# EDGAR Filing Document

**Accession Number:** 0001798618
**File Stem:** 0001798618-23-000008
**Filing Date:** 2023-3
**Character Count:** 232535
**Document Hash:** 05f044d1a30018e409b76c9e5af4aca6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001798618-23-000008.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001798618-23-000008

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO Dynamic Income Opportunities Fund
- **CENTRAL INDEX KEY:** 0001798618
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23505
- **FILM NUMBER:** 23688811

**BUSINESS ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019
- **BUSINESS PHONE:** (844) 312-2113

**MAIL ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PIMCO Tactical Income Fund
- **DATE OF NAME CHANGE:** 20200102

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Dynamic Income Opportunities Fund

- **b. Investment Company Act file number:** 811-23505

- **c. CIK number of Registrant:** 0001798618

- **d. LEI of Registrant:** 549300MWJBXCL907ZB49

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

  - **Telephone number:** (844) 337-4626

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

- **a. Name of Series:** N/A

- **c. LEI of Series:** N/A

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

- **a. Date of fiscal year-end:** 2023-06-30

- **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:** $2910589674.72

**Total Liabilities:** $1444822314.71

**Net Assets:** $1465767360.01

**Cash Not Reported:** $51504255.13

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 11820.576900 | **1-Year:** 39919.146600 | **5-Year:** 318939.028900 | **10-Year:** -106334.460500 | **30-Year:** -124857.547400

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

- **3-Month:** 210926.519600 | **1-Year:** 144255.999300 | **5-Year:** 232379.107100 | **10-Year:** 166621.865700 | **30-Year:** 9545.673100

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 1.54%                | 12.28%               | -6.31%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-18985788.71            | $-332330.83                                |
| Month 2  | $-42156819.11            | $71361417.08                               |
| Month 3  | $-1712468.07             | $-33776089.21                              |

