSIP: 12433XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3080000 | PA      | $2306850.39   | 0.10%             | 2044-03-11      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| CIBC NY                                                 | CIBC NY                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     12004593 | PA      | $12004593.36  | 0.54%             | 2023-03-03      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | PURCHASED JPY / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | JP        |            1 | NC      | $10801.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Redstone Holdco 2 LP                                    | Redstone Holdco 2 LP 2021 Term Loan                                                                        | CUSIP: 75774EAG0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      8630750 | PA      | $6037209.63   | 0.27%             | 2028-04-27      | Floating      | 9.11%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                      | Morgan Stanley Mortgage Loan Trust 2004-11AR                                                               | CUSIP: 61748HGR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       259340 | PA      | $228766.60    | 0.01%             | 2035-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2019-HY2                                                                         | CUSIP: 89177HAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1220000 | PA      | $1135942.37   | 0.05%             | 2058-05-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                        | Societe Generale                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |      2000000 | PA      | $2000000.00   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LADDER CAP FIN LLLP/CORP                                | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp                                         | CUSIP: 505742AP1<br>LEI: N/A                  | Long             | DBT              |  | US        |      2090000 | PA      | $1687382.40   | 0.08%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2021-ROSS                                                                | CUSIP: 36264YAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1540000 | PA      | $1353482.90   | 0.06%             | 2026-05-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN BRAND INTELLECT                                | Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd                                       | CUSIP: 41984LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     10378000 | PA      | $9392090.00   | 0.42%             | 2026-01-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| ICE Futures Europe - Financial Products Division        | LONG GILT FUTURE MAR23                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          205 | NC      | $-1368389.94  | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| INDONESIA GOVERNMENT                                    | Indonesia Treasury Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 223092000000 | PA      | $14672027.61  | 0.66%             | 2027-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Global Medical Response, Inc.                           | Global Medical Response, Inc. 2020 Term Loan B                                                             | CUSIP: 00169QAF6<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | LON              | CORP              | US        |      3537800 | PA      | $2508891.02   | 0.11%             | 2025-10-02      | Floating      | 8.65%                 | No            |                  2 | On Loan: No      |
| TOPBUILD CORP                                           | TopBuild Corp                                                                                              | CUSIP: 89055FAB9<br>LEI: 5493007YSKHOL4RWII46 | Long             | DBT              | CORP              | US        |      3010000 | PA      | $2467913.63   | 0.11%             | 2029-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: —       |
| STONEX GROUP INC                                        | StoneX Group Inc                                                                                           | CUSIP: 46116VAE5<br>LEI: 549300JUF07L8VF02M60 | Long             | DBT              | CORP              | US        |      5085000 | PA      | $5135850.00   | 0.23%             | 2025-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: —       |
| Canyon Capital CLO Ltd                                  | Canyon Capital CLO 2021-2 Ltd                                                                              | CUSIP: 13877FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       750000 | PA      | $662611.50    | 0.03%             | 2034-04-15      | Floating      | 10.49%                | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                          | HarborView Mortgage Loan Trust 2007-7                                                                      | CUSIP: 411640AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       609487 | PA      | $538541.45    | 0.02%             | 2037-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                        | Symphony CLO XIX Ltd                                                                                       | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2250000 | PA      | $2212868.25   | 0.10%             | 2031-04-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                          | CUSIP: 36290RP49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1263 | PA      | $1316.21      | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RANGE RESOURCES CORP                                    | Range Resources Corp                                                                                       | CUSIP: 75281ABJ7<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |      7430000 | PA      | $7656206.35   | 0.34%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| ZI TECH LLC/ZI FIN CORP                                 | ZoomInfo Technologies LLC/ZoomInfo Finance Corp                                                            | CUSIP: 98981BAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3940000 | PA      | $3311106.73   | 0.15%             | 2029-02-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| CCO HLDGS LLC/CAP CORP                                  | CCO Holdings LLC / CCO Holdings Capital Corp                                                               | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2990000 | PA      | $2714890.10   | 0.12%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| VFH Parent LLC                                          | VFH Parent LLC 2022 Term Loan B                                                                            | CUSIP: 000000000<br>LEI: 549300FRO9M476YHHY64 | Long             | LON              | CORP              | US        |      2660000 | PA      | $2601812.50   | 0.12%             | 2029-01-13      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                       | NatWest Group PLC                                                                                          | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      6600000 | PA      | $6103175.19   | 0.27%             | 2028-03-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | 3 MONTH SOFR FUT DEC24                                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |          448 | NC      | $41596.70     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Prime Mortgage Trust                                    | Prime Mortgage Trust 2006-DR1                                                                              | CUSIP: 74159UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        47695 | PA      | $47424.81     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                     | Coinbase Global Inc                                                                                        | CUSIP: 19260QAD9<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |      3720000 | PA      | $1791596.31   | 0.08%             | 2031-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                   | CUSIP: 38378BRQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2012359 | PA      | $20.12        | 0.00%             | 2052-04-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ABERCROMBIE & FITCH MANA                                | Abercrombie & Fitch Management Co                                                                          | CUSIP: 003000AA4<br>LEI: 5493003QMCFDA98NPT74 | Long             | DBT              | CORP              | US        |      5195000 | PA      | $5090878.69   | 0.23%             | 2025-07-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                     | PURCHASED MXN / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | MX        |            1 | NC      | $84716.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Thrust Engine Leasing                                   | Thrust Engine Leasing 2021 DAC                                                                             | CUSIP: 88603UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1514702 | PA      | $1112563.00   | 0.05%             | 2040-07-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2018-RPL1                                                              | CUSIP: 64829VAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2860000 | PA      | $2291569.57   | 0.10%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH AMERICAS                                  | Bausch Health Americas Inc                                                                                 | CUSIP: 91911XAV6<br>LEI: KOO0397YRO83WY5MGD97 | Long             | DBT              | CORP              | US        |       830000 | PA      | $580999.00    | 0.03%             | 2026-04-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: —       |
| US Renal Care Inc                                       | US Renal Care Inc                                                                                          | CUSIP: 07335BAA4<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |      3931000 | PA      | $854992.50    | 0.04%             | 2027-07-15      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE                                   | Melco Resorts Finance Ltd                                                                                  | CUSIP: 58547DAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       740000 | PA      | $679547.54    | 0.03%             | 2025-06-06      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AIR CANADA                                              | Air Canada                                                                                                 | CUSIP: 008911BK4<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |      3620000 | PA      | $3206352.34   | 0.14%             | 2026-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 3140LRUW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2692477 | PA      | $2222281.69   | 0.10%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                 | United Rentals North America Inc                                                                           | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      3200000 | PA      | $2682528.00   | 0.12%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Chicago Mercantile Exchange                             | S+P500 EMINI OPTN MAR23P 3500 EXP 03/17/2023                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          242 | NC      | $562650.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED AIR 2020-1 B PTT                                 | United Airlines 2020-1 Class B Pass Through Trust                                                          | CUSIP: 90932VAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       571500 | PA      | $543716.70    | 0.02%             | 2026-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TKC HOLDINGS INC                                        | TKC Holdings Inc                                                                                           | CUSIP: 87256YAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1580000 | PA      | $1234540.54   | 0.06%             | 2028-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Polyconcept Holding B.V.                                | Polyconcept Holding B.V. Term Loan B                                                                       | CUSIP: 12511PAB7<br>LEI: 254900TSH6NNRZ0GUN05 | Long             | LON              | CORP              | US        |      5356575 | PA      | $5035180.50   | 0.23%             | 2029-05-18      | Variable      | 10.08%                | No            |                  2 | On Loan: No      |
| Lakeshore Intermediate LLC                              | Lakeshore Intermediate LLC Term Loan                                                                       | CUSIP: 51207KAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      5999400 | PA      | $5875662.38   | 0.26%             | 2028-09-29      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2016-3                                                                 | CUSIP: 64829HAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5619181 | PA      | $5152028.52   | 0.23%             | 2056-09-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| PM GENERAL PURCHASER LLC                                | PM General Purchaser LLC                                                                                   | CUSIP: 69356MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5440000 | PA      | $4146645.11   | 0.19%             | 2028-10-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: —       |
| Chicago Board of Trade                                  | US 10YR ULTRA FUT MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          631 | NC      | $-109544.76   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12                                            | CUSIP: 46632HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        88158 | PA      | $78107.67     | 0.00%             | 2051-02-15      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                              | FIXED INC CLEARING CORP.REPO                                                                               | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |     27802376 | PA      | $27802376.19  | 1.25%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED NY                                   | STANDARD CHARTERED NY                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      4006071 | PA      | $4006071.44   | 0.18%             | 2023-05-02      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                     | PURCHASED JPY / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | JP        |            1 | NC      | $90696.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                 | United Rentals North America Inc                                                                           | CUSIP: 911365BN3<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      1540000 | PA      | $1316386.73   | 0.06%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Bausch Health Cos Inc                                   | Bausch Health Cos Inc                                                                                      | CUSIP: 071734AD9<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      1070000 | PA      | $517182.58    | 0.02%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ARD FINANCE SA                                          | ARD Finance SA                                                                                             | CUSIP: 00191AAD8<br>LEI: 6354006P6QPGGPVJW880 | Long             | DBT              | CORP              | LU        |      4470000 | PA      | $3109030.10   | 0.14%             | 2027-06-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Chicago Mercantile Exchange                             | Long: BWS074807 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS074807 IRS USD P F  2.65000 2 CCPOIS              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     29594000 | OU      | $3225769.08   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL INSURANCE                                | Liberty Mutual Insurance Co                                                                                | CUSIP: 53079QAD9<br>LEI: CNC20I6IOMGF7KY49D67 | Long             | DBT              | CORP              | US        |      2600000 | PA      | $2808118.43   | 0.13%             | 2097-10-15      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                         | Lehman XS Trust Series 2006-12N                                                                            | CUSIP: 525226AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       847364 | PA      | $754205.97    | 0.03%             | 2046-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                                | CHS/Community Health Systems Inc                                                                           | CUSIP: 12543DBJ8<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |      3630000 | PA      | $1865685.65   | 0.08%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| Carlyle Global Market Strategies                        | Carlyle US Clo 2017-2 Ltd                                                                                  | CUSIP: 14315JAJ8<br>LEI: 549300VC6J79YJCFU884 | Long             | ABS-CBDO         | CORP              | KY        |      8500000 | PA      | $7277317.50   | 0.33%             | 2031-07-20      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| MIZUHO BANK LIMITED NEW YORK                            | MIZUHO BANK LIMITED NEW YORK                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      2000601 | PA      | $2000600.70   | 0.09%             | 2023-01-26      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                                 | MPT Operating Partnership LP / MPT Finance Corp                                                            | CUSIP: 55342UAL8<br>LEI: N/A                  | Long             | DBT              |  | US        |      4656000 | PA      | $4112419.86   | 0.19%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | S+P EMINI 3RD WK  FEB23P 3700 EXP 02/17/2023                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           87 | NC      | $275137.50    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NCR CORP                                                | NCR Corp                                                                                                   | CUSIP: 62886EBA5<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |      4000000 | PA      | $3345292.80   | 0.15%             | 2029-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| NORTHERN OIL AND GAS INC                                | Northern Oil and Gas Inc                                                                                   | CUSIP: 665531AG4<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |      5580000 | PA      | $5357882.52   | 0.24%             | 2028-03-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: —       |
| Quikrete Holdings, Inc.                                 | Quikrete Holdings, Inc. 2021 Term Loan B1                                                                  | CUSIP: 74839XAG4<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |      3364575 | PA      | $3342846.57   | 0.15%             | 2029-03-18      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED USD / SOLD AUD                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $-28583.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Structured Agency Credit Risk Debt Notes                                                       | CUSIP: 3137G0AM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1268878 | PA      | $1280638.87   | 0.06%             | 2024-02-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED MXN / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |            1 | NC      | $32555.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                          | CUSIP: 36225BZ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          549 | PA      | $565.95       | 0.00%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cathedral Lake LTD                                      | Cathedral Lake VI Ltd                                                                                      | CUSIP: 14919MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2650000 | PA      | $2277388.80   | 0.10%             | 2034-04-25      | Floating      | 11.57%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                          | CUSIP: 36290RUG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1294 | PA      | $1330.03      | 0.00%             | 2033-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                                | Rockies Express Pipeline LLC                                                                               | CUSIP: 77340RAD9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      2480000 | PA      | $2294000.00   | 0.10%             | 2038-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| First Brands Group, LLC                                 | First Brands Group, LLC 2021 Term Loan                                                                     | CUSIP: 31935HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      3191400 | PA      | $3039808.49   | 0.14%             | 2027-03-30      | Variable      | 8.37%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                          | BCAP LLC 2013-RR4 Trust                                                                                    | CUSIP: 05542LAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2986388 | PA      | $2714421.04   | 0.12%             | 2047-05-26      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                           | MHC Trust 2021-MHC2                                                                                        | CUSIP: 55293AAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5620000 | PA      | $5278075.83   | 0.24%             | 2038-05-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| GANNETT HOLDINGS LLC                                    | Gannett Holdings LLC                                                                                       | CUSIP: 36474GAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       600000 | PA      | $489000.00    | 0.02%             | 2026-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                          | CUSIP: 36225BY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1026 | PA      | $1086.71      | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS                                  | BBVA Bancomer SA/Texas                                                                                     | CUSIP: 05533UAF5<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |      5980000 | PA      | $5367656.85   | 0.24%             | 2033-01-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd                                         | Sands China Ltd                                                                                            | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      1240000 | PA      | $1161015.72   | 0.05%             | 2028-08-08      | Fixed         | 5.90%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                | Government National Mortgage Association                                                                   | CUSIP: 38379RPH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1050785 | PA      | $30366.64     | 0.00%             | 2058-07-16      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                 | Dryden 75 CLO Ltd                                                                                          | CUSIP: 26252KAJ4<br>LEI: 254900JFO9XUH2EREJ70 | Long             | ABS-CBDO         | CORP              | KY        |      7200000 | PA      | $6334704.00   | 0.29%             | 2034-04-15      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                           | Carnival Corp                                                                                              | CUSIP: 143658BS0<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |       210000 | PA      | $170824.64    | 0.01%             | 2030-06-01      | Fixed         | 10.50%                | No            |                  2 | On Loan: —       |
| SOUTHERN NATURAL GAS                                    | Southern Natural Gas Co LLC                                                                                | CUSIP: 843452AZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        25000 | PA      | $27422.48     | 0.00%             | 2032-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                | Government National Mortgage Association                                                                   | CUSIP: 38378GJK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        25794 | PA      | $25556.47     | 0.00%             | 2041-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATIXIS NY                                              | NATIXIS NY                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      2000789 | PA      | $2000789.06   | 0.09%             | 2023-02-13      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Inc                            | Citigroup Global Markets Inc                                                                               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | RA               | CORP              | US        |      3000000 | PA      | $3000000.00   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Pactiv LLC                                              | Pactiv LLC                                                                                                 | CUSIP: 880394AB7<br>LEI: 549300O4WTC6DL4JIE57 | Long             | DBT              | CORP              | US        |      2510000 | PA      | $2424222.58   | 0.11%             | 2025-12-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: —       |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2018-R07                                                               | CUSIP: 20753QAF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5000000 | PA      | $5080594.50   | 0.23%             | 2031-04-25      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| WP CPP Holdings, LLC                                    | WP CPP Holdings, LLC 2018 Term Loan                                                                        | CUSIP: 92937JAM5<br>LEI: 549300HT8KGOLU7VM426 | Long             | LON              | CORP              | US        |      4914721 | PA      | $4306524.07   | 0.19%             | 2025-04-30      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                          | Sabre GLBL Inc                                                                                             | CUSIP: 78573NAH5<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |      3050000 | PA      | $3140661.25   | 0.14%             | 2027-12-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                          | CUSIP: 36200WJL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         5016 | PA      | $5248.36      | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                                    | Michaels Cos Inc/The                                                                                       | CUSIP: 55916AAB0<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |      5110000 | PA      | $3414339.91   | 0.15%             | 2029-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| CCO HLDGS LLC/CAP CORP                                  | CCO Holdings LLC / CCO Holdings Capital Corp                                                               | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4940000 | PA      | $3932240.00   | 0.18%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| JPMorgan Chase Bank N.A.                                | PURCHASED USD / SOLD IDR                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $115246.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc               | Structured Asset Mortgage Investments II Trust 2006-AR5                                                    | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       101555 | PA      | $64372.86     | 0.00%             | 2046-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| ING (US) Funding LLC                                    | ING (US) Funding LLC                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      4005448 | PA      | $4005448.00   | 0.18%             | 2023-08-04      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                                            | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |       200000 | PA      | $171286.00    | 0.01%             | 2027-03-08      | Fixed         | 2.80%                 | No            |                  2 | On Loan: —       |