### Schedule of Portfolio Investments

| Name                                                           | Title                                                       | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BANC OF AMERICA FUNDING 2010-R8 TRUST                          | BANC OF AMERICA FUNDING CORPOR BAFC 2010 R8 1A4 144A        | CUSIP: 05956GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    344161 | PA      | $238026.30    | 0.02%             | 2036-05-26      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING 2014-R7 TRUST 2014-R7                  | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R7 2A2 144A        | CUSIP: 05963SAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4499305 | PA      | $3436020.94   | 0.23%             | 2036-09-26      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS EUR 0.25000 09/21/22-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $13353501.24  | 0.91%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS EUR 0.83000 12/09/42-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $783911.19    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS EUR 1.75000 03/15/23-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $760908.73    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 4.50000 03/05/21-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-182540.88   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 4.55000 03/01/21-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-81974.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 7.49500 01/26/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $8236.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 7.49750 01/27/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $34025.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 8.41000 04/06/22-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $4347.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 8.66000 04/07/22-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $21459.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 8.67500 04/06/22-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $51126.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 8.70100 04/13/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $549.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 8.73000 04/12/22-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $1286.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 8.73200 04/12/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $25.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 8.75000 04/08/22-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $12196.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R8                          | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R8 A2 144A         | CUSIP: 05969MAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3506442 | PA      | $2817417.95   | 0.19%             | 2036-06-26      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 01/26 1.875      | CUSIP: ACI1T7K79<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |  20927000 | PA      | $19268139.19  | 1.31%             | 2026-01-09      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 0.50000 06/16/21-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1083039.52  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 04/25 2.625      | CUSIP: ACI1J7WJ1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   7000000 | PA      | $6799670.73   | 0.46%             | 2025-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 09/24 3.625      | CUSIP: BJSF9FII4<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   7800000 | PA      | $7946241.60   | 0.54%             | 2024-09-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 1.50000 12/15/21-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5675826.48  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR        | CUSIP: ACI0ZY1X9<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   6500000 | PA      | $5625702.35   | 0.38%             | 2028-01-18      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/30 VAR        | CUSIP: ACI1J42S1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   1603000 | PA      | $1505643.25   | 0.10%             | 2030-01-22      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 07/29 10.5       | CUSIP: ACI1DBG64<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |  16766000 | PA      | $16668421.31  | 1.14%             | 2029-07-23      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR GBP SONIO/0.75000 09/21/22-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $5872671.09   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/1.25000 09/21/22-4Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8986480.79  | -0.61%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/1.75000 06/15/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $11223376.47  | 0.77%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/1.75000 12/21/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7469546.35   | 0.51%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/2.00000 12/21/22-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-18259272.30 | -1.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/2.00000 12/21/22-7Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-14454983.95 | -0.99%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/2.35000 01/17/24-1Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $364535.10    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/2.45000 12/20/23-1Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1059897.44   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/3.50000 12/21/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4315829.02  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/4.00000 12/21/22-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3428489.48   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.14 03/29/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-6199.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.16 03/29/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-4284.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.22 03/25/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-8848.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.245 03/25/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-4340.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.26 03/25/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-4290.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.35 03/28/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-4303.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.7 03/24/22-01/04/27 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-1420.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.715 03/24/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-6513.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.7883 08/30/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $1790152.37   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.87 03/22/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-12199.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12 03/23/22-01/02/25 CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-6300.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.015 03/17/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-376075.65   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.08 03/21/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-9444.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.14 03/21/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-4413.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.145 03/22/22-01/02/25 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-4151.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.16 03/21/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-8535.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.67 03/29/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $1874.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.69 03/29/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $1157.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.74 03/25/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $2600.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.75 03/28/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $1236.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.76 03/25/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $2465.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.9 03/21/22-01/02/23 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $2777.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.93 03/24/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $319.