| SUMITOMO BK NY                                          | SUMITOMO BK NY                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      7009478 | PA      | $7009478.00   | 0.32%             | 2023-04-21      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | PURCHASED USD / SOLD GBP                                                                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |            1 | NC      | $-114567.33   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                     | PURCHASED USD / SOLD CAD                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |            1 | NC      | $-27136.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                                | EQM Midstream Partners LP                                                                                  | CUSIP: 26885BAH3<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |      1660000 | PA      | $1586545.00   | 0.07%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2018-2                                                                             | CUSIP: 33851HAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        84397 | PA      | $82715.34     | 0.00%             | 2048-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FRESENIUS MED CARE II                                   | Fresenius Medical Care US Finance II Inc                                                                   | CUSIP: 35802XAJ2<br>LEI: 5493008GJ5TVVTY4UM62 | Long             | DBT              | CORP              | US        |       700000 | PA      | $686878.48    | 0.03%             | 2024-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| CTC Holdings, LP                                        | CTC Holdings, LP Term Loan B                                                                               | CUSIP: 12658UAB9<br>LEI: 549300C1QWYMULTJ4V04 | Long             | LON              | CORP              | US        |      4234883 | PA      | $4065487.48   | 0.18%             | 2029-02-20      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 3140QK5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15312659 | PA      | $13444681.53  | 0.61%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2020-DNA3                                                                    | CUSIP: 35565WBD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4647917 | PA      | $4842313.42   | 0.22%             | 2050-06-25      | Floating      | 9.49%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust 2022-3                                                                            | CUSIP: 03464TAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4079739 | PA      | $3510823.67   | 0.16%             | 2067-01-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| MEG ENERGY CORP                                         | MEG Energy Corp                                                                                            | CUSIP: 552704AF5<br>LEI: 5493002WXPTG5ZC1T326 | Long             | DBT              | CORP              | CA        |       870000 | PA      | $820431.75    | 0.04%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| Sprint Capital Corp                                     | Sprint Capital Corp                                                                                        | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |      2069000 | PA      | $2462316.90   | 0.11%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: —       |
| Greenwood Park CLO, Ltd                                 | Greenwood Park CLO Ltd                                                                                     | CUSIP: 39729TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7380000 | PA      | $6074323.02   | 0.27%             | 2031-04-15      | Floating      | 9.03%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                     | NCL Corp Ltd                                                                                               | CUSIP: 62886HBA8<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |      2960000 | PA      | $2324991.20   | 0.10%             | 2026-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| Lloyds Banking Group PLC                                | Lloyds Banking Group PLC                                                                                   | CUSIP: 539439AG4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      3580000 | PA      | $3469736.00   | 0.16%             | 2024-06-27      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| FIRSTCASH INC                                           | FirstCash Inc                                                                                              | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |      3060000 | PA      | $2723598.99   | 0.12%             | 2030-01-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| JPMorgan Chase Bank N.A.                                | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $-160927.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        79397 | PA      | $77160.72     | 0.00%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | PURCHASED USD / SOLD GBP                                                                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |            1 | NC      | $-267194.92   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Del Monte Foods, Inc.                                   | Del Monte Foods, Inc. 2022 Term Loan                                                                       | CUSIP: 24521TAJ5<br>LEI: 549300U9K7TD84Q24R17 | Long             | LON              | CORP              | US        |      5220000 | PA      | $5076450.00   | 0.23%             | 2029-05-16      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2014-USA OA LLC                                                                                       | CUSIP: 12649AAQ2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      6620000 | PA      | $3669481.23   | 0.17%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                                    | Michaels Cos Inc/The                                                                                       | CUSIP: 55916AAA2<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |      2660000 | PA      | $2140051.58   | 0.10%             | 2028-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| Credit Suisse Group AG                                  | Credit Suisse Group AG                                                                                     | CUSIP: 225401AK4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       650000 | PA      | $467257.98    | 0.02%             | 2025-09-12      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                                                   | CUSIP: 30711XY32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3230000 | PA      | $3334605.81   | 0.15%             | 2031-01-25      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                     | PURCHASED GBP / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | GB        |            1 | NC      | $2131603.66   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US ULTRA BOND CBT MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         2134 | NC      | $-253235.63   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ADVANCED DRAINAGE SYSTEM                                | Advanced Drainage Systems Inc                                                                              | CUSIP: 00790RAB0<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Long             | DBT              | CORP              | US        |      3110000 | PA      | $3021862.60   | 0.14%             | 2030-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| WAMU Mortgage Pass-Through Certificates                 | WaMu Mortgage Pass-Through Certificates Series 2003-AR8 Trust                                              | CUSIP: 92922FAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       451214 | PA      | $426143.95    | 0.02%             | 2033-08-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                     | PURCHASED USD / SOLD MXN                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |            1 | NC      | $-244985.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| National Bank Of Canada                                 | National Bank Of Canada                                                                                    | CUSIP: 000000000<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | RA               | CORP              | US        |     20400000 | PA      | $20400000.00  | 0.92%             |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                           | DISH DBS Corp                                                                                              | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4330000 | PA      | $3455881.25   | 0.16%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                                                       | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |       280000 | PA      | $252783.77    | 0.01%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                     | Medline Borrower LP                                                                                        | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |      6510000 | PA      | $5246799.60   | 0.24%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL CHICAGO                                | BANK OF MONTREAL CHICAGO                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      3999938 | PA      | $3999937.60   | 0.18%             | 2023-04-04      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                | USMXP0336 USD PUT MXN CALL MAR MAR23 19.644 PUT                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |     32200000 | OU      | $512398.60    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                                | EQM Midstream Partners LP                                                                                  | CUSIP: 26885BAN0<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |      2660000 | PA      | $2562963.20   | 0.12%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SUPERIOR PLUS/GEN PRTNR                                 | Superior Plus LP / Superior General Partner Inc                                                            | CUSIP: 86828LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      2320000 | PA      | $1983600.00   | 0.09%             | 2029-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA NA                                      | BANK OF AMERICA NA                                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      2999966 | PA      | $2999966.10   | 0.14%             | 2023-05-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| NATIXIS NY                                              | NATIXIS NY                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      2000648 | PA      | $2000647.76   | 0.09%             | 2023-06-21      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                       | General Motors Co                                                                                          | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      5134000 | PA      | $5028224.25   | 0.23%             | 2036-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: —       |
| UNITED RENTALS NORTH AM                                 | United Rentals North America Inc                                                                           | CUSIP: 911365BL7<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      4000000 | PA      | $3758320.00   | 0.17%             | 2030-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| Mavis Tire Express Services Corp.                       | Mavis Tire Express Services Corp. 2021 Term Loan B                                                         | CUSIP: 57777YAB2<br>LEI: 254900NVDM4GTLBL9E56 | Long             | LON              | CORP              | US        |      2330500 | PA      | $2229372.61   | 0.10%             | 2028-05-04      | Variable      | 8.50%                 | No            |                  2 | On Loan: No      |
| MACQUARIE BANK LTD                                      | MACQUARIE BANK LTD                                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      5001350 | PA      | $5001350.00   | 0.23%             | 2023-02-03      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                        | SMB Private Education Loan Trust 2021-A                                                                    | CUSIP: 78448YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6240000 | PA      | $5604464.11   | 0.25%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Seattle Spinco, Inc.                                    | Seattle Spinco, Inc. USD Term Loan B3                                                                      | CUSIP: 81271EAB7<br>LEI: 213800AAQDP1DDU8BK05 | Long             | LON              | CORP              | US        |      1684051 | PA      | $1678438.12   | 0.08%             | 2024-06-21      | Floating      | 7.13%                 | 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        |     11030000 | PA      | $10677194.42  | 0.48%             | 2039-10-25      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| SUNNOVA ENERGY CORP                                     | Sunnova Energy Corp                                                                                        | CUSIP: 86745GAF0<br>LEI: 549300TH3GCD8YQUDR46 | Long             | DBT              | CORP              | US        |      1730000 | PA      | $1545564.70   | 0.07%             | 2026-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                     | PURCHASED CAD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | CA        |            1 | NC      | $318678.77    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2019-R05                                                               | CUSIP: 20754HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1658728 | PA      | $1679960.21   | 0.08%             | 2039-07-25      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                          | Palmer Square Loan Funding 2022-3 Ltd                                                                      | CUSIP: 69690CAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5270000 | PA      | $5101987.13   | 0.23%             | 2031-04-15      | Floating      | 9.40%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                        | CSC Holdings LLC                                                                                           | CUSIP: 126307BA4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |       770000 | PA      | $434272.30    | 0.02%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Lear Corp                                               | Lear Corp                                                                                                  | CUSIP: 521865204<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | EC               | CORP              | US        |          399 | NS      | $49483.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Hornblower Sub, LLC                                     | Hornblower Sub, LLC 2020 Repriced Term Loan B                                                              | CUSIP: 44055EAG6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      6698069 | PA      | $4722138.60   | 0.21%             | 2025-04-27      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED USD / SOLD CNY                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $-1246.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                 | WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust                                              | CUSIP: 933636AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       254509 | PA      | $219685.95    | 0.01%             | 2036-09-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| CIBC NY                                                 | CIBC NY                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     10000662 | PA      | $10000661.80  | 0.45%             | 2023-02-03      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                                 | Park Aerospace Holdings Ltd                                                                                | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |      3800000 | PA      | $3790620.57   | 0.17%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AKUMIN ESCROW INC                                       | Akumin Escrow Inc                                                                                          | CUSIP: 01021FAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      3840000 | PA      | $2339256.12   | 0.11%             | 2028-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Pactiv LLC                                              | Pactiv LLC                                                                                                 | CUSIP: 880394AE1<br>LEI: 549300O4WTC6DL4JIE57 | Long             | DBT              | CORP              | US        |      3416000 | PA      | $3313505.86   | 0.15%             | 2027-04-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                  | Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A3                                                 | CUSIP: 59020UHN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27796 | PA      | $24625.01     | 0.00%             | 2034-05-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FOCUS FINANCIAL PARTNERS, LLC                           | Focus Financial Partners, LLC 2022 Term Loan B5                                                            | CUSIP: 34416DAW8<br>LEI: 5493007L0E0VKRC2CP39 | Long             | LON              | CORP              | US        |         3777 | PA      | $3740.63      | 0.00%             | 2028-06-30      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                      | Dominican Republic International Bond                                                                      | CUSIP: 25714PEN4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |      3800000 | PA      | $3427797.64   | 0.15%             | 2033-02-22      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WP CPP Holdings, LLC                                    | WP CPP Holdings, LLC 2019 2nd Lien Incremental Term Loan                                                   | CUSIP: 000000000<br>LEI: 549300HT8KGOLU7VM426 | Long             | LON              | CORP              | US        |      3300000 | PA      | $2780250.00   | 0.13%             | 2026-04-30      | Floating      | 12.17%                | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2021-ROSS                                                                | CUSIP: 36264YAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1540000 | PA      | $1304163.17   | 0.06%             | 2026-05-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| CHEPLAPHARM ARZNEIMITTEL                                | Cheplapharm Arzneimittel GmbH                                                                              | CUSIP: 16412EAA5<br>LEI: 529900ONXKBELT7EW052 | Long             | DBT              | CORP              | DE        |      2840000 | PA      | $2374808.00   | 0.11%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ADTALEM GLOBAL EDUCATION INC.                           | Adtalem Global Education Inc. 2021 Term Loan B                                                             | CUSIP: 00737RAE0<br>LEI: 549300Z467EZLMODV621 | Long             | LON              | CORP              | US        |      2418127 | PA      | $2403877.19   | 0.11%             | 2028-08-12      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                | Banco Mercantil del Norte SA/Grand Cayman                                                                  | CUSIP: 05962GAJ8<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |      2150000 | PA      | $2009610.42   | 0.09%             | 2028-01-10      | Fixed         | 7.62%                 | 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        |      8040000 | PA      | $7193066.40   | 0.32%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| SCIENTIFIC GAMES INTERNA                                | Scientific Games International Inc                                                                         | CUSIP: 80874YBG4<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1632323.22   | 0.07%             | 2025-07-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2018-DNA2                                                                          | CUSIP: 35563TAV3<br>LEI: 549300L8K4CLYS7FCQ06 | Long             | ABS-MBS          | USGSE             | US        |      4580000 | PA      | $4587116.86   | 0.21%             | 2030-12-25      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| B RILEY FINANCIAL INC                                   | B Riley Financial Inc                                                                                      | CUSIP: 05580M827<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        76800 | NS      | $1712640.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 3140XDLR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       181830 | PA      | $154366.04    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WESTPAC BKG CORP, NEW YORK                              | WESTPAC BKG CORP, NEW YORK                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      6999230 | PA      | $6999230.00   | 0.32%             | 2023-02-17      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: SWS031849 IRS MXN R F  7.44000 2 CCPVANILLA / Short: SWS031849 IRS MXN P V 01MTIIE 1 CCPVANILLA      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   1162650000 | OU      | $-3858682.99  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-RPL1 Trust                                                                                       | CUSIP: 12660KAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5360000 | PA      | $5044314.22   | 0.23%             | 2060-09-27      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                             | Asurion LLC 2021 Second Lien Term Loan B4                                                                  | CUSIP: 04649VBA7<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      8950000 | PA      | $7003375.00   | 0.32%             | 2029-01-20      | Floating      | 9.63%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Mortgage-Backed Trust Series 2006-1                                                                   | CUSIP: 225470UJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       511413 | PA      | $496407.61    | 0.02%             | 2036-02-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| THE MET                                                 | Metropolitan Museum of Art/The                                                                             | CUSIP: 592189AA2<br>LEI: 549300LS1O4XQ1SY7T11 | Long             | DBT              | CORP              | US        |      2025000 | PA      | $1587162.28   | 0.07%             | 2045-07-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: —       |
| Chicago Mercantile Exchange                             | S+P EMINI 3RD WK  FEB23P 3600 EXP 02/17/2023                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          353 | NC      | $701587.50    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Grifols Worldwide Operations USA, Inc.                  | Grifols Worldwide Operations USA, Inc. USD 2019 Term Loan B                                                | CUSIP: 39843PAG8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1647661 | PA      | $1594112.05   | 0.07%             | 2027-11-15      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                     | NCL Corp Ltd                                                                                               | CUSIP: 62886HBE0<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |      5450000 | PA      | $4721335.00   | 0.21%             | 2027-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| First Brands Group, LLC                                 | First Brands Group, LLC 2021 2nd Lien Term Loan                                                            | CUSIP: 31935HAF4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1950000 | PA      | $1764750.00   | 0.08%             | 2028-03-30      | Floating      | 11.87%                | No            |                  2 | On Loan: No      |
| MINERALS TECHNOLOGIES IN                                | Minerals Technologies Inc                                                                                  | CUSIP: 603158AA4<br>LEI: 549300D3I1QU67GP6403 | Long             | DBT              | CORP              | US        |      1690000 | PA      | $1505114.00   | 0.07%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Vertex Aerospace Services Corp.                         | Vertex Aerospace Services Corp. 2021 First Lien Term Loan                                                  | CUSIP: 92532MAE5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      8217900 | PA      | $8161401.94   | 0.37%             | 2028-12-06      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| ENDEAVOR ENERGY RESOURCE                                | Endeavor Energy Resources LP / EER Finance Inc                                                             | CUSIP: 29260FAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3770000 | PA      | $3609850.40   | 0.16%             | 2028-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| BUNDESREPUB. DEUTSCHLAND                                | Bundesrepublik Deutschland Bundesanleihe                                                                   | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |      3430000 | PA      | $3361446.78   | 0.15%             | 2026-08-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                   | American Airlines Inc                                                                                      | CUSIP: 023771S58<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |      3580000 | PA      | $3839905.32   | 0.17%             | 2025-07-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: —       |
| Cook Park CLO, Ltd                                      | Cook Park CLO Ltd                                                                                          | CUSIP: 21623RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       750000 | PA      | $588229.50    | 0.03%             | 2030-04-17      | Floating      | 9.48%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                | Ford Motor Credit Co LLC                                                                                   | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      2170000 | PA      | $2024393.00   | 0.09%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| Lloyds Banking Group PLC                                | Lloyds Banking Group PLC                                                                                   | CUSIP: 000000000<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      5450000 | PA      | $5572378.76   | 0.25%             | 2025-06-27      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31385NZA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           54 | PA      | $54.14        | 0.00%             | 2030-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                     | PURCHASED NOK / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | NO        |            1 | NC      | $2907785.34   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Tencent Holdings Ltd                                    | Tencent Holdings Ltd                                                                                       | CUSIP: 88032WAG1<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |      2640000 | PA      | $2422036.56   | 0.11%             | 2028-01-19      | Fixed         | 3.60%                 | No            |                  2 | On Loan: —       |
| Gainwell Acquisition Corp.                              | Gainwell Acquisition Corp. Term Loan B                                                                     | CUSIP: 59909TAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4747418 | PA      | $4504112.56   | 0.20%             | 2027-10-01      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                        | Peruvian Government International Bond                                                                     | CUSIP: 715638DF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      2530000 | PA      | $2092891.14   | 0.09%             | 2031-01-23      | Fixed         | 2.78%                 | No            |                  2 | On Loan: —       |
| HalseyPoint CLO I, Ltd.                                 | Halsey Point CLO I Ltd                                                                                     | CUSIP: 40638CAC3<br>LEI: 549300POBLM5RW6LD816 | Long             | ABS-CBDO         | CORP              | KY        |      2770000 | PA      | $2278660.17   | 0.10%             | 2033-01-20      | Floating      | 12.44%                | No            |                  2 | On Loan: No      |
| CARROLS RESTAURANT GROUP                                | Carrols Restaurant Group Inc                                                                               | CUSIP: 14574XAF1<br>LEI: 529900HZEMNWQSAKFJ98 | Long             | DBT              | CORP              | US        |      1060000 | PA      | $742913.74    | 0.03%             | 2029-07-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                  | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      2410000 | PA      | $1884043.43   | 0.08%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: —       |
| SERVICE PROPERTIES TRUST                                | Service Properties Trust                                                                                   | CUSIP: 81761LAA0<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |      4280000 | PA      | $4078521.40   | 0.18%             | 2025-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| Marathon CLO LTD                                        | Marathon CLO 14 Ltd                                                                                        | CUSIP: 56578HAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2950000 | PA      | $2745116.60   | 0.12%             | 2033-01-20      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                     | Suzano Austria GmbH                                                                                        | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      5000000 | PA      | $3898020.00   | 0.18%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                          | CUSIP: 36200MQ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1487 | PA      | $1550.47      | 0.00%             | 2033-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA HOUSTON                             | BANK OF NOVA SCOTIA HOUSTON                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      2000081 | PA      | $2000081.46   | 0.09%             | 2023-01-09      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ClubCorp Holdings, Inc.                                 | ClubCorp Holdings, Inc. 2017 Term Loan B                                                                   | CUSIP: 18948TAB9<br>LEI: 549300XWSO7KBICXNW37 | Long             | LON              | CORP              | US        |      5799187 | PA      | $5251888.37   | 0.24%             | 2024-09-18      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                      | Credit Agricole SA                                                                                         | CUSIP: 225313AJ4<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |      7050000 | PA      | $7137420.00   | 0.32%             | 2025-12-23      | Fixed         | 8.12%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                          | CUSIP: 36200K7J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          637 | PA      | $672.13       | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALLEN MEDIA LLC/CO-ISSR                                 | Allen Media LLC / Allen Media Co-Issuer Inc                                                                | CUSIP: 01771YAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6590000 | PA      | $2504200.00   | 0.11%             | 2028-02-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | PURCHASED USD / SOLD MXN                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |            1 | NC      | $-40298.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                         | CUSIP: 36202D4P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         2881 | PA      | $2976.87      | 0.00%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Verscend Holding Corp.                                  | Verscend Holding Corp. 2021 Term Loan B                                                                    | CUSIP: 92531HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1881777 | PA      | $1874720.13   | 0.08%             | 2025-08-27      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | PURCHASED USD / SOLD MXN                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |            1 | NC      | $-594783.15   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| NATL BANK CANADA                                        | NATL BANK CANADA                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     20000000 | PA      | $20000000.00  | 0.90%             | 2023-01-06      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MUFG Bank Ltd, New York Branch                          | MUFG Bank Ltd, New York Branch                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      5001270 | PA      | $5001270.00   | 0.23%             | 2023-02-17      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LP                                | Viper Energy Partners LP                                                                                   | CUSIP: 92763MAA3<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |      5505000 | PA      | $5227055.14   | 0.24%             | 2027-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| Caesars Resort Collection, LLC                          | Caesars Resort Collection, LLC 2020 Term Loan B1                                                           | CUSIP: 12769LAD1<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |      1609394 | PA      | $1607131.14   | 0.07%             | 2025-07-21      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                           | TransDigm Inc                                                                                              | CUSIP: 893647BE6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      5930000 | PA      | $5848106.70   | 0.26%             | 2026-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| YPF SOCIEDAD ANONIMA                                    | YPF SA                                                                                                     | CUSIP: 984245AL4<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |      6350000 | PA      | $5321793.14   | 0.24%             | 2025-07-28      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Deerfield Dakota Holding, LLC                           | Deerfield Dakota Holding, LLC 2021 USD 2nd Lien Term Loan                                                  | CUSIP: 24440EAG2<br>LEI: 549300FDREJLOIGXY104 | Long             | LON              | CORP              | US        |      2060000 | PA      | $1973737.50   | 0.09%             | 2028-04-07      | Floating      | 11.13%                | No            |                  2 | On Loan: No      |
| CIC NY                                                  | CIC NY                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      4000112 | PA      | $4000112.00   | 0.18%             | 2023-01-06      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED USD / SOLD CNH                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $-31224.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NSG HOLDINGS LLC/NSG HLD                                | NSG Holdings LLC / NSG Holdings Inc                                                                        | CUSIP: 62940QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       733996 | PA      | $710141.18    | 0.03%             | 2025-12-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDI                                        | Ford Motor Credit Co LLC                                                                                   | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      4560000 | PA      | $3582144.94   | 0.16%             | 2031-06-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: —       |
| Whitehorse Ltd                                          | Whitehorse XII Ltd                                                                                         | CUSIP: 96525YAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6180000 | PA      | $5707520.46   | 0.26%             | 2031-10-15      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED USD / SOLD NOK                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $3407.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREEPORT MINERALS CORP                                  | Freeport Minerals Corp                                                                                     | CUSIP: 717265AJ1<br>LEI: G4008SUSNH0WBKRVG414 | Long             | DBT              | CORP              | US        |      4240000 | PA      | $4499700.00   | 0.20%             | 2027-11-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | S+P EMINI 3RD WK  FEB23P 3400 EXP 02/17/2023                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          117 | NC      | $83362.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Worldwide Express Operations, LLC                       | Worldwide Express Operations, LLC 2021 1st Lien Term Loan                                                  | CUSIP: 00435UAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      7255175 | PA      | $6656623.06   | 0.30%             | 2028-07-26      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                       | Chord Energy Corp                                                                                          | CUSIP: 674215AL2<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |      6890000 | PA      | $6710377.70   | 0.30%             | 2026-06-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Spencer Spirit IH LLC                                   | Spencer Spirit IH LLC Term Loan B                                                                          | CUSIP: 84823UAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      5321888 | PA      | $5246716.80   | 0.24%             | 2026-06-19      | Floating      | 10.40%                | No            |                  2 | On Loan: No      |
| Focus Financial Partners, LLC                           | Focus Financial Partners, LLC 2021 Term Loan B4                                                            | CUSIP: 34416DAU2<br>LEI: 5493007L0E0VKRC2CP39 | Long             | LON              | CORP              | US        |      5016006 | PA      | $4942857.37   | 0.22%             | 2028-06-30      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| TCI-Symphony CLO                                        | TCI-Symphony CLO 2016-1 Ltd                                                                                | CUSIP: 87229WAW1<br>LEI: 5493005WLG3H3B8NI222 | Long             | ABS-CBDO         | CORP              | KY        |      1720000 | PA      | $1525584.96   | 0.07%             | 2032-10-13      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| SKANDANAVISKA ENSKILDA BANKEN                           | SKANDANAVISKA ENSKILDA BANKEN                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      2001976 | PA      | $2001976.00   | 0.09%             | 2023-05-03      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | PURCHASED AUD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | AU        |            1 | NC      | $870511.79    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                | Venture Global Calcasieu Pass LLC                                                                          | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      4010000 | PA      | $3275769.00   | 0.15%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| BX Trust                                                | BX Commercial Mortgage Trust 2020-VIVA                                                                     | CUSIP: 12433XAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5986697 | PA      | $4332877.34   | 0.20%             | 2044-03-11      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                     | Banc of America Funding Corp                                                                               | CUSIP: 05990QAE3<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |     16804506 | PA      | $14410591.28  | 0.65%             | 2037-02-27      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                | Builders FirstSource Inc                                                                                   | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |      2644000 | PA      | $2143564.30   | 0.10%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Greywolf CLO Ltd                                        | Greywolf CLO IV Ltd                                                                                        | CUSIP: 39809TAQ0<br>LEI: 5493000F00WO8WFFVM11 | Long             | ABS-CBDO         | CORP              | KY        |      4090000 | PA      | $3698975.55   | 0.17%             | 2034-04-17      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Alta Wind Holdings LLC                                  | Alta Wind Holdings LLC                                                                                     | CUSIP: 021345AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       795288 | PA      | $785976.81    | 0.04%             | 2035-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                              | Navient Private Education Refi Loan Trust 2020-G                                                           | CUSIP: 63941UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4470000 | PA      | $3355615.14   | 0.15%             | 2069-09-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LTD,NY                       | SUMITOMO MITSUI TRUST BANK LTD,NY                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      2000156 | PA      | $2000156.00   | 0.09%             | 2023-01-10      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                             | Legacy Mortgage Asset Trust 2021-GS1                                                                       | CUSIP: 52474JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2770000 | PA      | $2310904.91   | 0.10%             | 2066-10-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Sculptor CLO Ltd                                        | Sculptor CLO XXVI Ltd                                                                                      | CUSIP: 81125HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4370000 | PA      | $3831187.74   | 0.17%             | 2034-07-20      | Floating      | 11.49%                | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                       | Kinder Morgan Inc                                                                                          | CUSIP: 28368EAD8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |        67000 | PA      | $74714.29     | 0.00%             | 2031-08-01      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 3140XFW49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5234016 | PA      | $4462205.70   | 0.20%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AKUMIN INC                                              | Akumin Inc                                                                                                 | CUSIP: 01021FAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1417000 | PA      | $1014795.12   | 0.05%             | 2025-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                          | CUSIP: 31397NR31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        37068 | PA      | $36465.55     | 0.00%             | 2029-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                  | Reperforming Loan REMIC Trust 2005-R1                                                                      | CUSIP: 12669GWP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2213580 | PA      | $110308.47    | 0.00%             | 2035-03-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED USD / SOLD MXN                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $-396417.50   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31384PT21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          212 | PA      | $211.96       | 0.00%             | 2030-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                          | Barings CLO Ltd 2020-IV                                                                                    | CUSIP: 06762DAA4<br>LEI: 549300Q89L7I93JSRH83 | Long             | ABS-CBDO         | CORP              | KY        |      5740000 | PA      | $5041373.12   | 0.23%             | 2032-01-20      | Floating      | 9.92%                 | No            |                  2 | On Loan: No      |
| CORECIVIC INC                                           | CoreCivic Inc                                                                                              | CUSIP: 21871NAB7<br>LEI: 529900JFA3K6PTLT8B15 | Long             | DBT              | CORP              | US        |      4890000 | PA      | $5014695.00   | 0.23%             | 2026-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| Intesa Sanpaolo SpA                                     | Intesa Sanpaolo SpA                                                                                        | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     16030000 | PA      | $15404826.95  | 0.69%             | 2026-01-15      | Fixed         | 5.71%                 | No            |                  2 | On Loan: —       |
| TARGA RESOURCES PARTNERS                                | Targa Resources Partners LP / Targa Resources Partners Finance Corp                                        | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5120000 | PA      | $4623104.00   | 0.21%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| COLGATE ENERGY P                                        | Colgate Energy Partners III LLC                                                                            | CUSIP: 19416MAB5<br>LEI: 549300QRLZK0B17DH791 | Long             | DBT              | CORP              | US        |      8880000 | PA      | $7626681.77   | 0.34%             | 2029-07-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| RBSGC Mortgage Pass Through Certificates                | RBSGC Mortgage Loan Trust 2007-B                                                                           | CUSIP: 74927XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       351056 | PA      | $122528.01    | 0.01%             | 2037-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                          | CUSIP: 36213MYE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1438 | PA      | $1487.31      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Catskill Park CLO, LTD.                                 | Catskill Park CLO Ltd                                                                                      | CUSIP: 149421AA7<br>LEI: 549300QY7L9WFVGWC115 | Long             | ABS-CBDO         | CORP              | KY        |      7600000 | PA      | $6449185.20   | 0.29%             | 2029-04-20      | Floating      | 10.24%                | No            |                  2 | On Loan: No      |
| BRITISH TELECOMMUNICATIO                                | British Telecommunications PLC                                                                             | CUSIP: 111021AE1<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | GB        |      3875000 | PA      | $4640424.68   | 0.21%             | 2030-12-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                           | UniCredit SpA                                                                                              | CUSIP: 904678AS8<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |      4960000 | PA      | $4029742.53   | 0.18%             | 2035-06-30      | Fixed         | 5.46%                 | No            |                  2 | On Loan: —       |
| Freddie Mac - STACR                                     | Freddie Mac Stacr Remic Trust 2020-DNA1                                                                    | CUSIP: 35565HBD6<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | USGSE             | US        |      2210000 | PA      | $2083906.68   | 0.09%             | 2050-01-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA NY                                 | ROYAL BANK OF CANADA NY                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      2001152 | PA      | $2001152.00   | 0.09%             | 2023-04-10      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED USD / SOLD CNY                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $-7904.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LTD, LDN                     | SUMITOMO MITSUI TRUST BANK LTD, LDN                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      3960440 | PA      | $3960440.00   | 0.18%             | 2023-03-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TORONTO DOMINION NY                                     | TORONTO DOMINION NY                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      7999650 | PA      | $7999649.60   | 0.36%             | 2023-02-09      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | 3 MONTH SOFR FUT JUN23                                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |           17 | NC      | $-64848.20    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                                                  | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      3000000 | PA      | $3060000.00   | 0.14%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: —       |
| EyeCare Partners, LLC                                   | EyeCare Partners, LLC 2021 2nd Lien Term Loan                                                              | CUSIP: 000000000<br>LEI: 254900ZAACWK09RJ8W93 | Long             | LON              | CORP              | US        |      3930000 | PA      | $3301200.00   | 0.15%             | 2029-11-15      | Floating      | 11.48%                | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                | Service Properties Trust                                                                                   | CUSIP: 81761LAB8<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |      1275000 | PA      | $1097981.55   | 0.05%             | 2027-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 10YR NOTE (CBT)MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         1750 | NC      | $-431904.04   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                | Cheniere Energy Partners LP                                                                                | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |       608000 | PA      | $483181.70    | 0.02%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| Navient Corp                                            | Navient Corp                                                                                               | CUSIP: 78442FAZ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |      1680000 | PA      | $1196807.49   | 0.05%             | 2033-08-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                        | Symphony CLO XIX Ltd                                                                                       | CUSIP: 87166DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1890000 | PA      | $1544829.30   | 0.07%             | 2031-04-16      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                        | Altria Group Inc                                                                                           | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       115000 | PA      | $110345.71    | 0.00%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| Origen Manufactured Housing                             | Origen Manufactured Housing Contract Trust 2007-A                                                          | CUSIP: 68620CAB6<br>LEI: 5493001P8LORMOBBQA95 | Long             | ABS-O            | CORP              | US        |       402566 | PA      | $369754.76    | 0.02%             | 2037-04-15      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                | Petrobras Global Finance BV                                                                                | CUSIP: 71647NAN9<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |      6170000 | PA      | $5225306.24   | 0.24%             | 2115-06-05      | Fixed         | 6.85%                 | No            |                  2 | On Loan: —       |
| Bed Bath & Beyond Inc                                   | Bed Bath & Beyond Inc                                                                                      | CUSIP: 075896AC4<br>LEI: 529900ZBUWWUV7BKGX39 | Long             | DBT              | CORP              | US        |      6312000 | PA      | $631200.00    | 0.03%             | 2044-08-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| TD Prime Svcs                                           | TD Prime Svcs                                                                                              | CUSIP: 000000000<br>LEI: 549300ZBQI1JB1844X09 | Long             | RA               | CORP              | US        |      3000000 | PA      | $3000000.00   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31387EQN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          893 | PA      | $903.91       | 0.00%             | 2031-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                     | United Airlines Inc                                                                                        | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |      2590000 | PA      | $2255101.86   | 0.10%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| BURFORD CAPITAL GLBL FIN                                | Burford Capital Global Finance LLC                                                                         | CUSIP: 12116LAC3<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |       720000 | PA      | $640689.70    | 0.03%             | 2030-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                        | Societe Generale                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |     10000000 | PA      | $10000000.00  | 0.45%             |  |  |  | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL INDU                                | Teva Pharmaceutical Finance Netherlands III BV                                                             | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      3410000 | PA      | $3082298.11   | 0.14%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31383SRF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |            8 | PA      | $7.63         | 0.00%             | 2030-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MOHEGAN TRIBAL GAMING AU                                | Mohegan Tribal Gaming Authority                                                                            | CUSIP: 608328BJ8<br>LEI: 549300UB083Z2NRDHC48 | Long             | DBT              | CORP              | US        |      3780000 | PA      | $3940650.00   | 0.18%             | 2027-12-15      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                 | USAUP0036 USD P AUD C FEB23 0.697 PUT                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |    -13500000 | OU      | $-141696.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SMYRNA READY MIX CONCRET                                | Smyrna Ready Mix Concrete LLC                                                                              | CUSIP: 85236FAA1<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |      5470000 | PA      | $4894009.00   | 0.22%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| Chicago Mercantile Exchange                             | 90DAY EUR FUTR DEC23                                                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |         3726 | NC      | $-20936324.60 | -0.94%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31371JMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          192 | PA      | $203.14       | 0.00%             | 2030-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| TRIUMPH GROUP INC                                       | Triumph Group Inc                                                                                          | CUSIP: 896818AS0<br>LEI: 5493007L6S47Q14SL582 | Long             | DBT              | CORP              | US        |       820000 | PA      | $834350.00    | 0.04%             | 2024-06-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: —       |
| MILLICOM INTL CELLULAR                                  | Millicom International Cellular SA                                                                         | CUSIP: 600814AQ0<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |      1395000 | PA      | $1333650.44   | 0.06%             | 2029-03-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| CSC HOLDINGS LLC                                        | CSC Holdings LLC                                                                                           | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      3800000 | PA      | $2636493.31   | 0.12%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust Resecuritization 2008-2R                                                            | CUSIP: 021482AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1888674 | PA      | $977034.48    | 0.04%             | 2037-08-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE                                   | Melco Resorts Finance Ltd                                                                                  | CUSIP: 58547DAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      7230000 | PA      | $5781035.70   | 0.26%             | 2029-12-04      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| Chicago Mercantile Exchange                             | Long: BWS075267 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS075267 IRS USD P F  2.51000 2 CCPOIS              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     11792000 | OU      | $1550962.37   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: BWS055426 CDS USD R V 03MEVENT 1 CCPCORPORATE / Short: BWS055426 CDS USD P F  5.00000 2 CCPCORPORATE | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     13700000 | OU      | $-1368739.60  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA Inc                                                 | HCA Inc                                                                                                    | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1988664.56   | 0.09%             | 2028-09-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                                                          | CUSIP: 29379VBR3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     13090000 | PA      | $9981873.22   | 0.45%             | 2078-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 3140X6M99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25298 | PA      | $24796.54     | 0.00%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2007-16CB                                                                           | CUSIP: 02152ABR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       612013 | PA      | $722516.90    | 0.03%             | 2037-08-25      | Floating      | 12.67%                | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED NY                                   | STANDARD CHARTERED NY                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      2000246 | PA      | $2000246.00   | 0.09%             | 2023-01-17      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                     | PURCHASED USD / SOLD CAD                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |            1 | NC      | $-74351.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                  | Southwestern Energy Co                                                                                     | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |      4080000 | PA      | $3486727.20   | 0.16%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Thermostat Purchaser III, Inc.                          | Thermostat Purchaser III, Inc. Delayed Draw Term Loan                                                      | CUSIP: 88366MAD6<br>LEI: 254900K7OD47ERJZN242 | Long             | LON              | CORP              | US        |       367274 | PA      | $347073.89    | 0.02%             | 2028-08-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 3140X4TQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        45006 | PA      | $44073.10     | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                                                   | CUSIP: 30711XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6050000 | PA      | $6155764.29   | 0.28%             | 2030-07-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Provincia de Cordoba                                    | Provincia de Cordoba                                                                                       | CUSIP: 74408DAD6<br>LEI: 5299006CLM2Z97AATT29 | Long             | DBT              | NUSS              | AR        |      5515415 | PA      | $3640173.90   | 0.16%             | 2027-06-01      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| PAYSAFE FIN PLC/PAYSAFE                                 | Paysafe Finance PLC / Paysafe Holdings US Corp                                                             | CUSIP: 70452AAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      3300000 | PA      | $2549250.00   | 0.11%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| BNP PARIBAS, NY                                         | BNP PARIBAS, NY                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      5001740 | PA      | $5001740.00   | 0.23%             | 2023-03-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                               | CFK Trust 2020-MF2                                                                                         | CUSIP: 12529AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4800000 | PA      | $3869071.68   | 0.17%             | 2039-03-15      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                         | BRAVO Residential Funding Trust 2022-NQM3                                                                  | CUSIP: 10568PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5792506 | PA      | $5130344.08   | 0.23%             | 2070-01-29      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| OPTION CARE HEALTH INC                                  | Option Care Health Inc                                                                                     | CUSIP: 68404LAA0<br>LEI: 549300DI3Q5ACSYJRI17 | Long             | DBT              | CORP              | US        |      6360000 | PA      | $5563155.60   | 0.25%             | 2029-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2019-R07                                                               | CUSIP: 20753WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       469820 | PA      | $468648.19    | 0.02%             | 2039-10-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Liberty Tire Recycling Holdco, LLC                      | Liberty Tire Recycling Holdco, LLC 2021 Term Loan                                                          | CUSIP: 50219UAB1<br>LEI: 549300J0IFHJE2TQGX07 | Long             | LON              | CORP              | US        |      7328400 | PA      | $6693269.56   | 0.30%             | 2028-05-05      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                         | Golub Capital Partners CLO 53B Ltd                                                                         | CUSIP: 38178CAA7<br>LEI: 254900DPK2EA9C8DGV68 | Long             | ABS-CBDO         | CORP              | KY        |      3640000 | PA      | $3188283.28   | 0.14%             | 2034-07-20      | Floating      | 10.94%                | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc            | BAMLL Re-REMIC Trust 2016-RRGG10                                                                           | CUSIP: 059427AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8193746 | PA      | $2059611.19   | 0.09%             | 2045-08-10      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                | Ford Motor Credit Co LLC                                                                                   | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      5530000 | PA      | $4539245.20   | 0.20%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Carnival Corporation                                    | Carnival Corporation 2021 Incremental Term Loan B                                                          | CUSIP: 000000000<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | LON              | CORP              | PA        |      3758078 | PA      | $3526328.67   | 0.16%             | 2028-10-18      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                | Service Properties Trust                                                                                   | CUSIP: 44106MAZ5<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |       670000 | PA      | $609077.92    | 0.03%             | 2024-10-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ALLEN MEDIA, LLC                                        | Allen Media, LLC 2021 Term Loan B                                                                          | CUSIP: 01771JAG8<br>LEI: 549300ERNJNM4RN5JP79 | Long             | LON              | CORP              | US        |      8762793 | PA      | $7236147.91   | 0.33%             | 2027-02-10      | Floating      | 10.23%                | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital                            | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1580000 | PA      | $1315432.38   | 0.06%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| TEVA PHARM FIN CO LLC                                   | Teva Pharmaceutical Finance Co LLC                                                                         | CUSIP: 88163VAD1<br>LEI: 5493006PITD7MU7WW480 | Long             | DBT              | CORP              | US        |     11965000 | PA      | $10518032.83  | 0.47%             | 2036-02-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUS, NEW YORK                         | COMMONWEALTH BANK AUS, NEW YORK                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      1000074 | PA      | $1000074.00   | 0.05%             | 2023-03-30      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                                                       | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      4240000 | PA      | $4007609.50   | 0.18%             | 2024-08-08      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                  | Credit Suisse Group AG                                                                                     | CUSIP: 225401AX6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      5800000 | PA      | $5052190.75   | 0.23%             | 2027-06-23      | Fixed         | 9.75%                 | No            |                  2 | On Loan: —       |
| Deerfield Dakota Holding, LLC                           | Deerfield Dakota Holding, LLC 2020 USD Term Loan B                                                         | CUSIP: 24440EAB3<br>LEI: 549300FDREJLOIGXY104 | Long             | LON              | CORP              | US        |      2076750 | PA      | $1943709.24   | 0.09%             | 2027-04-09      | Variable      | 8.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                          | CUSIP: 36201VAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1062 | PA      | $1089.33      | 0.00%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DCert Buyer, Inc.                                       | DCert Buyer, Inc. 2019 Term Loan B                                                                         | CUSIP: 24022KAB5<br>LEI: 549300EF826JEEUCHZ67 | Long             | LON              | CORP              | US        |      4292410 | PA      | $4152906.48   | 0.19%             | 2026-10-16      | Variable      | 8.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31385DHL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          179 | PA      | $179.23       | 0.00%             | 2030-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Tutor Perini Corp                                       | Tutor Perini Corp                                                                                          | CUSIP: 901109AF5<br>LEI: 549300FHXYVPW8LJ6D98 | Long             | DBT              | CORP              | US        |      3863000 | PA      | $3380112.17   | 0.15%             | 2025-05-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31388NGF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          131 | PA      | $130.89       | 0.00%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                  | Credit Suisse Group AG                                                                                     | CUSIP: 225401AJ7<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      3390000 | PA      | $2709015.72   | 0.12%             | 2023-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| Waikiki Beach Hotel Trust                               | WAIKIKI BEACH HOTEL TRUST 2019-WBM                                                                         | CUSIP: 93065PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1860000 | PA      | $1751259.38   | 0.08%             | 2033-12-15      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31389ETV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         4285 | PA      | $4282.60      | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                            | Barclays PLC                                                                                               | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      7010000 | PA      | $7443970.21   | 0.34%             | 2028-02-07      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Prudential Financial Inc                                | Prudential Financial Inc                                                                                   | CUSIP: 744320AM4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |       550000 | PA      | $540375.00    | 0.02%             | 2043-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| PANOCHE ENERGY CENTER                                   | Panoche Energy Center LLC                                                                                  | CUSIP: 698525AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       463009 | PA      | $439627.23    | 0.02%             | 2029-07-31      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL LIMITED                             | Fortress Credit BSL XII Ltd                                                                                | CUSIP: 34963GAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2250000 | PA      | $1962747.00   | 0.09%             | 2034-10-15      | Floating      | 11.21%                | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                 | Dryden 43 Senior Loan Fund                                                                                 | CUSIP: 26245BAC9<br>LEI: 5493002P75UIPU4MC757 | Long             | ABS-CBDO         | CORP              | KY        |      2790000 | PA      | $2414870.55   | 0.11%             | 2034-04-20      | Floating      | 10.64%                | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                             | Origen Manufactured Housing Contract Trust 2006-A                                                          | CUSIP: 68620BAB8<br>LEI: 549300IF0XI4ZS5JC782 | Long             | ABS-O            | CORP              | US        |       392480 | PA      | $355753.51    | 0.02%             | 2037-10-15      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                        | Symphony CLO 37 Ltd                                                                                        | CUSIP: 87169VAA3<br>LEI: 54930094HTRXFLXUBV36 | Long             | ABS-CBDO         | CORP              | JE        |      5060000 | PA      | $5080766.24   | 0.23%             | 2034-10-20      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Tutor Perini Corporation                                | Tutor Perini Corporation Term Loan B                                                                       | CUSIP: 90110FAM6<br>LEI: 549300FHXYVPW8LJ6D98 | Long             | LON              | CORP              | US        |      3704725 | PA      | $3498649.67   | 0.16%             | 2027-08-18      | Floating      | 9.13%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works Inc                                   | Bath & Body Works Inc                                                                                      | CUSIP: 501797AN4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |      5000000 | PA      | $4643250.00   | 0.21%             | 2028-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| Voya CLO Ltd                                            | Voya CLO 2017-2                                                                                            | CUSIP: 92915XAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3100000 | PA      | $2619794.50   | 0.12%             | 2030-06-07      | Floating      | 10.10%                | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust                                             | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       170933 | PA      | $157787.46    | 0.01%             | 2045-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| TRIUMPH GROUP INC                                       | Triumph Group Inc                                                                                          | CUSIP: 896818AQ4<br>LEI: 5493007L6S47Q14SL582 | Long             | DBT              | CORP              | US        |      1245000 | PA      | $1180197.75   | 0.05%             | 2024-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Structured Adjustable Rate Mortgage Loan Trust          | Structured Adjustable Rate Mortgage Loan Trust Series 2007-8                                               | CUSIP: 86362NAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1996232 | PA      | $1778152.66   | 0.08%             | 2037-09-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| TSTAT 2022-2, Ltd.                                      | TSTAT 2022-2 Ltd                                                                                           | CUSIP: 87300FAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |      3550000 | PA      | $3551927.65   | 0.16%             | 2031-01-20      | Floating      | 9.31%                 | No            |                  2 | On Loan: No      |
| B3 SA-BRASIL BOLSA BALCA                                | B3 SA - Brasil Bolsa Balcao                                                                                | CUSIP: 11778EAA4<br>LEI: 4GTK5S46E6H318LMDS44 | Long             | DBT              | CORP              | BR        |      4000000 | PA      | $3370573.92   | 0.15%             | 2031-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage Trust                     | Waterfall Commercial Mortgage Trust 2015-SBC5                                                              | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       280770 | PA      | $275337.14    | 0.01%             | 2022-09-14      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                   | Vale Overseas Ltd                                                                                          | CUSIP: 91911TAK9<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |      1180000 | PA      | $1243399.67   | 0.06%             | 2039-11-10      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| Rackspace Technology Global, Inc.                       | Rackspace Technology Global, Inc. 2021 Term Loan B                                                         | CUSIP: 75009XAB6<br>LEI: 549300QTYCKLMFSE8I97 | Long             | LON              | CORP              | US        |      1734360 | PA      | $1091923.60   | 0.05%             | 2028-02-15      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Peace Park CLO, Ltd.                                    | Peace Park CLO Ltd                                                                                         | CUSIP: 70470NAA1<br>LEI: 549300XHXTUZ93V6SK42 | Long             | ABS-CBDO         | CORP              | KY        |      2580000 | PA      | $2257809.60   | 0.10%             | 2034-10-20      | Floating      | 10.24%                | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: BWS074849 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS074849 IRS USD P F  2.62000 2 CCPOIS              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |      1497000 | OU      | $169281.33    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                 | KazMunayGas National Co JSC                                                                                | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |       300000 | PA      | $268011.29    | 0.01%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31375P2K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          292 | PA      | $292.04       | 0.00%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                                  | Brazilian Government International Bond                                                                    | CUSIP: 105756BX7<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      2970000 | PA      | $3066889.33   | 0.14%             | 2026-04-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| Froneri International Ltd.                              | Froneri International Ltd. 2020 EUR Term Loan B1                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |      2780000 | PA      | $2787067.64   | 0.13%             | 2027-01-29      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                     | Banc of America Funding 2015-R2 Trust                                                                      | CUSIP: 05990TBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4367571 | PA      | $3632430.72   | 0.16%             | 2036-03-27      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp                                           | DISH DBS Corp                                                                                              | CUSIP: 25470XAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      9320000 | PA      | $8660459.85   | 0.39%             | 2024-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| KINGDOM OF JORDAN                                       | Jordan Government International Bond                                                                       | CUSIP: 41809JAA3<br>LEI: 5493000JZ4MYPVMBVN50 | Long             | DBT              | NUSS              | JO        |      5480000 | PA      | $5536005.60   | 0.25%             | 2028-01-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| JPMorgan Chase Bank N.A.                                | PURCHASED USD / SOLD NZD                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $-200009.47   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                      | Dominican Republic International Bond                                                                      | CUSIP: 25714PEP9<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |      2100000 | PA      | $1932233.14   | 0.09%             | 2029-02-22      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                | Avolon Holdings Funding Ltd                                                                                | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      2950000 | PA      | $2674326.22   | 0.12%             | 2026-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MIDCAP FINANCIAL ISSR TR                                | Midcap Financial Issuer Trust                                                                              | CUSIP: 59567LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5020000 | PA      | $4317200.00   | 0.19%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley Capital Services LLC                     | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |            1 | NC      | $-1759178.05  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc                                    | Freeport-McMoRan Inc                                                                                       | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     10000000 | PA      | $9020400.00   | 0.41%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| Athenahealth, Inc.                                      | Athenahealth, Inc. 2022 Term Loan B                                                                        | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |       695310 | PA      | $629545.38    | 0.03%             | 2029-02-15      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                                           | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       530000 | PA      | $399828.99    | 0.02%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: —       |
| Redstone Holdco 2 LP                                    | Redstone Holdco 2 LP 2021 2nd Lien Term Loan                                                               | CUSIP: 75774EAK1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      8040000 | PA      | $4056180.00   | 0.18%             | 2029-04-27      | Floating      | 12.11%                | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                       | Citigroup Mortgage Loan Trust 2022-A                                                                       | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4688770 | PA      | $4582577.94   | 0.21%             | 2062-09-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                        | Societe Generale                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |      3200000 | PA      | $3200000.00   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR                                  | Millicom International Cellular SA                                                                         | CUSIP: 600814AR8<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |      3930000 | PA      | $3305593.98   | 0.15%             | 2031-04-27      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Thermostat Purchaser III, Inc.                          | Thermostat Purchaser III, Inc. Term Loan                                                                   | CUSIP: 88366MAC8<br>LEI: 254900K7OD47ERJZN242 | Long             | LON              | CORP              | US        |      2374337 | PA      | $2243748.92   | 0.10%             | 2028-08-31      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                    | Indonesia Treasury Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   9599000000 | PA      | $598415.26    | 0.03%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                 | KazMunayGas National Co JSC                                                                                | CUSIP: 48667QAS4<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |      1060000 | PA      | $871398.44    | 0.04%             | 2048-10-24      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FOOT LOCKER INC                                         | Foot Locker Inc                                                                                            | CUSIP: 344849AA2<br>LEI: 549300X383CBNP6MTV94 | Long             | DBT              | CORP              | US        |       930000 | PA      | $724497.14    | 0.03%             | 2029-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| SVENSKA NY                                              | SVENSKA NY                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      3002037 | PA      | $3002037.00   | 0.14%             | 2023-04-12      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Z Capital Credit Partners CLO 2021-1, Ltd.              | Z Capital Credit Partners CLO 2021-1 Ltd                                                                   | CUSIP: 98878FAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4290000 | PA      | $3988258.56   | 0.18%             | 2033-07-15      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| EL PASO NATURAL GAS                                     | El Paso Natural Gas Co LLC                                                                                 | CUSIP: 283695BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       190000 | PA      | $214860.80    | 0.01%             | 2032-06-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                       | GreenPoint MTA Trust 2005-AR1                                                                              | CUSIP: 39538RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       575036 | PA      | $522464.37    | 0.02%             | 2045-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| XPO CNW Inc                                             | XPO CNW Inc                                                                                                | CUSIP: 12612WAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7991000 | PA      | $7074432.30   | 0.32%             | 2034-05-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: —       |
| TBA WESTERN/LEHMAN RECEIVABLE                           | TBA WESTERN/LEHMAN RECEIVABLE                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       381041 | PA      | $0.00         | 0.00%             | 2099-09-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Brown Group Holding, LLC                                | Brown Group Holding, LLC Term Loan B                                                                       | CUSIP: 11565HAB2<br>LEI: 25490094PF4HHK9QS109 | Long             | LON              | CORP              | US        |      4971845 | PA      | $4891942.38   | 0.22%             | 2028-06-07      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| EL PASO NATURAL GAS                                     | El Paso Natural Gas Co LLC                                                                                 | CUSIP: 283695BE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4250000 | PA      | $4510790.41   | 0.20%             | 2026-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| EQT CORP                                                | EQT Corp                                                                                                   | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      3480000 | PA      | $3609177.60   | 0.16%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| VMED O2 UK FINAN                                        | Vmed O2 UK Financing I PLC                                                                                 | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      4620000 | PA      | $3753057.00   | 0.17%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| City Brewing Company, LLC                               | City Brewing Company, LLC Closing Date Term Loan                                                           | CUSIP: 17776EAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      3033800 | PA      | $1365210.00   | 0.06%             | 2028-04-05      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| CIDRON AIDA FINCO SARL                                  | Cidron Aida Finco Sarl                                                                                     | CUSIP: 000000000<br>LEI: 98450036A07991DEBF10 | Long             | DBT              | CORP              | LU        |      4110000 | PA      | $4024715.78   | 0.18%             | 2028-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Multifamily Trust                                       | Multifamily Trust 2016-1                                                                                   | CUSIP: 62547L103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2401049 | PA      | $2401049.45   | 0.11%             | 2046-04-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| MASTR Seasoned Securitization Trust                     | MASTR Seasoned Securitization Trust 2005-2                                                                 | CUSIP: 55265WDM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        45889 | PA      | $44791.56     | 0.00%             | 2032-10-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED USD / SOLD IDR                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $214633.02    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2021-R01                                                               | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6140000 | PA      | $5770749.00   | 0.26%             | 2041-10-25      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST                             | STATE STREET BANK AND TRUST                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      2002354 | PA      | $2002354.00   | 0.09%             | 2023-07-14      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                          | WaMu Asset-Backed Certificates WaMu Series 2007-HE4 Trust                                                  | CUSIP: 93363XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6963803 | PA      | $4950709.48   | 0.22%             | 2047-07-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP, NEW YORK BRANCH                        | NORDEA BANK ABP, NEW YORK BRANCH                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      5001675 | PA      | $5001675.00   | 0.23%             | 2023-02-21      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2005-19CB                                                                           | CUSIP: 12667GGA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       773333 | PA      | $630478.17    | 0.03%             | 2035-06-25      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-HTL5                                           | CUSIP: 46654PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3760000 | PA      | $3403262.48   | 0.15%             | 2038-11-15      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| AMERICAN NEWS COMPANY                                   | American News Co LLC                                                                                       | CUSIP: 02862PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10470516 | PA      | $11674625.34  | 0.53%             | 2026-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: —       |
| AMER AIRLINE 17-1B PTT                                  | American Airlines 2017-1 Class B Pass Through Trust                                                        | CUSIP: 02378WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2706375 | PA      | $2544826.88   | 0.11%             | 2025-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| KNIGHT HEALTH HOLDINGS LLC                              | Knight Health Holdings LLC Term Loan B                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      5732100 | PA      | $3439260.00   | 0.15%             | 2028-12-23      | Floating      | 9.63%                 | No            |                  2 | On Loan: No      |