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.9385 03/21/22-01/02/23 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $1106.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.946 03/22/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $2782.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.96 03/21/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $1931.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.97 03/22/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $933.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.97 03/23/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $1221.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.97 03/24/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $1085.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 6.17 03/18/21-01/02/23 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-737619.99   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 6.99 08/05/19-01/04/27 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-7647455.71  | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-3028950.62  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD GBP BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-5759.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD PLN BOUGHT USD 20230113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-879057.89   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD ZAR BOUGHT USD 20230327                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-3595.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD ZAR BOUGHT USD 20230413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-24471.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT ZAR SOLD USD 20230327                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $10988.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-232579.66   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD IDR BOUGHT USD 20230214                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-18175.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD ZAR BOUGHT USD 20230213                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-46595.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6                     | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2020 C6 F5TB 144A      | CUSIP: 05492TBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12650000 | PA      | $9037025.91   | 0.62%             | 2053-02-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6                     | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2020 C6 F5TC 144A      | CUSIP: 05492TBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2028351.90   | 0.14%             | 2053-02-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                          | BBCCRE TRUST BBCCR 2015 GTP E 144A                          | CUSIP: 05490TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16240000 | PA      | $13589719.70  | 0.93%             | 2033-08-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                           | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM E 144A        | CUSIP: 05549RAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4278000 | PA      | $3985089.62   | 0.27%             | 2037-07-15      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                            | BCP TRUST BCP 2021 330N D 144A                              | CUSIP: 05553BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8623270.00   | 0.59%             | 2038-06-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                            | BCP TRUST BCP 2021 330N E 144A                              | CUSIP: 05553BAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4117773.00   | 0.28%             | 2038-06-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  COMM MTGE SEC 2007-T26                           | BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 T26 AJ            | CUSIP: 07388VAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46067 | PA      | $44504.35     | 0.00%             | 2045-01-12      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                         | CREDIT SUISSE GROUP AG REG COMMON STOCK CHF.04              | CUSIP: 717158901<br>LEI: 549300506SI9CRFV9Z86 | Long             | EC               | CORP              | CH        |    115607 | NS      | $345576.98    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-AQ2            | BEAR STEARNS ASSET BACKED SECU BSABS 2007 AQ2 A4            | CUSIP: 073857AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6305597 | PA      | $5507007.98   | 0.38%             | 2037-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BHR 2018-PRME                                                  | BRAEMAR HOTELS + RESORTS TRUST BHR 2018 PRME E 144A         | CUSIP: 10482TAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7900000 | PA      | $7294483.17   | 0.50%             | 2035-06-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| BSPRT-2019-FL5                                                 | BSPRT ISSUER, LTD. BSPRT 2019 FL5 D 144A                    | CUSIP: 05587TAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   5000000 | PA      | $4806060.25   | 0.33%             | 2029-05-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                  | BSST MORTGAGE TRUST BSST 2021 1818 E 144A                   | CUSIP: 07403PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5750000 | PA      | $4641075.70   | 0.32%             | 2036-03-15      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                  | BSST MORTGAGE TRUST BSST 2021 1818 F 144A                   | CUSIP: 07403PAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7125000 | PA      | $5543158.80   | 0.38%             | 2036-03-15      | Floating      | 8.77%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORPORATION                                           | CARNIVAL CORPORATION EUR TERM LOAN B                        | CUSIP: P2121YAP3<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | LON              | CORP              | PA        |  25957239 | PA      | $26783119.26  | 1.83%             | 2025-06-30      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N1                         | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N1 R 144A         | CUSIP: 14687D102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10050 | PA      | $2375531.22   | 0.16%             | 2028-01-10      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CARVANA CO                                                     | CARVANA CO COMPANY GUAR 144A 05/30 10.25                    | CUSIP: 146869AJ1<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |   7400000 | PA      | $3490975.60   | 0.24%             | 2030-05-01      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| CASSINI SAS                                                    | COMEXPOSIUM 2019 EUR 1ST LIEN TLB                           | CUSIP: 945AYZII4<br>LEI: 9695009FFM30CUZ8FO85 | Long             | LON              | CORP              | FR        |  21514594 | PA      | $19307095.07  | 1.32%             | 2026-03-28      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| CENGAGE LEARNING INC                                           | CENGAGE LEARNING INC 2021 TERM LOAN B                       | CUSIP: 15134NAF3<br>LEI: 549300BYGM0FWUSVXJ88 | Long             | LON              | CORP              | US        |   1612552 | PA      | $1454070.52   | 0.10%             | 2026-07-14      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                         | CGG SA SR SECURED 144A 04/27 7.75                           | CUSIP: ACI1WM066<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |   8900000 | PA      | $7818094.77   | 0.53%             | 2027-04-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                         | CGG SA SR SECURED 144A 04/27 8.75                           | CUSIP: 12531TAF6<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |  25253000 | PA      | $20227794.67  | 1.38%             | 2027-04-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CHAMPION PATH HOLDINGS LIMITED                                 | CHAMPION PATH HOLDINGS COMPANY GUAR REGS 01/26 4.5          | CUSIP: ACI1V8V80<br>LEI: 549300QWJFPV5413KI88 | Long             | DBT              | CORP              | VG        |   6370000 | PA      | $5561965.50   | 0.38%             | 2026-01-27      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                               | CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8            | CUSIP: 