| Bausch Health Cos Inc                                   | Bausch Health Cos Inc                                                                                      | CUSIP: 91911KAN2<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      2470000 | PA      | $2098306.13   | 0.09%             | 2025-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Hexion Holdings Corporation                             | Hexion Holdings Corporation 2022 USD Term Loan                                                             | CUSIP: 00217XAB2<br>LEI: 54930030FZF8HYAEHM46 | Long             | LON              | CORP              | US        |      6154575 | PA      | $5305243.71   | 0.24%             | 2029-03-15      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| Liberty Interactive LLC                                 | Liberty Interactive LLC                                                                                    | CUSIP: 530715AD3<br>LEI: 549300SZUIU7Z32Q0664 | Long             | DBT              | CORP              | US        |      5190000 | PA      | $2546758.95   | 0.11%             | 2029-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                                   | USJPC1047 USD C JPY P MAR23 133.8 CALL                                                                     | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DFE              |  | US        |     49110000 | OU      | $465464.58    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                 | Structured Asset Securities Corp Mortgage Loan Trust 2006-ARS1                                             | CUSIP: 86358LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2545389 | PA      | $63034.27     | 0.00%             | 2036-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| VISTAJET MALTA/XO MGMT                                  | VistaJet Malta Finance PLC / XO Management Holding Inc                                                     | CUSIP: 92840JAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      1280000 | PA      | $1026336.00   | 0.05%             | 2030-02-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| Bath & Body Works Inc                                   | Bath & Body Works Inc                                                                                      | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |      1850000 | PA      | $1736045.55   | 0.08%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: —       |
| VERTIV GROUP CORPORATION                                | Vertiv Group Corp                                                                                          | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |      6250000 | PA      | $5312500.00   | 0.24%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| Chicago Board of Trade                                  | US 5YR NOTE (CBT) MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          420 | NC      | $-48140.26    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NovaStar Mortgage-Backed Notes                          | NovaStar Mortgage Funding Trust Series 2006-MTA1                                                           | CUSIP: 66988UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       227416 | PA      | $214634.53    | 0.01%             | 2046-09-25      | Floating      | 0.41%                 | No            |                  2 | On Loan: No      |
| CARRIAGE PURCHASER INC                                  | Carriage Purchaser Inc                                                                                     | CUSIP: 14445LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2190000 | PA      | $1554900.00   | 0.07%             | 2029-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US LONG BOND(CBT) MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           31 | NC      | $-18653.01    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Apollo Commercial Real Estate Finance, Inc              | Apollo Commercial Real Estate Finance, Inc 2021 Incremental Term Loan B1                                   | CUSIP: 03768DAC1<br>LEI: 549300E0AN7M2AQHSY29 | Long             | LON              | CORP              | US        |      7281594 | PA      | $6808290.37   | 0.31%             | 2028-03-11      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                         | Oaktree CLO 2019-1 Ltd                                                                                     | CUSIP: 67401XAJ0<br>LEI: 549300BJ8TRWJ20BLC43 | Long             | ABS-CBDO         | CORP              | KY        |      5300000 | PA      | $4534568.70   | 0.20%             | 2030-04-22      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | Long: 0WP297799 CDS EUR R F  1.00000 2 CORPORATE / Short: 0WP297799 CDS EUR P V 03MEVENT 1 CORPORATE       | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |     11300000 | OU      | $16321.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2017-3                                                          | CUSIP: 35563PCE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3334987 | PA      | $3274358.53   | 0.15%             | 2056-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNA VI LLC                                              | FNA VI LLC                                                                                                 | CUSIP: 34411YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       950696 | PA      | $864652.82    | 0.04%             | 2032-01-10      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| WESTPAC BKG CORP, NEW YORK                              | WESTPAC BKG CORP, NEW YORK                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      2000682 | PA      | $2000682.00   | 0.09%             | 2023-02-22      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                   | Time Warner Cable LLC                                                                                      | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      1942000 | PA      | $1691922.50   | 0.08%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SOHO Trust 2021-SOHO                                    | Soho Trust 2021-SOHO                                                                                       | CUSIP: 83410JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3330000 | PA      | $2234286.48   | 0.10%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                  | Merrill Lynch Mortgage Investors Trust Series 2003-A5                                                      | CUSIP: 5899293W6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       188497 | PA      | $168607.12    | 0.01%             | 2033-08-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| STONEMOR INC                                            | StoneMor Inc                                                                                               | CUSIP: 86184WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5000000 | PA      | $4000000.00   | 0.18%             | 2029-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: —       |
| DISH NETWORK CORP                                       | DISH Network Corp                                                                                          | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |      7320000 | PA      | $4585980.00   | 0.21%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                     | Midocean Credit Clo VII                                                                                    | CUSIP: 59801WAJ5<br>LEI: 5493004MLF21SFT7F415 | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $3383244.00   | 0.15%             | 2029-07-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| RACKSPACE TECHNOLOGY                                    | Rackspace Technology Global Inc                                                                            | CUSIP: 750098AB1<br>LEI: 549300QTYCKLMFSE8I97 | Long             | DBT              | CORP              | US        |      4980000 | PA      | $2893977.60   | 0.13%             | 2028-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| One Call Corporation                                    | One Call Corporation 2021 Term Loan                                                                        | CUSIP: 000000000<br>LEI: 549300WUCCV86ZQHG041 | Long             | LON              | CORP              | US        |      6181750 | PA      | $5146306.88   | 0.23%             | 2027-04-22      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                            | Barclays PLC                                                                                               | CUSIP: 06738EBA2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      3650000 | PA      | $3563495.00   | 0.16%             | 2023-09-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| Bear Stearns Asset Backed Securities Trust              | Bear Stearns Asset Backed Securities Trust 2003-ABF1                                                       | CUSIP: 07384YLE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8770 | PA      | $8190.58      | 0.00%             | 2034-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                                | EQM Midstream Partners LP                                                                                  | CUSIP: 26885BAF7<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |      1880000 | PA      | $1814194.02   | 0.08%             | 2025-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| Fanatics Commerce Intermediate Holdco, LLC              | Fanatics Commerce Intermediate Holdco, LLC Term Loan B                                                     | CUSIP: 30709UAB0<br>LEI: 254900YDIRBC66RGAG10 | Long             | LON              | CORP              | US        |      6435000 | PA      | $6330431.25   | 0.29%             | 2028-11-24      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| MKS CLO Ltd                                             | MKS CLO 2017-2 Ltd                                                                                         | CUSIP: 12662CAG2<br>LEI: 549300JCIKT6NT8T1275 | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $3564160.00   | 0.16%             | 2031-01-20      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                | Venture Global Calcasieu Pass LLC                                                                          | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      3570000 | PA      | $3041622.15   | 0.14%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| JPMorgan Chase Bank N.A.                                | PURCHASED MXN / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |            1 | NC      | $-4113.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United Airlines, Inc.                                   | United Airlines, Inc. 2021 Term Loan B                                                                     | CUSIP: 90932RAJ3<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | LON              | CORP              | US        |      4733027 | PA      | $4683722.78   | 0.21%             | 2028-04-21      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                  | CUSIP: 00774MAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |       990000 | PA      | $983497.19    | 0.04%             | 2023-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| APOLLO CMMRL REAL EST FI                                | Apollo Commercial Real Estate Finance Inc                                                                  | CUSIP: 03762UAD7<br>LEI: 549300E0AN7M2AQHSY29 | Long             | DBT              |  | US        |      2840000 | PA      | $2273107.60   | 0.10%             | 2029-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| MCLAREN FINANCE PLC                                     | Mclaren Finance PLC                                                                                        | CUSIP: 58175LAA8<br>LEI: 213800BKPDWMWX3GSG36 | Long             | DBT              | CORP              | GB        |      3810000 | PA      | $2800350.00   | 0.13%             | 2026-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| TCI-Symphony CLO                                        | TCI-Symphony CLO 2016-1 Ltd                                                                                | CUSIP: 87230XAD8<br>LEI: 5493005WLG3H3B8NI222 | Long             | ABS-CBDO         | CORP              | KY        |      7640000 | PA      | $6235217.92   | 0.28%             | 2032-10-13      | Floating      | 10.69%                | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                  | Aviation Capital Group LLC                                                                                 | CUSIP: 05369AAH4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      3560000 | PA      | $3496754.54   | 0.16%             | 2024-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 3138WFHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17740924 | PA      | $16504153.22  | 0.74%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROCC HOLDINGS LLC                                       | ROCC Holdings LLC                                                                                          | CUSIP: 70789PAA2<br>LEI: 6XOCUKRR0UU0LF5P1W14 | Long             | DBT              | CORP              | US        |      7120000 | PA      | $7088675.77   | 0.32%             | 2026-08-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Global Tel*Link Corporation                             | Global Tel*Link Corporation 2018 1st Lien Term Loan                                                        | CUSIP: 37959JAB7<br>LEI: 549300YI0BNF11FDQE44 | Long             | LON              | CORP              | US        |      5235050 | PA      | $4561036.96   | 0.21%             | 2025-11-29      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| Particle Investments S.a.r.l.                           | Particle Investments S.a.r.l. Term Loan                                                                    | CUSIP: 000000000<br>LEI: 549300TH5VH623DTW562 | Long             | LON              | CORP              | LU        |      3232565 | PA      | $3159832.02   | 0.14%             | 2027-02-18      | Floating      | 9.98%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                      | Ford Motor Co                                                                                              | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      6680000 | PA      | $6168028.10   | 0.28%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: —       |
| PECF USS Intermediate Holding III Corporation           | PECF USS Intermediate Holding III Corporation Term Loan B                                                  | CUSIP: 69291LAB2<br>LEI: 254900DIL842DEXPYJ91 | Long             | LON              | CORP              | US        |      5266800 | PA      | $4410397.25   | 0.20%             | 2028-12-15      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                  | Credit Suisse Group AG                                                                                     | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      1960000 | PA      | $2006779.67   | 0.09%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| SUMITOMO BK NY                                          | SUMITOMO BK NY                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      5000550 | PA      | $5000550.00   | 0.23%             | 2023-03-06      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd                                         | Sands China Ltd                                                                                            | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      4610000 | PA      | $4407307.89   | 0.20%             | 2025-08-08      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| HSBC Holdings PLC                                       | HSBC Holdings PLC                                                                                          | CUSIP: 404280BL2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |       390000 | PA      | $357945.79    | 0.02%             | 2027-05-22      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| FirstEnergy Corp                                        | FirstEnergy Corp                                                                                           | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      1640000 | PA      | $1525607.43   | 0.07%             | 2027-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                 | Royal Caribbean Cruises Ltd                                                                                | CUSIP: 780153BL5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      2740000 | PA      | $2751590.20   | 0.12%             | 2027-08-15      | Fixed         | 11.62%                | No            |                  2 | On Loan: —       |
| Morgan Stanley Capital Services LLC                     | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | XX        |            1 | NC      | $468051.04    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust          | Structured Adjustable Rate Mortgage Loan Trust Series 2004-20                                              | CUSIP: 863579HB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       120453 | PA      | $113691.01    | 0.01%             | 2035-01-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                 | Royal Caribbean Cruises Ltd                                                                                | CUSIP: 780153AZ5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      1000000 | PA      | $1072500.00   | 0.05%             | 2025-06-01      | Fixed         | 11.50%                | No            |                  2 | On Loan: —       |
| VT TOPCO, INC.                                          | VT Topco, Inc. 2021 Delayed Draw Term Loan                                                                 | CUSIP: 39355YAK0<br>LEI: 5493007T812R37X02Y38 | Long             | LON              | CORP              | US        |       236373 | PA      | $230057.53    | 0.01%             | 2025-08-01      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                   | Bausch Health Cos Inc                                                                                      | CUSIP: 071734AP2<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      2470000 | PA      | $1703386.10   | 0.08%             | 2027-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: —       |
| Bear Stearns Asset Backed Securities Trust              | Bear Stearns Asset Backed Securities Trust 2007-SD1                                                        | CUSIP: 07389QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1107248 | PA      | $597140.88    | 0.03%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                 | HCA Inc                                                                                                    | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       360000 | PA      | $319723.58    | 0.01%             | 2047-06-15      | Fixed         | 5.50%                 | 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        |      1530000 | PA      | $1315800.00   | 0.06%             | 2029-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| AMERICAN AIRLINES/AADVAN                                | American Airlines Inc/AAdvantage Loyalty IP Ltd                                                            | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      3200000 | PA      | $2924658.69   | 0.13%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| Apidos CLO                                              | Apidos CLO XXII                                                                                            | CUSIP: 03766AAE5<br>LEI: 5493003SQW0Q40KVFQ19 | Long             | ABS-CBDO         | CORP              | KY        |      5490000 | PA      | $4851496.53   | 0.22%             | 2031-04-20      | Floating      | 10.99%                | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities                     | Banc of America Mortgage 2005-H Trust                                                                      | CUSIP: 05949CFW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24442 | PA      | $20730.82     | 0.00%             | 2035-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Acrisure, LLC                                           | Acrisure, LLC 2020 Term Loan B                                                                             | CUSIP: 00488PAL9<br>LEI: 549300R0Z1Q47XRTGO22 | Long             | LON              | CORP              | US        |      2907775 | PA      | $2736338.41   | 0.12%             | 2027-02-15      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                     | PURCHASED JPY / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | JP        |            1 | NC      | $87660.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RP ESCROW ISSUER LLC                                    | RP Escrow Issuer LLC                                                                                       | CUSIP: 74969PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2500000 | PA      | $1909126.33   | 0.09%             | 2025-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                                                         | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      1950000 | PA      | $1628250.00   | 0.07%             | 2030-05-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-RPL6 Trust                                                                                       | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1123547 | PA      | $983876.76    | 0.04%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| 8th Avenue Food & Provisions, Inc.                      | 8th Avenue Food & Provisions, Inc. 2018 2nd Lien Term Loan                                                 | CUSIP: 28253PAD1<br>LEI: 549300PBCACU45IZ2V05 | Long             | LON              | CORP              | US        |      1452297 | PA      | $815707.30    | 0.04%             | 2026-10-01      | Floating      | 12.14%                | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Trust                        | ML-CFC Commercial Mortgage Trust 2007-9                                                                    | CUSIP: 60688CAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        56011 | PA      | $54892.88     | 0.00%             | 2049-09-12      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| AIR CANADA                                              | Air Canada 2021 Term Loan B                                                                                | CUSIP: 000000000<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | LON              | CORP              | CA        |      5581962 | PA      | $5530791.83   | 0.25%             | 2028-08-11      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| TECK RESOURCES LIMITED                                  | Teck Resources Ltd                                                                                         | CUSIP: 878742AS4<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |      1774000 | PA      | $1692800.61   | 0.08%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                                             | CUSIP: 958254AJ3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      4900000 | PA      | $4028911.66   | 0.18%             | 2048-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01 | Multifamily Connecticut Avenue Securities Trust 2020-01                                                    | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |      3930000 | PA      | $3629526.74   | 0.16%             | 2050-03-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Equinox Holdings, Inc.                                  | Equinox Holdings, Inc. 2020 Term Loan B2                                                                   | CUSIP: 29446CAR5<br>LEI: 549300W05QKLNGQIIA73 | Long             | LON              | CORP              | US        |      2170050 | PA      | $1746890.25   | 0.08%             | 2024-03-08      | Floating      | 13.73%                | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital                            | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       470000 | PA      | $301155.57    | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                                | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                                           | CUSIP: 84859BAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       980000 | PA      | $985027.40    | 0.04%             | 2025-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: —       |
| DCert Buyer, Inc.                                       | DCert Buyer, Inc. 2021 2nd Lien Term Loan                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      8990000 | PA      | $8214612.50   | 0.37%             | 2029-02-19      | Floating      | 11.70%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                          | CUSIP: 36200NYP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        28424 | PA      | $29763.12     | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Phoenix Guarantor Inc                                   | Phoenix Guarantor Inc 2020 Term Loan B                                                                     | CUSIP: 71913BAE2<br>LEI: 254900JIOIDL3GSUFE55 | Long             | LON              | CORP              | US        |      2082804 | PA      | $1959137.47   | 0.09%             | 2026-03-05      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA HOUSTON                             | BANK OF NOVA SCOTIA HOUSTON                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      5002101 | PA      | $5002101.25   | 0.23%             | 2023-03-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                          | Long Beach Mortgage Loan Trust 2000-1                                                                      | CUSIP: 542514AH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         4699 | PA      | $4610.21      | 0.00%             | 2031-01-21      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                                                         | CUSIP: 29273RBB4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       630000 | PA      | $640479.08    | 0.03%             | 2024-02-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| MASS MUTUAL LIFE INS CO                                 | Massachusetts Mutual Life Insurance Co                                                                     | CUSIP: 575767AL2<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |      6285000 | PA      | $5132925.56   | 0.23%             | 2077-04-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BLACK KNIGHT INFOSERV LL                                | Black Knight InfoServ LLC                                                                                  | CUSIP: 092174AA9<br>LEI: 549300H5PS5C68DAUX66 | Long             | DBT              | CORP              | US        |      3680000 | PA      | $3185040.00   | 0.14%             | 2028-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: —       |
| FORD MOTOR COMPANY                                      | Ford Motor Co                                                                                              | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      2340000 | PA      | $1754863.58   | 0.08%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| AMC ENTERTAINMENT HLDGS                                 | AMC Entertainment Holdings Inc                                                                             | CUSIP: 00165CBA1<br>LEI: 549300ZO77UNR6NRBR11 | Long             | DBT              | CORP              | US        |      1610000 | PA      | $865230.10    | 0.04%             | 2029-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED AUD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |            1 | NC      | $30315.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| National Bank of Canada                                 | National Bank Of Canada                                                                                    | CUSIP: 000000000<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | RA               | CORP              | US        |     37150000 | PA      | $37150000.00  | 1.67%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | S+P EMINI 3RD WK  JAN23P 3400 EXP 01/20/2023                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           32 | NC      | $4720.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HUDBAY MINERALS INC                                     | Hudbay Minerals Inc                                                                                        | CUSIP: 443628AH5<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |      2854000 | PA      | $2584439.04   | 0.12%             | 2029-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: —       |
| JPMorgan Chase Bank N.A.                                | PURCHASED USD / SOLD BRL                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $-7398.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP, NEW YORK BRANCH                        | NORDEA BANK ABP, NEW YORK BRANCH                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      4000684 | PA      | $4000684.00   | 0.18%             | 2023-02-13      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED USD / SOLD CNY                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $-13737.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                                                          | CUSIP: 25179MBB8<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      5720000 | PA      | $5797879.29   | 0.26%             | 2023-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                     | PURCHASED MXN / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | MX        |            1 | NC      | $867861.65    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2017-4                                                                           | CUSIP: 89173UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2900000 | PA      | $2176501.62   | 0.10%             | 2057-06-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: SWS031724 IRS MXN R F  7.45000 2 CCPVANILLA / Short: SWS031724 IRS MXN P V 01MTIIE 1 CCPVANILLA      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   1118490000 | OU      | $-3682145.53  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                           | TransDigm Inc                                                                                              | CUSIP: 893647BK2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      2440000 | PA      | $2476087.60   | 0.11%             | 2025-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust          | Structured Adjustable Rate Mortgage Loan Trust Series 2005-18                                              | CUSIP: 863579WZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       318835 | PA      | $232912.13    | 0.01%             | 2035-09-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Garda World Security Corporation                        | Garda World Security Corporation 2022 Term Loan B                                                          | CUSIP: 000000000<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | LON              | CORP              | CA        |      4897725 | PA      | $4730384.43   | 0.21%             | 2029-02-01      | Variable      | 8.53%                 | No            |                  2 | On Loan: No      |
| Planview Parent, Inc.                                   | Planview Parent, Inc. Term Loan                                                                            | CUSIP: 72751PAC8<br>LEI: 549300SEALM1D9FKMA32 | Long             | LON              | CORP              | US        |      3760407 | PA      | $3509712.05   | 0.16%             | 2027-12-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                                 | DCP Midstream Operating LP                                                                                 | CUSIP: 23311RAA4<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |      3480000 | PA      | $3507799.14   | 0.16%             | 2037-09-15      | Fixed         | 6.75%                 | 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        |      4160000 | PA      | $3386458.94   | 0.15%             | 2029-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                                             | CUSIP: 958254AD6<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     11710000 | PA      | $9727731.20   | 0.44%             | 2044-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| Freddie Mac - STACR                                     | Freddie Mac Structured Agency Credit Risk Debt Notes                                                       | CUSIP: 3137G0RJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8840000 | PA      | $9302437.20   | 0.42%             | 2030-03-25      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                                                          | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       584000 | PA      | $577885.84    | 0.03%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| SOUTHERN CAL EDISON                                     | Southern California Edison Co                                                                              | CUSIP: 842400FW8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      1217000 | PA      | $937382.46    | 0.04%             | 2043-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | IMM EUR FUT OPT DEC23C 99 EXP 12/18/2023                                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |           48 | NC      | $2700.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust              | Bear Stearns Asset Backed Securities I Trust 2006-AC4                                                      | CUSIP: 07388WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       184731 | PA      | $182294.90    | 0.01%             | 2036-07-25      | Floating      | 17.23%                | No            |                  2 | On Loan: No      |
| AIR CANADA 2013-1A PTT                                  | Air Canada 2013-1 Class A Pass Through Trust                                                               | CUSIP: 009089AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       470870 | PA      | $430614.60    | 0.02%             | 2025-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital                            | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       790000 | PA      | $726099.74    | 0.03%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: BWS075580 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS075580 IRS USD P F  3.05000 2 CCPOIS              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     10150000 | OU      | $415437.27    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                         | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2913285 | PA      | $2536033.19   | 0.11%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1404450 | PA      | $1202694.25   | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31386CKK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7017 | PA      | $7051.71      | 0.00%             | 2030-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                     | Intesa Sanpaolo SpA                                                                                        | CUSIP: 46115HBC0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      1900000 | PA      | $1899061.84   | 0.09%             | 2023-01-12      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31418D2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2506704 | PA      | $2198352.07   | 0.10%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VT TOPCO, INC.                                          | VT Topco, Inc. 2021 2nd Lien Term Loan                                                                     | CUSIP: 91838LAE0<br>LEI: 5493007T812R37X02Y38 | Long             | LON              | CORP              | US        |      3070000 | PA      | $2947200.00   | 0.13%             | 2026-07-31      | Floating      | 11.13%                | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                     | LCM XXII Ltd                                                                                               | CUSIP: 50189HAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3850000 | PA      | $2994360.60   | 0.13%             | 2028-10-20      | Floating      | 9.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 3140XC6P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       262692 | PA      | $226991.24    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MEG ENERGY CORP                                         | MEG Energy Corp                                                                                            | CUSIP: 552704AE8<br>LEI: 5493002WXPTG5ZC1T326 | Long             | DBT              | CORP              | CA        |      5290000 | PA      | $5395228.68   | 0.24%             | 2027-02-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                          | CUSIP: 36200NBP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        17839 | PA      | $18679.75     | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                        | CSC Holdings LLC                                                                                           | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     11000000 | PA      | $8992500.00   | 0.40%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| BANK OF NOVA SCOTIA HOUSTON                             | BANK OF NOVA SCOTIA HOUSTON                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      2002338 | PA      | $2002338.00   | 0.09%             | 2023-08-16      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                             | Legacy Mortgage Asset Trust 2020-GS5                                                                       | CUSIP: 52475JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2159311 | PA      | $2124186.14   | 0.10%             | 2060-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Magenta Buyer LLC                                       | Magenta Buyer LLC 2021 USD 2nd Lien Term Loan                                                              | CUSIP: 55910RAE3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      8260000 | PA      | $6525400.00   | 0.29%             | 2029-07-27      | Floating      | 12.67%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2006-41CB                                                                           | CUSIP: 02149CBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1390299 | PA      | $759229.46    | 0.03%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                          | Wynn Macau Ltd                                                                                             | CUSIP: 98313RAG1<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      1490000 | PA      | $1366836.60   | 0.06%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EyeCare Partners, LLC                                   | EyeCare Partners, LLC 2020 Term Loan                                                                       | CUSIP: 30233PAB6<br>LEI: 254900ZAACWK09RJ8W93 | Long             | LON              | CORP              | US        |      4674657 | PA      | $3977352.75   | 0.18%             | 2027-02-18      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                          | CUSIP: 36296VLW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        23631 | PA      | $24267.61     | 0.00%             | 2038-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO                                | Clear Channel Outdoor Holdings Inc                                                                         | CUSIP: 18453HAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1253000 | PA      | $920040.31    | 0.04%             | 2029-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| HCA Inc                                                 | HCA Inc                                                                                                    | CUSIP: 404119AJ8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      1808000 | PA      | $1897899.20   | 0.09%             | 2033-11-06      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Athenahealth, Inc.                                      | Athenahealth, Inc. 2022 Delayed Draw Term Loan                                                             | CUSIP: 04686RAC7<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |       118442 | PA      | $107239.85    | 0.00%             | 2029-02-15      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31388LCL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        13268 | PA      | $13385.42     | 0.00%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2006-40T1                                                                           | CUSIP: 02148KAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1244726 | PA      | $856762.17    | 0.04%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEGACY LIFEPOINT HEALTH                                 | Legacy LifePoint Health LLC                                                                                | CUSIP: 53219LAT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4070000 | PA      | $3830236.30   | 0.17%             | 2025-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31385Q2X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          288 | PA      | $289.84       | 0.00%             | 2030-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | Credit Suisse Mortgage Capital Certificates 2019-ICE4                                                      | CUSIP: 12653VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10620000 | PA      | $10148457.13  | 0.46%             | 2036-05-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                | First Quantum Minerals Ltd                                                                                 | CUSIP: 335934AT2<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     13800000 | PA      | $12947480.85  | 0.58%             | 2027-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| THE MCCLATCHY CO LLC                                    | McClatchy Co LLC/The                                                                                       | CUSIP: 78433CAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3500000 | PA      | $3915625.00   | 0.18%             | 2027-07-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL CHICAGO                                | BANK OF MONTREAL CHICAGO                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      5000000 | PA      | $5000000.00   | 0.23%             | 2023-03-02      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| UFC Holdings, LLC                                       | UFC Holdings, LLC 2021 Term Loan B                                                                         | CUSIP: 90266UAJ2<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |      4417397 | PA      | $4368735.11   | 0.20%             | 2026-04-29      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2019-4                                                                 | CUSIP: 64830WAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2974932 | PA      | $2680037.67   | 0.12%             | 2058-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| NMI HOLDINGS                                            | NMI Holdings Inc                                                                                           | CUSIP: 629209AA5<br>LEI: 529900KNNGFXJX1C3Z08 | Long             | DBT              | CORP              | US        |      3380000 | PA      | $3413800.00   | 0.15%             | 2025-06-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| VERICAST CORP                                           | Vericast Corp                                                                                              | CUSIP: 92342NAK9<br>LEI: 549300J73P7FL8TVF308 | Long             | DBT              | CORP              | US        |       230000 | PA      | $261625.00    | 0.01%             | 2027-12-15      | Fixed         | 12.50%                | No            |                  2 | On Loan: —       |
| WAMU Mortgage Pass-Through Certificates                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR17 Trust                                             | CUSIP: 92922F7W2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5614516 | PA      | $3547003.40   | 0.16%             | 2045-12-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                         | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       186099 | PA      | $182715.96    | 0.01%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ACCELERATE360 HOLD LLC                                  | Accelerate360 Holdings LLC                                                                                 | CUSIP: 00456LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10418100 | PA      | $11095276.92  | 0.50%             | 2028-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                     | CDW LLC / CDW Finance Corp                                                                                 | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1610000 | PA      | $1371220.90   | 0.06%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| 19th Holdings Golf, LLC                                 | 19th Holdings Golf, LLC 2022 Term Loan B                                                                   | CUSIP: 68250XAB7<br>LEI: 549300INS30LLUJP0S18 | Long             | LON              | CORP              | US        |      8079750 | PA      | $7433370.00   | 0.33%             | 2029-02-07      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Trust 2017-CHOP                                                                                       | CUSIP: 12651QAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10905000 | PA      | $9834520.49   | 0.44%             | 2032-07-15      | Floating      | 11.67%                | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                                           | CUSIP: 949746804<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |         4965 | NS      | $5883525.00   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Bank USA                                  | PURCHASED USD / SOLD GBP                                                                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |            1 | NC      | $-462150.20   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 3140XATN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8281647 | PA      | $7039341.89   | 0.32%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED JPY / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |            1 | NC      | $3032728.54   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| TITAN INTERNATIONAL INC                                 | Titan International Inc                                                                                    | CUSIP: 88830MAM4<br>LEI: 254900CXRGBE7C4B5A06 | Long             | DBT              | CORP              | US        |      4980000 | PA      | $4701724.62   | 0.21%             | 2028-04-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| DELTA AIR LINES INC                                     | Delta Air Lines Inc                                                                                        | CUSIP: 247361ZX9<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |      2760000 | PA      | $2820556.41   | 0.13%             | 2025-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| United Mexican States                                   | Mexico Government International Bond                                                                       | CUSIP: 91086QBG2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      4280000 | PA      | $4173103.96   | 0.19%             | 2026-01-21      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| NORTHWEST ACQ/DOMINION                                  | Northwest Acquisitions ULC / Dominion Finco Inc                                                            | CUSIP: 66727WAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      8475000 | PA      | $84.75        | 0.00%             | 2022-11-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                     | NCL Corp Ltd                                                                                               | CUSIP: 62886HAP6<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |      1240000 | PA      | $1059403.93   | 0.05%             | 2024-12-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| U.S. Renal Care, Inc.                                   | U.S. Renal Care, Inc. 2019 Term Loan B                                                                     | CUSIP: 90290PAN4<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |      6335654 | PA      | $3567764.88   | 0.16%             | 2026-06-26      | Floating      | 9.44%                 | No            |                  2 | On Loan: No      |
| Great Outdoors Group, LLC                               | Great Outdoors Group, LLC 2021 Term Loan B1                                                                | CUSIP: 07014QAN1<br>LEI: 549300IYLDI2E8I2AU46 | Long             | LON              | CORP              | US        |      6924781 | PA      | $6676645.28   | 0.30%             | 2028-03-06      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                          | CUSIP: 36200Q3L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          293 | PA      | $303.76       | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC                                | Wynn Resorts Finance LLC / Wynn Resorts Capital Corp                                                       | CUSIP: 983133AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4268000 | PA      | $4244339.92   | 0.19%             | 2025-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| BLUE RACER MID LLC/FINAN                                | Blue Racer Midstream LLC / Blue Racer Finance Corp                                                         | CUSIP: 095796AH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5130000 | PA      | $5091801.76   | 0.23%             | 2025-12-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: —       |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                                                         | CUSIP: 29273VAH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      2030000 | PA      | $1725500.00   | 0.08%             | 2023-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Bahamas                                 | Bahamas Government International Bond                                                                      | CUSIP: 056732AH3<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |      2570000 | PA      | $2466786.02   | 0.11%             | 2024-01-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| H&E EQUIPMENT SERVICES                                  | H&E Equipment Services Inc                                                                                 | CUSIP: 404030AJ7<br>LEI: 254900KVLRCDMQRYY541 | Long             | DBT              | CORP              | US        |      4480000 | PA      | $3816019.20   | 0.17%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                   | CUSIP: 38376G5P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1634802 | PA      | $2411.33      | 0.00%             | 2047-03-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                                | CHS/Community Health Systems Inc                                                                           | CUSIP: 12543DBL3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     10700000 | PA      | $5298406.10   | 0.24%             | 2030-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: —       |
| WYNN MACAU LTD                                          | Wynn Macau Ltd                                                                                             | CUSIP: 98313RAE6<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      5550000 | PA      | $4490449.50   | 0.20%             | 2029-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| National Bank Financial Inc                             | National Bank Financial Inc                                                                                | CUSIP: 000000000<br>LEI: 254900XZG349Z8CSZB72 | Long             | RA               | CORP              | US        |      2000000 | PA      | $2000000.00   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                | iHeartCommunications Inc                                                                                   | CUSIP: 45174HBG1<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |      2930000 | PA      | $2386016.20   | 0.11%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Chicago Mercantile Exchange                             | S+P500 EMINI OPTN MAR23P 3600 EXP 03/17/2023                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          106 | NC      | $353775.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CITY OF BUENOS AIRES                                    | Ciudad Autonoma De Buenos Aires/Government Bonds                                                           | CUSIP: 000000000<br>LEI: 5299007MC8RF52X0ON96 | Long             | DBT              | NUSS              | AR        |      3520000 | PA      | $3247200.00   | 0.15%             | 2027-06-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                    | Indonesia Treasury Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  66608000000 | PA      | $4570223.96   | 0.21%             | 2026-09-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| EYECARE PARTNERS, LLC                                   | EyeCare Partners, LLC 2021 Incremental Term Loan                                                           | CUSIP: 30233PAH3<br>LEI: 254900ZAACWK09RJ8W93 | Long             | LON              | CORP              | US        |      4237975 | PA      | $3605808.98   | 0.16%             | 2028-11-15      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                          | Wynn Macau Ltd                                                                                             | CUSIP: 98313RAH9<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      3080000 | PA      | $2630597.20   | 0.12%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| B RILEY FINANCIAL INC                                   | B Riley Financial Inc                                                                                      | CUSIP: 05580M819<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        68700 | NS      | $1253088.00   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                   | GFL Environmental Inc                                                                                      | CUSIP: 36168QAN4<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |      1647000 | PA      | $1441536.75   | 0.06%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Banc of America Funding Corporation                     | Banc of America Funding 2015-R2 Trust                                                                      | CUSIP: 05990TAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21576980 | PA      | $16713973.24  | 0.75%             | 2036-09-29      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                             | Asurion LLC 2021 Term Loan B9                                                                              | CUSIP: 04649VAY6<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      3228732 | PA      | $2829983.59   | 0.13%             | 2027-07-31      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORPORATION                                    | AppLovin Corporation 2021 Term Loan B                                                                      | CUSIP: 03835EAF1<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | LON              | CORP              | US        |      2503520 | PA      | $2384603.25   | 0.11%             | 2028-10-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                  | Long: 0WP297815 CDS EUR R V 03MEVENT 1 CORPORATE / Short: 0WP297815 CDS EUR P F  1.00000 2 CORPORATE       | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |     11300000 | OU      | $-118742.73   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                     | PURCHASED AUD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | AU        |            1 | NC      | $1117852.95   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                      | Credit Agricole SA                                                                                         | CUSIP: 225313AD7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |      1750000 | PA      | $1733900.00   | 0.08%             | 2024-01-23      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| SPX FLOW, INC.                                          | SPX Flow, Inc. 2022 Term Loan                                                                              | CUSIP: 000000000<br>LEI: 5493003YXEKRBINIEM78 | Long             | LON              | CORP              | US        |      7391475 | PA      | $6897170.11   | 0.31%             | 2029-04-05      | Variable      | 8.92%                 | No            |                  2 | On Loan: No      |
| CARRIAGE SERVICES INC                                   | Carriage Services Inc                                                                                      | CUSIP: 143905AP2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5320000 | PA      | $4224602.16   | 0.19%             | 2029-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2020-3                                                          | CUSIP: 35563PTU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4710000 | PA      | $4022473.29   | 0.18%             | 2060-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                                               | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      3630000 | PA      | $3379022.96   | 0.15%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| AMERICAN AIRLINES/AADVAN                                | American Airlines Inc/AAdvantage Loyalty IP Ltd                                                            | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      4800000 | PA      | $4615903.20   | 0.21%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Credit Suisse Mortgage Trust                            | CSMC 2019-RIO                                                                                              | CUSIP: 12597HAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18296493 | PA      | $18249033.97  | 0.82%             | 2022-12-15      | Floating      | 11.32%                | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                         | Venture XVII CLO Ltd                                                                                       | CUSIP: 92330CAD3<br>LEI: 549300SNYYGJ2M6QEK53 | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $2781804.00   | 0.13%             | 2027-04-15      | Floating      | 9.82%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                 | 9WR021909 SWAPTION JAN23 101 CALL                                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |     49900000 | NC      | $269445.03    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 2YR NOTE (CBT) MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         2821 | NC      | $-115074.23   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CENGAGE THOMSON LEARNING                                | CENGAGE THOMSON LEARNING                                                                                   | CUSIP: 000000000<br>LEI: 549300BYGM0FWUSVXJ88 | Long             | EC               | CORP              | US        |        10995 | NS      | $123012.06    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CNTRL PARENT/CDK GLB INC                                | Central Parent Inc / CDK Global Inc                                                                        | CUSIP: 15477CAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7050000 | PA      | $6895758.97   | 0.31%             | 2029-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2020-DNA6                                                                    | CUSIP: 35566CBD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8290000 | PA      | $7773802.43   | 0.35%             | 2050-12-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING                                  | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC                                | CUSIP: 03969YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      4700000 | PA      | $3724878.31   | 0.17%             | 2029-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| TEACHERS INSUR & ANNUITY                                | Teachers Insurance & Annuity Association of America                                                        | CUSIP: 878091BC0<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |       216000 | PA      | $237742.28    | 0.01%             | 2039-12-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| APOLLO CMMRL REAL EST FI                                | Apollo Commercial Real Estate Finance Inc                                                                  | CUSIP: 03762UAC9<br>LEI: 549300E0AN7M2AQHSY29 | Long             | DBT              |  | US        |      3210000 | PA      | $3121725.00   | 0.14%             | 2023-10-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Trust                        | ML-CFC Commercial Mortgage Trust 2007-9                                                                    | CUSIP: 60688CAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        40288 | PA      | $39487.66     | 0.00%             | 2049-09-12      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| VERICAST CORP                                           | Vericast Corp                                                                                              | CUSIP: 92348BAA1<br>LEI: 549300J73P7FL8TVF308 | Long             | DBT              | CORP              | US        |      1800000 | PA      | $1919250.00   | 0.09%             | 2026-09-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: —       |