12543DBC3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |  18000000 | PA      | $16425000.00  | 1.12%             | 2026-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P                  | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2013 375P E 144A        | CUSIP: 17320QAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1148913.61   | 0.08%             | 2035-05-10      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-TBR                   | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2018 TBR E 144A         | CUSIP: 17326MAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8811000 | PA      | $8372901.22   | 0.57%             | 2036-12-15      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                    | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 C7 805B 144A       | CUSIP: 17328CBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4600000 | PA      | $2892029.20   | 0.20%             | 2072-12-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| CLAVEAU RE LTD                                                 | CLAVEAU RE LTD UNSECURED 144A 07/28 VAR                     | CUSIP: 182896AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3400000 | PA      | $3329960.00   | 0.23%             | 2028-07-08      | Floating      | 17.25%                | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2021-A                           | COLLEGE AVE STUDENT LOANS CASL 2021 A D 144A                | CUSIP: 19424KAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1569029.53   | 0.11%             | 2051-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                   | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR E 144A           | CUSIP: 12564NAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15000000 | PA      | $13837351.50  | 0.94%             | 2038-11-15      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| COMM 2019-521F MORTGAGE TRUST                                  | COMM MORTGAGE TRUST COMM 2019 521F C 144A                   | CUSIP: 20048GAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $1979603.79   | 0.14%             | 2034-06-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COMM 2019-521F MORTGAGE TRUST                                  | COMM MORTGAGE TRUST COMM 2019 521F D 144A                   | CUSIP: 20048GAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4950000 | PA      | $4178903.85   | 0.29%             | 2034-06-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| COMM 2019-521F MORTGAGE TRUST                                  | COMM MORTGAGE TRUST COMM 2019 521F F 144A                   | CUSIP: 20048GAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7400000 | PA      | $5999800.12   | 0.41%             | 2034-06-15      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R03                   | FANNIE MAE   CAS CAS 2021 R03 1B1 144A                      | CUSIP: 20754AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4300000 | PA      | $3978988.66   | 0.27%             | 2041-12-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                   | CORESTATE CAPITAL HOLD SR SECURED 04/23 8                   | CUSIP: ACI2BNCN5<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |    300000 | PA      | $321324.67    | 0.02%             | 2023-04-15      | Fixed         | 8.00%                 | Yes           |                  3 | On Loan: No      |
| CORSAIR INTERNATIONAL LIMITED                                  | CORSAIR INTERNATIONAL SECURED 144A 01/29 VAR                | CUSIP: ACI236434<br>LEI: 213800F3PS68ENYG4O41 | Long             | DBT              | CORP              | JE        |   1100000 | PA      | $1165719.50   | 0.08%             | 2029-01-28      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| CORSAIR INTERNATIONAL LIMITED                                  | CORSAIR INTERNATIONAL UNSECURED 144A 01/27 VAR              | CUSIP: ACI236343<br>LEI: 213800F3PS68ENYG4O41 | Long             | DBT              | CORP              | JE        |   1700000 | PA      | $1806115.91   | 0.12%             | 2027-01-28      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| COTY INC                                                       | COTY INC TERM LOAN B                                        | CUSIP: 22207EBK9<br>LEI: 549300BO9IWPF3S48F93 | Long             | LON              | CORP              | US        |  15721258 | PA      | $16271358.56  | 1.11%             | 2025-04-07      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 2A1          | CUSIP: 02146XAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4820260 | PA      | $2200162.36   | 0.15%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                         | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR          | CUSIP: 225401AK4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $143801.69    | 0.01%             | 2025-09-12      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                         | CREDIT SUISSE GROUP AG JR SUBORDINA 144A VAR                | CUSIP: 225401AL2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    600000 | PA      | $431500.47    | 0.03%             | 2026-08-21      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                         | CREDIT SUISSE GROUP AG SR UNSECURED 144A 04/31 VAR          | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $194554.09    | 0.01%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP          | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP E 144A          | CUSIP: 12651QAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19982000 | PA      | $18248247.78  | 1.24%             | 2032-07-15      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| CROMWELL EREIT LUX FINCO SARL                                  | CROMWELL ERIET LUX FINCO SARL EUR TERM LOAN A               | CUSIP: 937JHBII7<br>LEI: 213800VKBKU9G6DF2O19 | Long             | LON              | CORP              | LU        |   6800000 | PA      | $6451416.46   | 0.44%             | 2024-11-21      | Floating      | 3.04%                 | No            |                  3 | On Loan: No      |
| CRSNT TRUST 2021-MOON                                          | CRSNT TRUST CRSNT 2021 MOON F 144A                          | CUSIP: 22877LAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6183113.30   | 0.42%             | 2036-04-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| DBWF-2018-GLKS                                                 | DBWF MORTGAGE TRUST DBWF 2018 GLKS E 144A                   | CUSIP: 23307GAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29075000 | PA      | $27436274.85  | 1.87%             | 2030-12-19      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                    | INTELSAT EMERGENCE SA COMMON STOCK                          | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |    650684 | NS      | $15616416.00  | 1.07%             |  |  |  | Yes           |                  3 | On Loan: No      |
| DEUTSCHE MORTGAGE AND ASSET RECEIVING CORP 2014-RS1            | DEUTSCHE MORTGAGE AND ASSET RE DMARC 2014 RS1 4A2 144A      | CUSIP: 25160HAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6326815 | PA      | $5518675.50   | 0.38%             | 2036-11-27      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC                                       | DIAMOND SPORTS GROUP LLC 2022 FIRST PRI TERM LOAN           | CUSIP: 25277BAE8<br>LEI: 5493002K6DHWNZH8YA34 | Long             | LON              | CORP              | US        |  19208866 | PA      | $18252456.17  | 1.25%             | 2026-05-25      | Floating      | 12.32%                | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                          | DIRECTV FINANCING LLC TERM LOAN                             | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   4792500 | PA      | $4676186.03   | 0.32%             | 2027-08-02      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                           | DISH DBS CORP SR SECURED 144A 12/26 5.25                    | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5630000 | PA      | $4752902.30   | 0.32%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORPORATION                                       | DISH NETWORK CORP SR UNSECURED 08/26 3.375                  | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $2327300.00   | 0.16%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                            | DOLP TRUST DOLP 2021 NYC F 144A                             | CUSIP: 23345LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23000000 | PA      | $14245712.40  | 0.97%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                            | DOLP TRUST DOLP 2021 NYC G 144A                             | CUSIP: 23345LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $3568187.40   | 0.24%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                            | DOLP TRUST DOLP 2021 NYC X 144A                             | CUSIP: 23345LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 309500000 | PA      | $12431454.38  | 0.85%             | 2041-05-10      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                  | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE D 144A         | CUSIP: 26210YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $4889958.15   | 0.33%             | 2043-10-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| DTEK ENERGY BV (AKA: DTEK HOLDINGS BV)                         | DTEK ENERGY BV COMPANY GUAR REGS 12/27 7                    | CUSIP: ACI1XVP76<br>LEI: 9845009A70B44Q680820 | Long             | DBT              | CORP              | NL        |   4637721 | PA      | $1278271.85   | 0.09%             | 2027-12-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DUKE FUNDING LTD 2005-HG3A                                     | DUKE FUNDING LTD DUKEF 2005 HG3A A1B1 144A                  | CUSIP: 2644EPAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  29909825 | PA      | $327422.86    | 0.02%             | 2049-08-02      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| DUKE FUNDING LTD 2005-HG3A                                     | DUKE FUNDING LTD DUKEF 2005 HG3A A1B2 144A                  | CUSIP: 2644EPAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        | 840369608 | PA      | $206730.92    | 0.01%             | 2049-08-02      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                   | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 VAR             | CUSIP: ACI1Q6J43<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |  19720000 | PA      | $12659254.00  | 0.86%             | 2030-07-31      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                   | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/35 VAR             | CUSIP: ACI1Q6JR2<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |   3300000 | PA      | $1526778.00   | 0.10%             | 2035-07-31      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TRUST 2005-3                         | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 3 M7                | CUSIP: 29256PAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5613141 | PA      | $4980874.25   | 0.34%             | 2035-10-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| ESKOM HOLDINGS SOC LTD                                         | ESKOM HOLDINGS SOC LTD SR UNSECURED REGS 08/23 6.75         | CUSIP: S25221AC6<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |  47200000 | PA      | $45568107.20  | 3.11%             | 2023-08-06      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| KKR REAL ESTATE FINANCE TRUST INC                              | KKR REAL ESTATE FINANCE TRUS REIT USD.01                    | CUSIP: 48251K100<br>LEI: 549300K23AYZDZ2REL62 | Long             | EC               | CORP              | US        |   1082100 | NS      | $15106116.00  | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2019-2A                    | EXETER AUTOMOBILE RECEIVABLES EART 2019 2A R 144A           | CUSIP: 30167LAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6786 | PA      | $2165616.58   | 0.15%             | 2031-05-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2019-3A                    | EXETER AUTOMOBILE RECEIVABLES EART 2019 3A R 144A           | CUSIP: 30167EAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11938 | PA      | $5484709.05   | 0.37%             | 2031-08-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2021-4A                    | EXETER AUTOMOBILE RECEIVABLES EART 2021 4A R 144A           | CUSIP: 30165JAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12395 | PA      | $5295055.00   | 0.36%             | 2033-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                           | EXTENDED STAY AMERICA TRUST ESA 2021 ESH F 144A             | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18352414 | PA      | $17279340.78  | 1.18%             | 2038-07-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| FAIRFAX INDIA HOLDINGS CORPORATION                             | FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5            | CUSIP: 303897AA0<br>LEI: 549300K2JHXU7AX7CV78 | Long             | DBT              | CORP              | CA        |  18350000 | PA      | $16418662.50  | 1.12%             | 2028-02-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 418                                  | FANNIEMAE STRIP FNS 418 C17                                 | CUSIP: 31395Q3H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2928034 | PA      | $581007.28    | 0.04%             | 2043-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 421                                  | FANNIEMAE STRIP FNS 421 C2                                  | CUSIP: 31397VFZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5251664 | PA      | $375348.67    | 0.03%             | 2030-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 421                                  | FANNIEMAE STRIP FNS 421 C8                                  | CUSIP: 31397VGF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2614446 | PA      | $536942.42    | 0.04%             | 2045-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-132                                     | FANNIE MAE FNR 2012 132 IK                                  | CUSIP: 3136AAPX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2013562 | PA      | $176744.20    | 0.01%             | 2032-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-34                                      | FANNIE MAE FNR 2020 34 KI                                   | CUSIP: 3136BAJR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1272297 | PA      | $175614.56    | 0.01%             | 2047-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-80                                      | FANNIE MAE FNR 2020 80 IP                                   | CUSIP: 3136BCYT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11120107 | PA      | $1573537.44   | 0.11%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-92                                      | FANNIE MAE FNR 2020 92 MI                                   | CUSIP: 3136BCK33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12358421 | PA      | $1773076.31   | 0.12%             | 2050-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-96                                      | FANNIE MAE FNR 2020 96 IB                                   | CUSIP: 3136BDWU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7348676 | PA      | $1220763.49   | 0.08%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-99                                      | FANNIE MAE FNR 2020 99 QI                                   | CUSIP: 3136BDHS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4365144 | PA      | $750773.76    | 0.05%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-59                                      | FANNIE MAE FNR 2021 59 KI                                   | CUSIP: 3136BGB75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  26203458 | PA      | $5964111.35   | 0.41%             | 2051-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANNALY CAPITAL MANAGEMENT INC                                  | ANNALY CAPITAL MANAGEMENT IN REIT USD.01                    | CUSIP: 035710839<br>LEI: 2DTL0G3FPRYUT58TI025 | Long             | EC               | CORP              | US        |    609500 | NS      | $12848260.00  | 0.88%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN BANK (FLHB)                                  | FEDERAL HOME LOAN BANK BONDS 01/23 VAR                      | CUSIP: 3130ATJ99<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  16400000 | PA      | $16400005.25  | 1.12%             | 2023-01-06      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK (FLHB)                                  | FEDERAL HOME LOAN BANK BONDS 01/23 VAR                      | CUSIP: 3130ATJT5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    700000 | PA      | $700000.22    | 0.05%             | 2023-01-06      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK (FLHB)                                  | FEDERAL HOME LOAN BANK BONDS 01/23 VAR                      | CUSIP: 3130ATJX6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   5400000 | PA      | $5400028.73   | 0.37%             | 2023-01-10      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FEL ENERGY VI SA RL                                            | FEL ENERGY VI SARL SR SECURED REGS 12/40 5.75               | CUSIP: L3500LAA7<br>LEI: 254900H2U8PBIY32VI94 | Long             | DBT              | CORP              | LU        |   9239499 | PA      | $7920145.05   | 0.54%             | 2040-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NAC HOLDINGS LTD                                               | NAC AVIATION RSTRCTR EQUITY EQTYNACL7                       | CUSIP: 944RJF908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    373201 | NS      | $6904218.50   | 0.47%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FIELDSTONE MTGE INVESTMENT CORP 2004-3                         | FIELDSTONE MORTGAGE INVESTMENT FMIC 2004 3 M6               | CUSIP: 31659TBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2157161.40   | 0.15%             | 2034-08-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF14                              | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF14 A6             | CUSIP: 32027LAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $4750947.60   | 0.32%             | 2036-10-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2005-3                                         | FIRST NLC TRUST FNLC 2005 3 M2                              | CUSIP: 32113JBV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3089970 | PA      | $2762729.15   | 0.19%             | 2035-12-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2021-1                              | FLAGSHIP CREDIT AUTO TRUST FCAT 2021 1 R 144A               | CUSIP: 33843WAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10000 | PA      | $1758548.46   | 0.12%             | 2028-04-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FLOODSMART RE LTD                                              | FLOODSMART RE LTD UNSECURED 144A 03/24 VAR                  | CUSIP: 33975CAG0<br>LEI: 549300KK1LNVFW95S875 | Long             | DBT              | CORP              | BM        |   3920000 | PA      | $3626000.00   | 0.25%             | 2024-03-01      | Floating      | 13.58%                | No            |                  2 | On Loan: No      |
| FLOODSMART RE LTD                                              | FLOODSMART RE LTD UNSECURED 144A 03/24 VAR                  | CUSIP: 33975CAH8<br>LEI: 549300KK1LNVFW95S875 | Long             | DBT              | CORP              | BM        |   1120000 | PA      | $896000.00    | 0.06%             | 2024-03-01      | Floating      | 17.33%                | No            |                  2 | On Loan: No      |
| PENNYMAC MORTGAGE INVESTMENT TRUST                             | PENNYMAC MORTGAGE INVESTMENT REIT USD.01                    | CUSIP: 70931T103<br>LEI: 549300BSSOQO1ZWDUJ97 | Long             | EC               | CORP              | US        |    556200 | NS      | $6891318.00   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS 4073                                        | FREDDIE MAC FHR 4073 SB                                     | CUSIP: 3137ARYF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1998064 | PA      | $186271.12    | 0.01%             | 2042-07-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4731                                        | FREDDIE MAC FHR 4731 QS                                     | CUSIP: 3137FBQG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    260581 | PA      | $29218.15     | 0.00%             | 2047-11-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4999                                        | FREDDIE MAC FHR 4999 DS                                     | CUSIP: 3137FV3C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9442380 | PA      | $703912.46    | 0.05%             | 2043-03-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5039                                        | FREDDIE MAC FHR 5039 JI                                     | CUSIP: 3137F63T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14693489 | PA      | $1366516.56   | 0.09%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5058                                        | FREDDIE MAC FHR 5058 I                                      | CUSIP: 3137F8XG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5213834 | PA      | $503737.66    | 0.03%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5068                                        | FREDDIE MAC FHR 5068 GI                                     | CUSIP: 3137F8PA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9310755 | PA      | $1256211.75   | 0.09%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5080                                        | FREDDIE MAC FHR 5080 IG                                     | CUSIP: 3137FXUX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6196855 | PA      | $1291968.58   | 0.09%             | 2048-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5087                                        | FREDDIE MAC FHR 5087 IL                                     | CUSIP: 3137FFMC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12767536 | PA      | $2091967.22   | 0.14%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5087                                        | FREDDIE MAC FHR 5087 IP                                     | CUSIP: 3137FFME4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10616985 | PA      | $1762641.33   | 0.12%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5093                                        | FREDDIE MAC FHR 5093 PI                                     | CUSIP: 3137FYKD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5629895 | PA      | $958622.56    | 0.07%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5095                                        | FREDDIE MAC FHR 5095 BI                                     | CUSIP: 3137FYR32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9531461 | PA      | $1280843.41   | 0.09%             | 2041-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5115                                        | FREDDIE MAC FHR 5115 IM                                     | CUSIP: 3137H0ZX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9374093 | PA      | $1752400.36   | 0.12%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5140                                        | FREDDIE MAC FHR 5140 JI                                     | CUSIP: 3137H24K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4625255 | PA      | $841334.80    | 0.06%             | 2050-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5144                                        | FREDDIE MAC FHR 5144 GI                                     | CUSIP: 3137H26C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10019014 | PA      | $1362876.39   | 0.09%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA5                        | FREDDIE MAC   STACR STACR 2021 DNA5 B2 144A                 | CUSIP: 35564KJB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3156916.80   | 0.22%             | 2034-01-25      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                        | FREDDIE MAC   STACR STACR 2021 DNA6 B2 144A                 | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22000000 | PA      | $18817730.80  | 1.28%             | 2041-10-25      | Floating      | 11.43%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2 | FREDDIE MAC   STACR STACR 2022 DNA2 B1 144A                 | CUSIP: 35564KSJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2600000 | PA      | $2385297.46   | 0.16%             | 2042-02-25      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2 | FREDDIE MAC   STACR STACR 2022 DNA2 B2 144A                 | CUSIP: 35564KSQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $995151.60    | 0.07%             | 2042-02-25      | Floating      | 12.43%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2 | FREDDIE MAC   STACR STACR 2022 DNA2 M2 144A                 | CUSIP: 35564KRN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8400000 | PA      | $7926140.88   | 0.54%             | 2042-02-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| FREED ABS TRUST 2020-3FP                                       | FREED ABS TRUST FREED 2020 3FP CERT 144A                    | CUSIP: 35634LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4226 | PA      | $646453.33    | 0.04%             | 2027-09-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                        | GTWY CASINO+ENTERTAINMNT LTD 2021 CAD TERM LOAN             | CUSIP: 