| HOWARD MIDSTREAM ENERGY                                 | Howard Midstream Energy Partners LLC                                                                       | CUSIP: 442722AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3590000 | PA      | $3441180.46   | 0.15%             | 2027-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| TransAlta Corp                                          | TransAlta Corp                                                                                             | CUSIP: 89346DAE7<br>LEI: GJZNVO2UY6DNFNIYH321 | Long             | DBT              | CORP              | CA        |      8869000 | PA      | $8122485.01   | 0.37%             | 2040-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                          | CUSIP: 36216UV87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          420 | PA      | $432.14       | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HUDBAY MINERALS INC                                     | Hudbay Minerals Inc                                                                                        | CUSIP: 443628AJ1<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |      2660000 | PA      | $2416183.50   | 0.11%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| SUBURBAN PROPANE PARTNRS                                | Suburban Propane Partners LP/Suburban Energy Finance Corp                                                  | CUSIP: 864486AL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2430000 | PA      | $2065457.50   | 0.09%             | 2031-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley Capital Services LLC                     | PURCHASED JPY / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | JP        |            1 | NC      | $66670.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOYNE USA INC                                           | Boyne USA Inc                                                                                              | CUSIP: 103557AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4120000 | PA      | $3646382.52   | 0.16%             | 2029-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| WAMU Mortgage Pass-Through Certificates                 | WaMu Mortgage Pass-Through Certificates Series 2007-OA2 Trust                                              | CUSIP: 933635AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       804739 | PA      | $686237.13    | 0.03%             | 2047-03-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| TD Prime Svcs                                           | TD Prime Svcs                                                                                              | CUSIP: 000000000<br>LEI: 549300ZBQI1JB1844X09 | Long             | RA               | CORP              | US        |      5000000 | PA      | $5000000.00   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| WENDY'S INTERNATIONAL                                   | Wendy's International LLC                                                                                  | CUSIP: 950590AG4<br>LEI: 549300PQTT267ME8D359 | Long             | DBT              | CORP              | US        |      5178000 | PA      | $5314233.18   | 0.24%             | 2025-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                                            | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      1240000 | PA      | $1013020.58   | 0.05%             | 2029-03-08      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |            1 | NC      | $15535.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IIP OPERATING PARTNER                                   | IIP Operating Partnership LP                                                                               | CUSIP: 44988FAD2<br>LEI: N/A                  | Long             | DBT              |  | US        |      3110000 | PA      | $2753812.60   | 0.12%             | 2026-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                          | CUSIP: 36200QLP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          251 | PA      | $259.74       | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TruGreen Limited Partnership                            | TruGreen Limited Partnership 2020 2nd Lien Term Loan                                                       | CUSIP: 89787RAK8<br>LEI: 549300QNRP2MNHR3QM19 | Long             | LON              | CORP              | US        |      1820000 | PA      | $1346800.00   | 0.06%             | 2028-11-02      | Floating      | 13.43%                | No            |                  2 | On Loan: No      |
| Altria Group Inc                                        | Altria Group Inc                                                                                           | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       829000 | PA      | $737172.54    | 0.03%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                         | CUSIP: 36202D2F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         4593 | PA      | $4809.35      | 0.00%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GABON                                       | Gabon Government International Bond                                                                        | CUSIP: 362420AE1<br>LEI: N/A                  | Long             | DBT              | NUSS              | GA        |      2600000 | PA      | $2125812.00   | 0.10%             | 2031-11-24      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SALLY HOLDINGS/SALLY CAP                                | Sally Holdings LLC / Sally Capital Inc                                                                     | CUSIP: 79546VAL0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4760000 | PA      | $4585284.20   | 0.21%             | 2025-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Verus Securitization Trust                              | Verus Securitization Trust 2022-6                                                                          | CUSIP: 92539AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3323384 | PA      | $3131737.69   | 0.14%             | 2067-06-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| XPO ESCROW SUB LLC                                      | XPO Escrow Sub LLC                                                                                         | CUSIP: 98379JAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1170000 | PA      | $1183946.41   | 0.05%             | 2027-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| Naked Juice LLC                                         | Naked Juice LLC Term Loan                                                                                  | CUSIP: 62984CAD5<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |       368912 | PA      | $331197.22    | 0.01%             | 2029-01-24      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| American Money Management Corporation                   | Ammc Clo 20 Ltd                                                                                            | CUSIP: 00177CAA8<br>LEI: 549300LDRXVT7PCHV066 | Long             | ABS-CBDO         | CORP              | KY        |      6300000 | PA      | $5958237.60   | 0.27%             | 2029-04-17      | Floating      | 9.89%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                         | Gen Digital Inc                                                                                            | CUSIP: 668771AL2<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |      5110000 | PA      | $5020575.00   | 0.23%             | 2030-09-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                                | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                                           | CUSIP: 84859BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      4655999 | PA      | $4670991.32   | 0.21%             | 2025-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: —       |
| CASCADES INC/USA INC                                    | Cascades Inc/Cascades USA Inc                                                                              | CUSIP: 14739LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      2610000 | PA      | $2284946.01   | 0.10%             | 2028-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| HIGHLAND HOLDINGS BOND                                  | Highlands Holdings Bond Issuer Ltd / Highlands Holdings Bond Co-Issuer Inc                                 | CUSIP: 43103QAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      6630000 | PA      | $6166484.50   | 0.28%             | 2025-10-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Surf Holdings, LLC                                      | Surf Holdings, LLC USD Term Loan                                                                           | CUSIP: 86875TAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1632385 | PA      | $1586619.81   | 0.07%             | 2027-03-05      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2005-S3                                                                           | CUSIP: 466247ZN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        63074 | PA      | $33950.33     | 0.00%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                | First Quantum Minerals Ltd                                                                                 | CUSIP: 335934AR6<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |      4400000 | PA      | $4166895.04   | 0.19%             | 2026-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| LyondellBasell Industries NV                            | LyondellBasell Industries NV                                                                               | CUSIP: 000000000<br>LEI: BN6WCCZ8OVP3ITUUVN49 | Long             | EC               | CORP              | NL        |           23 | NS      | $1914.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FAGE INTL / FAGE USA                                    | FAGE International SA / FAGE USA Dairy Industry Inc                                                        | CUSIP: 30257WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      6154000 | PA      | $5708696.56   | 0.26%             | 2026-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| ACN 113 874 712                                         | ACN 113 874 712 Pty Ltd                                                                                    | CUSIP: 59841RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |       931574 | PA      | $0.01         | 0.00%             | 2018-02-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Goldman Sachs & Co. LLC                                 | 9WP033229 SWAPTION JAN23 95 PUT                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |    -49900000 | NC      | $-26491.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA5                                                                    | CUSIP: 35564KJA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4240000 | PA      | $3872260.14   | 0.17%             | 2034-01-25      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                                | Provincia de Buenos Aires/Government Bonds                                                                 | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |     24455990 | PA      | $8437316.55   | 0.38%             | 2037-09-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                  | Sequoia Mortgage Trust 2015-3                                                                              | CUSIP: 81746LCC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4603 | PA      | $4263.87      | 0.00%             | 2045-07-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31388PRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          917 | PA      | $913.52       | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                  | Residential Asset Securitization Trust 2005-A15                                                            | CUSIP: 45660L3K3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       789682 | PA      | $716840.23    | 0.03%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Southwestern Energy Co                                  | Southwestern Energy Co                                                                                     | CUSIP: 845467AN9<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |     11103000 | PA      | $11315298.69  | 0.51%             | 2027-10-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| BOEING CO                                               | Boeing Co/The                                                                                              | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      2630000 | PA      | $2395783.30   | 0.11%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT                                  | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc                                         | CUSIP: 31556TAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2490000 | PA      | $2107125.15   | 0.09%             | 2029-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| HILCORP ENERGY I/HILCORP                                | Hilcorp Energy I LP / Hilcorp Finance Co                                                                   | CUSIP: 431318AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3440000 | PA      | $2968430.35   | 0.13%             | 2032-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                                                         | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      1090000 | PA      | $1013563.13   | 0.05%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                            | Barclays PLC                                                                                               | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |       200000 | PA      | $184212.10    | 0.01%             | 2030-06-20      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| CMG Media Corporation                                   | CMG Media Corporation 2021 Term Loan                                                                       | CUSIP: 88145LAE4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4701527 | PA      | $4412717.25   | 0.20%             | 2026-12-17      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED USD / SOLD CNY                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $-55367.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED USD / SOLD CNH                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $-70706.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                                              | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      1740000 | PA      | $1323266.15   | 0.06%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MDC Holdings Inc                                        | MDC Holdings Inc                                                                                           | CUSIP: 552676AQ1<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |      2195000 | PA      | $1783284.35   | 0.08%             | 2043-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| National Collegiate Student Loan Trust                  | National Collegiate Student Loan Trust 2007-2                                                              | CUSIP: 63543LAD7<br>LEI: 635400VQIBXGEB9ZUC59 | Long             | ABS-O            | CORP              | US        |      2584633 | PA      | $2396441.04   | 0.11%             | 2033-01-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Cloudera, Inc.                                          | Cloudera, Inc. 2021 Second Lien Term Loan                                                                  | CUSIP: 74339VAE8<br>LEI: 549300PGONC4JOI0RG62 | Long             | LON              | CORP              | US        |      3700000 | PA      | $3103375.00   | 0.14%             | 2029-10-08      | Floating      | 10.38%                | No            |                  2 | On Loan: No      |
| Citadel Securities LP                                   | Citadel Securities LP 2021 Term Loan B                                                                     | CUSIP: 17288YAD4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |      2961154 | PA      | $2910723.01   | 0.13%             | 2028-02-02      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| Suzano Austria GmbH                                     | Suzano Austria GmbH                                                                                        | CUSIP: 000000000<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      1200000 | PA      | $1203204.80   | 0.05%             | 2026-07-14      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                                             | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      1930000 | PA      | $1917937.50   | 0.09%             | 2029-08-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| Virgin Pulse, Inc.                                      | Virgin Pulse, Inc. 2021 2nd Lien Term Loan                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2890000 | PA      | $2254200.00   | 0.10%             | 2029-04-06      | Floating      | 11.63%                | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                         | Benefit Street Partners CLO IV Ltd                                                                         | CUSIP: 08180FBN0<br>LEI: 5493002BNZCV0YE1MG83 | Long             | ABS-CBDO         | CORP              | KY        |      3120000 | PA      | $2857330.32   | 0.13%             | 2032-01-20      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN CLO LTD                                | Neuberger Berman Loan Advisers Clo 44 Ltd                                                                  | CUSIP: 64134EAA2<br>LEI: 549300HMTDFWN3B2DI35 | Long             | ABS-CBDO         | CORP              | KY        |      3560000 | PA      | $3132860.52   | 0.14%             | 2034-10-16      | Floating      | 10.08%                | No            |                  2 | On Loan: No      |
| Berry Corp                                              | Berry Corp                                                                                                 | CUSIP: 08579X101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       170615 | NS      | $1364920.00   | 0.06%             |  |  |  | No            |                  1 | On Loan: —       |
| WW INTERNATIONAL INC                                    | WW International Inc                                                                                       | CUSIP: 98262PAA9<br>LEI: SGT8R1MU6ESIC7UJC518 | Long             | DBT              | CORP              | US        |      1680000 | PA      | $839311.20    | 0.04%             | 2029-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Virgin Pulse, Inc.                                      | Virgin Pulse, Inc. 2021 Term Loan                                                                          | CUSIP: 92770HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      9001585 | PA      | $7656972.96   | 0.34%             | 2028-04-06      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 3140XB5U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4391184 | PA      | $3916511.24   | 0.18%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                          | CUSIP: 36201L2D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          965 | PA      | $989.33       | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                            | UBS Group AG                                                                                               | CUSIP: 90352JAF0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      6080000 | PA      | $5981646.03   | 0.27%             | 2024-01-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                | Ford Motor Credit Co LLC                                                                                   | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      2720000 | PA      | $2787184.00   | 0.13%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: —       |
| Intercontinental Exchange, Inc.                         | Long: SWS055442 CDS USD R F  5.00000 2 CCPCORPORATE / Short: SWS055442 CDS USD P V 03MEVENT 1 CCPCORPORATE | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     13700000 | OU      | $736210.60    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED BRL / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |            1 | NC      | $137013.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                 | 9WR021925 SWAPTION JAN23 103 CALL                                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |    -74850000 | NC      | $-39625.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays PLC                                            | Barclays PLC                                                                                               | CUSIP: 06738EBG9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      5160000 | PA      | $5013485.62   | 0.23%             | 2024-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: —       |
| Education Funding LLC                                   | Educational Funding Co LLC/The                                                                             | CUSIP: 28140XAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3240014 | PA      | $2372687.77   | 0.11%             | 2033-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Saranac CLO LTD                                         | Saranac CLO III Ltd                                                                                        | CUSIP: 803169AW1<br>LEI: 5493000LWP4BVD5LGS13 | Long             | ABS-CBDO         | CORP              | JE        |      4652500 | PA      | $4001229.52   | 0.18%             | 2030-06-22      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Mister Car Wash Holdings, Inc.                          | Mister Car Wash Holdings, Inc. 2019 Term Loan B                                                            | CUSIP: 60646CAF4<br>LEI: 549300BARUQU0U2GQE05 | Long             | LON              | CORP              | US        |      1741885 | PA      | $1721667.39   | 0.08%             | 2026-05-14      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                        | SMB Private Education Loan Trust 2021-A                                                                    | CUSIP: 78448YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3937501 | PA      | $3439079.27   | 0.15%             | 2053-01-15      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| RENT-A-CENTER INC                                       | Rent-A-Center Inc/TX                                                                                       | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |      4291000 | PA      | $3471197.20   | 0.16%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Mileage Plus Holdings LLC                               | Mileage Plus Holdings LLC 2020 Term Loan B                                                                 | CUSIP: 59921PAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      6039000 | PA      | $6225200.49   | 0.28%             | 2027-06-21      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                | Avis Budget Rental Car Funding AESOP LLC                                                                   | CUSIP: 05377REL4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      7750000 | PA      | $6356171.80   | 0.29%             | 2027-08-20      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                 | Darling Ingredients Inc                                                                                    | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |      6370000 | PA      | $6226675.00   | 0.28%             | 2030-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| PRIME SECSRVC BRW/FINANC                                | Prime Security Services Borrower LLC / Prime Finance Inc                                                   | CUSIP: 74166MAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2720000 | PA      | $2475635.20   | 0.11%             | 2028-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Banc of America Funding Corporation                     | Banc of America Funding 2015-R4 Trust                                                                      | CUSIP: 05990RAM3<br>LEI: 549300R847L762RQF071 | Long             | ABS-MBS          | CORP              | US        |     21984893 | PA      | $7273965.70   | 0.33%             | 2030-01-27      | Variable      | 7.66%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN                                | Clarios Global LP / Clarios US Finance Co                                                                  | CUSIP: 69867DAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4030000 | PA      | $3935280.90   | 0.18%             | 2027-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: —       |
| Goldman Sachs Bank USA                                  | PURCHASED USD / SOLD GBP                                                                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |            1 | NC      | $-2563196.02  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMAN BUILDING MATERIALS                                | Doman Building Materials Group Ltd                                                                         | CUSIP: 13874XAD5<br>LEI: 529900HEUBRUITK08D78 | Long             | DBT              | CORP              | CA        |      3680000 | PA      | $2417221.86   | 0.11%             | 2026-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA HOUSTON                             | BANK OF NOVA SCOTIA HOUSTON                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      4999774 | PA      | $4999773.70   | 0.23%             | 2023-02-17      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31386CZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          564 | PA      | $562.26       | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                     | PURCHASED MXN / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | MX        |            1 | NC      | $100009.23    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UCFC Manufactured Housing Contract                      | UCFC Manufactured Housing Contract                                                                         | CUSIP: 90263ABH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1254809 | PA      | $1067569.16   | 0.05%             | 2029-04-15      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                             | Ivory Coast Government International Bond                                                                  | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |      1630000 | PA      | $1373497.38   | 0.06%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |            1 | NC      | $-949700.35   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank Canada Toronto                               | Royal Bank Canada Toronto                                                                                  | CUSIP: 000000000<br>LEI: 549300HXQQQCCUBS2Z23 | Long             | RA               | CORP              | US        |     15000000 | PA      | $15000000.00  | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| CARNIVAL PLC                                            | Carnival PLC                                                                                               | CUSIP: 693070AD6<br>LEI: 4DR1VPDQMHD3N3QW8W95 | Long             | DBT              | CORP              | GB        |     13016000 | PA      | $12560440.00  | 0.57%             | 2027-06-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | PURCHASED USD / SOLD GBP                                                                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |            1 | NC      | $-45643.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31387XVV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          799 | PA      | $800.53       | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VT Topco, Inc.                                          | VT Topco, Inc. 2021 Incremental Term Loan                                                                  | CUSIP: 39355YAJ3<br>LEI: 5493007T812R37X02Y38 | Long             | LON              | CORP              | US        |      3485304 | PA      | $3392179.86   | 0.15%             | 2025-08-01      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| MIT UFJ TR NY                                           | MIT UFJ TR NY                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      6001800 | PA      | $6001800.00   | 0.27%             | 2023-02-14      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| VOC Escrow Ltd                                          | VOC Escrow Ltd                                                                                             | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      3420000 | PA      | $2941542.00   | 0.13%             | 2028-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| VALE OVERSEAS LIMITED                                   | Vale Overseas Ltd                                                                                          | CUSIP: 91911TAP8<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |      2990000 | PA      | $3096843.58   | 0.14%             | 2026-08-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| ADTALEM GLOBAL EDUCATION                                | Adtalem Global Education Inc                                                                               | CUSIP: 00737WAA7<br>LEI: 549300Z467EZLMODV621 | Long             | DBT              | CORP              | US        |      2601000 | PA      | $2360407.50   | 0.11%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                                | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                                                        | CUSIP: 74841CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2040000 | PA      | $1616573.66   | 0.07%             | 2029-03-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                       | HSBC Holdings PLC                                                                                          | CUSIP: 404280BP3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |       670000 | PA      | $616681.63    | 0.03%             | 2028-03-23      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| GLENCORE FINANCE CANADA                                 | Glencore Finance Canada Ltd                                                                                | CUSIP: 98417EAR1<br>LEI: 5493005TTO0UJ33KCK70 | Long             | DBT              | CORP              | CA        |      1000000 | PA      | $897894.79    | 0.04%             | 2042-10-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| Chicago Mercantile Exchange                             | Long: BWS075820 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS075820 IRS USD P F  3.85000 2 CCPOIS              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     34326000 | OU      | $-475780.67   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SOLIS IV BV                                             | Solis IV BV USD Term Loan B1                                                                               | CUSIP: 000000000<br>LEI: 529900811T142NS3H544 | Long             | LON              | CORP              | US        |      7610925 | PA      | $6738522.72   | 0.30%             | 2029-02-26      | Variable      | 7.86%                 | No            |                  2 | On Loan: No      |