943ZHKII3<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |  10104114 | PA      | $7369138.00   | 0.50%             | 2027-10-18      | Fixed         | 12.56%                | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                        | GTWY CASINO+ENTERTAINMNT LTD 2021 TERM LOAN                 | CUSIP: 943ZERII1<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |  46312794 | PA      | $45733884.08  | 3.12%             | 2027-10-15      | Fixed         | 12.14%                | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ FINANCE PLC                               | GAZPROM PJSC (GAZ FN) SR UNSECURED REGS 06/27 3             | CUSIP: ACI1NC340<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $143000.00    | 0.01%             | 2027-06-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GCT COMMERCIAL MORTGAGE TRUST 2021-GCT                         | GCT COMMERCIAL MORTGAGE TRUST GCT 2021 GCT E 144A           | CUSIP: 36167RAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  49700000 | PA      | $36270319.47  | 2.47%             | 2038-02-15      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| GIBSON BRANDS INC (AKA: GIBSON GUITAR CORP)                    | GIBSON BRANDS INC 2021 TERM LOAN                            | CUSIP: 37476YAB8<br>LEI: 549300KU4ACNZQGB7J14 | Long             | LON              | CORP              | US        |   6237000 | PA      | $4615380.14   | 0.31%             | 2028-08-11      | Floating      | 9.13%                 | No            |                  3 | On Loan: No      |
| STICHTING AK RABOBANK CERTIFICATEN                             | STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR           | CUSIP: BJBQCWII7<br>LEI: N/A                  | Long             | EP               | CORP              | NL        |  19184350 | NS      | $19749291.99  | 1.35%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNIVERSE CORPORATION                                          | SYNIVERSE PFD PIK PFDJJZ917                                 | CUSIP: 936UVD902<br>LEI: N/A                  | Long             | EP               | CORP              | US        |   6326259 | NS      | $6079534.50   | 0.41%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI SIENA COMMON STOCK                   | CUSIP: ACI28SXK1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | EC               | CORP              | IT        |   2274000 | NS      | $4684865.45   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| GREENWOOD PARK CLO LTD 2018-1A                                 | FEE0009H3 GRNPK 2018 A SUB FEE                              | CUSIP: 937ZNKII4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  27000000 | PA      | $379035.72    | 0.03%             | 2031-04-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| GREENWOOD PARK CLO LTD 2018-1A                                 | GREENWOOD PARK CLO, LTD GRNPK 2018 1A SUB 144A              | CUSIP: 39729TAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  27000000 | PA      | $12060458.82  | 0.82%             | 2031-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                    | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU E 144A          | CUSIP: 36256AAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10782000 | PA      | $10273506.86  | 0.70%             | 2032-11-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                  | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 AIOS 144A     | CUSIP: 36261WAQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        | 161230349 | PA      | $1889668.06   | 0.13%             | 2060-12-25      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                  | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 B 144A        | CUSIP: 36261WAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34467608 | PA      | $18496080.16  | 1.26%             | 2060-12-25      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                  | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 SA 144A       | CUSIP: 36261WAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192761 | PA      | $185395.87    | 0.01%             | 2060-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                  | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 X 144A        | CUSIP: 36261WAR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        | 183900515 | PA      | $6432840.02   | 0.44%             | 2060-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE5                                           | GSAMP TRUST GSAMP 2006 HE5 M1                               | CUSIP: 362437AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15556756 | PA      | $12985131.18  | 0.89%             | 2036-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GUARA NORTE SARL                                               | GUARA NORTE SARL SR SECURED REGS 06/34 5.198                | CUSIP: L4R02QAA8<br>LEI: 549300U2I4L03BBA3485 | Long             | DBT              | CORP              | LU        |   2680718 | PA      | $2272108.26   | 0.16%             | 2034-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                  | HESTIA RE LTD UNSECURED 144A 04/25 VAR                      | CUSIP: 42815KAA0<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |   2347000 | PA      | $1936275.00   | 0.13%             | 2025-04-22      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| HHT-2019-MAIX                                                  | HAWAII HOTEL TRUST 2019 MAUI HHT 2019 MAIX F REGS           | CUSIP: U2471CAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4764327.50   | 0.33%             | 2038-05-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| HHT-2019-MAUI                                                  | HAWAII HOTEL TRUST 2019 MAUI HHT 2019 MAUI F 144A           | CUSIP: 41975AAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34720000 | PA      | $33083490.16  | 2.26%             | 2038-05-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| HILTON ORLANDO TRUST 2018-ORL                                  | HILTON USA TRUST HILT 2018 ORL E 144A                       | CUSIP: 432885AN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10953000 | PA      | $10508066.14  | 0.72%             | 2034-12-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| HOSPITALITY MORTGAGE TRUST 2019-HIT                            | HOSPITALITY MORTGAGE TRUST HPLY 2019 HIT F 144A             | CUSIP: 40443RAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1676079 | PA      | $1587233.84   | 0.11%             | 2036-11-15      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                  | VOYAGER AVIATION HLD EQUITY VOYAGER AVIATION 92918X9D9      | CUSIP: 942UCF009<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | EC               | CORP              | US        |      6860 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-E                        | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 E 2A3             | CUSIP: 43709XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7310248 | PA      | $5095680.89   | 0.35%             | 2037-04-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO)                            | POSEIDON BIDCO SASU EUR TERM LOAN B                         | CUSIP: 945BRXII5<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |  19500000 | PA      | $17984919.72  | 1.23%             | 2028-07-14      | Floating      | 7.26%                 | No            |                  3 | On Loan: No      |
| INNOPHOS (IRIS HOLDINGS INC)                                   | IRIS HOLDINGS INC SR UNSECURED 144A 02/26 8.75              | CUSIP: 46272EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  18158000 | PA      | $15615880.00  | 1.07%             | 2026-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| INSTANT BRANDS HOLDINGS INC                                    | INSTANT BRANDS HOLDINGS INC TERM LOAN                       | CUSIP: 45783DAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  19006407 | PA      | $12848330.94  | 0.88%             | 2028-04-12      | Floating      | 9.73%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                   | INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5             | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |  48922000 | PA      | $43858083.78  | 2.99%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                   | INTELSAT JACKSON HOLDINGS S.A. 2021 EXIT TERM LOAN B        | CUSIP: L5137LAQ8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | LON              | CORP              | LU        |  12728171 | PA      | $12314505.88  | 0.84%             | 2029-02-01      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                          | REPUBLIC OF COTE DIVOIRE THE 2021 EUR TERM LOAN A           | CUSIP: 937JLBII2<br>LEI: 254900ICW11T82O6H590 | Long             | LON              | NUSS              | CI        |    900000 | PA      | $920051.34    | 0.06%             | 2027-03-19      | Floating      | 6.61%                 | No            |                  3 | On Loan: No      |
| JEFFERSON CAPITAL HOLDINGS LLC                                 | JEFFERSON CAPITAL HOLDIN COMPANY GUAR 144A 08/26 6          | CUSIP: 472481AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4680000 | PA      | $3879018.00   | 0.26%             | 2026-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A1                         | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A1 1A1A           | CUSIP: 466287AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15474027 | PA      | $14987258.52  | 1.02%             | 2037-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 D 144A       | CUSIP: 46649JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $936441.50    | 0.06%             | 2035-02-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT DFL 144A      | CUSIP: 46645WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5012000 | PA      | $4505524.87   | 0.31%             | 2033-07-05      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT EFL 144A      | CUSIP: 46645WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8909573.00   | 0.61%             | 2033-07-05      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 D 144A       | CUSIP: 46653DAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25550000 | PA      | $23272871.58  | 1.59%             | 2036-03-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 E 144A       | CUSIP: 46653DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9500000 | PA      | $8563528.00   | 0.58%             | 2036-03-15      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                       | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P F 144A         | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4750000 | PA      | $4284125.70   | 0.29%             | 2034-09-15      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| JP MORGAN RESECURITIZATION TRUST SERIES 2015-1                 | JP MORGAN REREMIC JPMRR 2015 1 3A3 144A                     | CUSIP: 46644BAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8712923 | PA      | $6970927.64   | 0.48%             | 2046-12-27      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2004-1                         | AAMES MORTGAGE INVESTMENT TRUS AMIT 2004 1 M7               | CUSIP: 00252FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $3378141.00   | 0.23%             | 2035-01-25      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| KKR CLO 31 LTD 31A                                             | KKR FINANCIAL CLO LTD KKR 31A SUB 144A                      | CUSIP: 48254MAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $7408179.10   | 0.51%             | 2034-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-15N                                       | LEHMAN XS TRUST LXS 2007 15N 1CA1                           | CUSIP: 52524VAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23373820 | PA      | $19242334.10  | 1.31%             | 2037-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| LIFEMILES LTD                                                  | LIFEMILES LTD 2021 TERM LOAN B                              | CUSIP: G6368CAE9<br>LEI: 254900CGQFLUG99LJ840 | Long             | LON              | CORP              | BM        |   6581130 | PA      | $6143485.15   | 0.42%             | 2026-08-30      | Floating      | 9.98%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL3                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL3 M2            | CUSIP: 542514PS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10014241 | PA      | $9239743.44   | 0.63%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                        | MADISON PARK FUNDING LTD MDPK 2017 23A SUB 144A             | CUSIP: 55820UAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5600000 | PA      | $2491368.60   | 0.17%             | 2047-07-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2020-2A                                 | MARLETTE FUNDING TRUST MFT 2020 2A CERT 144A                | CUSIP: 57108R101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37840 | PA      | $2516338.44   | 0.17%             | 2030-09-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| ACE SECURITIES CORP 2006-OP2                                   | ACE SECURITIES CORP. ACE 2006 OP2 M1                        | CUSIP: 00441YAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24115610 | PA      | $17856027.15  | 1.22%             | 2036-08-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE LIMITED                                  | MELCO RESORTS FINANCE SR UNSECURED 144A 12/29 5.375         | CUSIP: 58547DAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    200000 | PA      | $160818.00    | 0.01%             | 2029-12-04      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1     | ACE SECURITIES CORP. ACE 2006 HE1 M1                        | CUSIP: 004421WR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6435713 | PA      | $5415932.30   | 0.37%             | 2036-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2016-1                           | MILL CITY MORTGAGE TRUST MCMLT 2016 1 B4 144A               | CUSIP: 59980TAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19585571 | PA      | $12188435.75  | 0.83%             | 2057-04-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2016-1                           | MILL CITY MORTGAGE TRUST MCMLT 2016 1 X 144A                | CUSIP: 59980TAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 155454244 | PA      | $3193185.62   | 0.22%             | 2057-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2016-1                           | MILL CITY MORTGAGE TRUST MCMLT 2016 1 XS 144A               | CUSIP: 59980TAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 155454244 | PA      | $616764.71    | 0.04%             | 2057-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2017-1                           | MILL CITY MORTGAGE TRUST MCMLT 2017 1 B4 144A               | CUSIP: 59981HAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16205000 | PA      | $9033723.57   | 0.62%             | 2058-11-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2017-1                           | MILL CITY MORTGAGE TRUST MCMLT 2017 1 X 144A                | CUSIP: 59981HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 129719704 | PA      | $330940.91    | 0.02%             | 2058-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2017-1                           | MILL CITY MORTGAGE TRUST MCMLT 2017 1 XS 144A               | CUSIP: 59981HAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 129719704 | PA      | $542280.25    | 0.04%             | 2058-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MONTAUK POINT CDO LTD                                          | MONTAUK POINT CDO LTD MNPT 2006 1A A1 144A                  | CUSIP: 612180AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        | 213556427 | PA      | $13663340.19  | 0.93%             | 2042-10-06      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| MONTAUK POINT CDO LTD 2006-2A                                  | MONTAUK POINT CDO LTD MNPT 2006 2A A1S 144A                 | CUSIP: 612181AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        | 327058386 | PA      | $5426552.74   | 0.37%             | 2046-04-06      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE3                          | MORGAN STANLEY CAPITAL INC MSAC 2005 HE3 M6                 | CUSIP: 61744CSL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6937947 | PA      | $5102873.91   | 0.35%             | 2035-07-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                 | ADLER GROUP SA SR UNSECURED REGS 01/26 1.875                | CUSIP: ACI1TZD42<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |   4300000 | PA      | $1881448.79   | 0.13%             | 2026-01-14      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                 | ADLER GROUP SA SR UNSECURED REGS 04/27 2.25                 | CUSIP: ACI1X8QD3<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |   1800000 | PA      | $682090.42    | 0.05%             | 2027-04-27      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                 | ADLER GROUP