| CO-OP GRP HLDS                                          | Co-Operative Group Ltd                                                                                     | CUSIP: 000000000<br>LEI: 213800TKR59ER8Z69V16 | Long             | DBT              | CORP              | GB        |      2410000 | PA      | $2592953.79   | 0.12%             | 2026-07-08      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                    | ROYAL BANK OF CANADA                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      5999904 | PA      | $5999904.00   | 0.27%             | 2023-01-11      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                         | CUSIP: 36179VZT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2809776 | PA      | $2605182.25   | 0.12%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                                                            | CUSIP: 80007RAS4<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |       470000 | PA      | $369841.16    | 0.02%             | 2031-08-08      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Park-Ohio Industries Inc                                | Park-Ohio Industries Inc                                                                                   | CUSIP: 700677AR8<br>LEI: 5493006LQUO5SLMNYM18 | Long             | DBT              | CORP              | US        |      6897000 | PA      | $4685407.98   | 0.21%             | 2027-04-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING                                  | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC                                | CUSIP: 03969YAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      1340000 | PA      | $1311786.57   | 0.06%             | 2027-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| SUMMIT MID HLDS LLC / FI                                | Summit Midstream Holdings LLC / Summit Midstream Finance Corp                                              | CUSIP: 86614WAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1220000 | PA      | $1161952.40   | 0.05%             | 2026-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                         | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2591246 | PA      | $2171882.56   | 0.10%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES INC                                     | Spirit Airlines Inc                                                                                        | CUSIP: 848577AB8<br>LEI: 549300DCAFIXFNFR3304 | Long             | DBT              | CORP              | US        |        43000 | PA      | $34615.00     | 0.00%             | 2026-05-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| THE VANGUARD GROUP INC                                  | THE VANGUARD GROUP INC                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7460000 | PA      | $4818854.36   | 0.22%             | 2050-08-28      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                       | GEO Group Inc/The                                                                                          | CUSIP: 36162JAC0<br>LEI: 54930024XOXET7NQVZ63 | Long             | DBT              | CORP              | US        |      6380000 | PA      | $6442524.00   | 0.29%             | 2028-06-30      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Applebees/IHOP Funding LLC                              | Applebee's Funding LLC / IHOP Funding LLC                                                                  | CUSIP: 03789XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2970000 | PA      | $2918286.36   | 0.13%             | 2049-06-05      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Dividend Solar Loans LLC                                | Dividend Solar Loans 2019-1 LLC                                                                            | CUSIP: 255388AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2883541 | PA      | $2612171.45   | 0.12%             | 2039-08-22      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                                                    | CUSIP: 55336V308<br>LEI: 5493000CZJ19CK4P3G36 | Long             | EP               | CORP              | US        |       329615 | NS      | $11866140.00  | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA LONDON                               | CREDIT AGRICOLE SA LONDON                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      5001800 | PA      | $5001800.00   | 0.23%             | 2023-02-22      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Amentum Government Services Holdings LLC                | Amentum Government Services Holdings LLC 2022 Term Loan                                                    | CUSIP: 57776DAE3<br>LEI: 5493008CT6B5L54YSE94 | Long             | LON              | CORP              | US        |      8787975 | PA      | $8579260.59   | 0.39%             | 2029-02-15      | Variable      | 8.76%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2019-3                                                                 | CUSIP: 64830EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3780406 | PA      | $3495804.68   | 0.16%             | 2058-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                | MSCI Inc                                                                                                   | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |      1140000 | PA      | $947824.50    | 0.04%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                             | Freddie Mac Pool                                                                                           | CUSIP: 3133ASH63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10640362 | PA      | $8693477.87   | 0.39%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                  | Anglo American Capital PLC                                                                                 | CUSIP: 034863AT7<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |      2740000 | PA      | $2581394.06   | 0.12%             | 2027-09-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| REPUBLIC OF ANGOLA                                      | Angolan Government International Bond                                                                      | CUSIP: 035198AF7<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |      1520000 | PA      | $1313736.00   | 0.06%             | 2032-04-14      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                       | EURO-BUXL 30Y BND MAR23                                                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          -25 | NC      | $670497.45    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| DIVERSIFIED HEALTHCARE T                                | Diversified Healthcare Trust                                                                               | CUSIP: 25525PAA5<br>LEI: N/A                  | Long             | DBT              |  | US        |      1750000 | PA      | $1676438.35   | 0.08%             | 2025-06-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: —       |
| GFL ENVIRONMENTAL INC                                   | GFL Environmental Inc                                                                                      | CUSIP: 36168QAF1<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |      2170000 | PA      | $2075187.41   | 0.09%             | 2026-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| Triumph Group Inc                                       | Triumph Group Inc                                                                                          | CUSIP: 896818AP6<br>LEI: 5493007L6S47Q14SL582 | Long             | DBT              | CORP              | US        |      5229000 | PA      | $4447735.11   | 0.20%             | 2025-08-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| Empire Today, LLC                                       | Empire Today, LLC 2021 Term Loan B                                                                         | CUSIP: 29210RAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      5778381 | PA      | $4362677.62   | 0.20%             | 2028-04-03      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Inc                            | Citigroup Global Markets Inc                                                                               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | RA               | CORP              | US        |     10000000 | PA      | $10000000.00  | 0.45%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc               | Structured Asset Mortgage Investments II Trust 2005-AR8                                                    | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1340239 | PA      | $1030080.99   | 0.05%             | 2036-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| RANGE RESOURCES CORP                                    | Range Resources Corp                                                                                       | CUSIP: 75281ABK4<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |      3060000 | PA      | $2696188.49   | 0.12%             | 2030-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| ATHENAHEALTH GROUP INC                                  | AthenaHealth Group Inc                                                                                     | CUSIP: 60337JAA4<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | DBT              | CORP              | US        |      6500000 | PA      | $4790059.11   | 0.22%             | 2030-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| LADDER CAP FIN LLLP/CORP                                | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp                                         | CUSIP: 505742AM8<br>LEI: N/A                  | Long             | DBT              |  | US        |      1836000 | PA      | $1542293.67   | 0.07%             | 2027-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Cardinal Parent, Inc.                                   | Cardinal Parent, Inc. 2020 Term Loan B                                                                     | CUSIP: 14153EAC9<br>LEI: 5493009YXQNPN3HQQH84 | Long             | LON              | CORP              | US        |      5594355 | PA      | $4978975.92   | 0.22%             | 2027-11-12      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2006-18CB                                                                           | CUSIP: 02147FAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1497858 | PA      | $1405763.56   | 0.06%             | 2036-07-25      | Floating      | 11.04%                | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                   | Bausch Health Cos Inc                                                                                      | CUSIP: 071734AH0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |       480000 | PA      | $230397.31    | 0.01%             | 2028-01-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | RALI Series 2007-QH9 Trust                                                                                 | CUSIP: 749241AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1861514 | PA      | $1504761.79   | 0.07%             | 2037-11-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                      | Panama Government International Bond                                                                       | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      2700000 | PA      | $1967071.96   | 0.09%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | PURCHASED MXN / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |            1 | NC      | $22588.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 3140QNRB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4394329 | PA      | $4126651.49   | 0.19%             | 2052-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hudson River Trading LLC                                | Hudson River Trading LLC 2021 Term Loan                                                                    | CUSIP: 44413EAF5<br>LEI: 549300SMOBUC8O5UOE10 | Long             | LON              | CORP              | US        |     10434855 | PA      | $9884228.99   | 0.45%             | 2028-03-20      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                                           | CUSIP: 3131XV6E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1723694 | PA      | $1689181.28   | 0.08%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ascent Capital Group Inc                                | Ascent Capital Group Inc                                                                                   | CUSIP: 043632108<br>LEI: 549300FJ06NSN1X35841 | Long             | EC               | CORP              | US        |      1399556 | NS      | $27991.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                                    | YPF SA                                                                                                     | CUSIP: 984245AQ3<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |      3360000 | PA      | $2380291.20   | 0.11%             | 2027-07-21      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                | Altice France Holding SA                                                                                   | CUSIP: 02156TAB0<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |      9640000 | PA      | $7350500.00   | 0.33%             | 2027-05-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: —       |
| CREDIT SUISSE NEW YORK                                  | Credit Suisse AG/New York NY                                                                               | CUSIP: 22550L2D2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |      3673000 | PA      | $3587816.08   | 0.16%             | 2023-05-05      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Trust                        | ML-CFC Commercial Mortgage Trust 2007-5                                                                    | CUSIP: 55312YAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       188488 | PA      | $46298.32     | 0.00%             | 2048-08-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |            1 | NC      | $21130.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31371JPV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          267 | PA      | $272.40       | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31384VXX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           27 | PA      | $26.95        | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL AIR LEASE CO LTD                                 | Global Aircraft Leasing Co Ltd                                                                             | CUSIP: 37960JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     13731208 | PA      | $11671526.80  | 0.53%             | 2024-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                          | CUSIP: 36290TC72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        29533 | PA      | $30167.31     | 0.00%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RABOBANK LONDON                                         | RABOBANK LONDON                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      4000000 | PA      | $4000000.00   | 0.18%             | 2023-05-16      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Trust                        | ML-CFC Commercial Mortgage Trust 2007-5                                                                    | CUSIP: 55312YAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21567 | PA      | $5297.42      | 0.00%             | 2048-08-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| SINO FOR CV F D07/23/08 5.000                           | SINO FOR CV F D07/23/08 5.000                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       500000 | PA      | $0.00         | 0.00%             | 2013-08-01      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Countrywide Home Equity Loan Trust                      | CWHEQ Revolving Home Equity Loan Resuritization Trust Series 2006-RES                                      | CUSIP: 23242YAT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        26097 | PA      | $26012.10     | 0.00%             | 2033-12-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| ZIPRECRUITER INC                                        | ZipRecruiter Inc                                                                                           | CUSIP: 98980BAA1<br>LEI: 549300HLOVNNFCY2IV80 | Long             | DBT              | CORP              | US        |      1810000 | PA      | $1492200.20   | 0.07%             | 2030-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| IndyMac INDX Mortgage Loan Trust                        | IndyMac INDX Mortgage Loan Trust 2004-AR14                                                                 | CUSIP: 45660LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       526774 | PA      | $402657.24    | 0.02%             | 2035-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Virginia Housing Development Authority                  | VIRGINIA ST HSG DEV AUTH CMWLTH MTGE                                                                       | CUSIP: 92812ULT3<br>LEI: 549300LW3QBOVLQBP895 | Long             | DBT              | MUN               | US        |       308942 | PA      | $307475.39    | 0.01%             | 2034-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LIBERTY TRIPADVISOR HOLD                                | Liberty TripAdvisor Holdings Inc                                                                           | CUSIP: 531465AA0<br>LEI: 5299006PCRAU736ZJ155 | Long             | DBT              | CORP              | US        |       740000 | PA      | $530580.00    | 0.02%             | 2051-06-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| TRANSALTA CORP                                          | TransAlta Corp                                                                                             | CUSIP: 89346DAH0<br>LEI: GJZNVO2UY6DNFNIYH321 | Long             | DBT              | CORP              | CA        |      2110000 | PA      | $2154903.63   | 0.10%             | 2029-11-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CITIBANK NY                                             | CITIBANK NY                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      6000426 | PA      | $6000426.00   | 0.27%             | 2023-03-27      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Magenta Buyer LLC                                       | Magenta Buyer LLC 2021 USD 1st Lien Term Loan                                                              | CUSIP: 55910RAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      7514100 | PA      | $6471518.63   | 0.29%             | 2028-07-27      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| AQGEN ISLAND HOLDINGS, INC.                             | AqGen Island Holdings, Inc. Term Loan                                                                      | CUSIP: 03836BAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4615125 | PA      | $4413213.28   | 0.20%             | 2028-08-02      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| FULL HOUSE RESORTS INC                                  | Full House Resorts Inc                                                                                     | CUSIP: 359678AC3<br>LEI: 5493009DKIWW0H901Y82 | Long             | DBT              | CORP              | US        |      2210000 | PA      | $1956535.10   | 0.09%             | 2028-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| BARCLAYS NEW YORK                                       | BARCLAYS NEW YORK                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      4999990 | PA      | $4999990.00   | 0.23%             | 2023-03-21      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | S+P500 EMINI OPTN MAR23P 3300 EXP 03/17/2023                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |         -106 | NC      | $-111300.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-RPL4 Trust                                                                                       | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1952427 | PA      | $1783777.00   | 0.08%             | 2060-12-27      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| Jump Financial, LLC                                     | Jump Financial, LLC Term Loan B                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2227444 | PA      | $2121640.04   | 0.10%             | 2028-08-07      | Variable      | 9.34%                 | No            |                  2 | On Loan: No      |
| SAGA PLC                                                | Saga PLC                                                                                                   | CUSIP: 000000000<br>LEI: 2138004WWUJN94K2LH95 | Long             | DBT              | CORP              | GB        |      5800000 | PA      | $5195825.74   | 0.23%             | 2026-07-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | PURCHASED USD / SOLD GBP                                                                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |            1 | NC      | $-50355.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERICAN PIPE                                | Plains All American Pipeline LP                                                                            | CUSIP: 726503AE5<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |      3818000 | PA      | $3283480.00   | 0.15%             | 2023-01-30      | Variable      | 8.72%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                     | PURCHASED USD / SOLD CAD                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |            1 | NC      | $-55762.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sedgwick Claims Management Services, Inc.               | Sedgwick Claims Management Services, Inc. 2018 Term Loan B                                                 | CUSIP: 81527CAL1<br>LEI: 549300BIN4DWJG5VWF64 | Long             | LON              | CORP              | US        |      2383145 | PA      | $2322927.57   | 0.10%             | 2025-12-31      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31371H6S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          195 | PA      | $202.80       | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                                  | Open Text Holdings Inc                                                                                     | CUSIP: 683720AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2500000 | PA      | $2005412.50   | 0.09%             | 2030-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| LEGENDS HOSPITALITY HOLD                                | Legends Hospitality Holding Co LLC / Legends Hospitality Co-Issuer Inc                                     | CUSIP: 52473NAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6680000 | PA      | $5945200.00   | 0.27%             | 2026-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Madison IAQ LLC                                         | Madison IAQ LLC Term Loan                                                                                  | CUSIP: 55759VAB4<br>LEI: 549300IXDNBXNHUPBU73 | Long             | LON              | CORP              | US        |      2577375 | PA      | $2401255.23   | 0.11%             | 2028-06-21      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                         | CUSIP: 36179VX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1131061 | PA      | $1097562.53   | 0.05%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                        | Carlyle Global Market Strategies CLO 2014-2R Ltd                                                           | CUSIP: 14314LAC9<br>LEI: 549300K65HYRGER5BW54 | Long             | ABS-CBDO         | CORP              | KY        |      9007081 | PA      | $8852519.33   | 0.40%             | 2031-05-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                            | Voya CLO 2017-3 Ltd                                                                                        | CUSIP: 92916PAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2360000 | PA      | $2102667.96   | 0.09%             | 2034-04-20      | Floating      | 11.19%                | No            |                  2 | On Loan: No      |
| ZF NA CAPITAL                                           | ZF North America Capital Inc                                                                               | CUSIP: 98877DAC9<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |      4315000 | PA      | $4075688.07   | 0.18%             | 2025-04-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| COUNTRY GARDEN HLDGS                                    | Country Garden Holdings Co Ltd                                                                             | CUSIP: 000000000<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |      1110000 | PA      | $854870.27    | 0.04%             | 2024-01-27      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| BANK OF MONTREAL CHICAGO                                | BANK OF MONTREAL CHICAGO                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      2002702 | PA      | $2002701.60   | 0.09%             | 2023-11-08      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Series 2019-UVIL                                                                                      | CUSIP: 12656DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7420000 | PA      | $6037298.58   | 0.27%             | 2041-12-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Jane Street Group, LLC                                  | Jane Street Group, LLC 2021 Term Loan                                                                      | CUSIP: 47077DAG5<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |      5216723 | PA      | $5070002.96   | 0.23%             | 2028-01-26      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 31400PV85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           70 | PA      | $69.66        | 0.00%             | 2027-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| DRAFTKINGS HOLDINGS INC                                 | DraftKings Holdings Inc                                                                                    | CUSIP: 26142RAB0<br>LEI: 5493008P45UYYL683Z97 | Long             | DBT              | CORP              | US        |      6710000 | PA      | $4150135.00   | 0.19%             | 2028-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities               | Multifamily Connecticut Avenue Securities Trust 2019-01                                                    | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |      2678434 | PA      | $2514741.19   | 0.11%             | 2049-10-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                                    | Chart Industries Inc                                                                                       | CUSIP: 000000000<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |      2340000 | PA      | $2352378.60   | 0.11%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                              | Fannie Mae Pool                                                                                            | CUSIP: 3140KTHM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        97203 | PA      | $82516.66     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LRS Holdings, LLC                                       | LRS Holdings, LLC Term Loan B                                                                              | CUSIP: 50205HAC4<br>LEI: 2549000MQSLNQZB32779 | Long             | LON              | CORP              | US        |      7157700 | PA      | $6969810.38   | 0.31%             | 2028-08-31      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                                                  | CUSIP: 674599DT9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      1502000 | PA      | $1554570.00   | 0.07%             | 2029-03-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Structured Agency Credit Risk Debt Notes                                                       | CUSIP: 3137G0PR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8310000 | PA      | $8928641.27   | 0.40%             | 2029-10-25      | Floating      | 9.54%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                              | BFLD Trust 2020-EYP                                                                                        | CUSIP: 05493AAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2960000 | PA      | $2348793.15   | 0.11%             | 2035-10-15      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Brighthouse Funds Trust II

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer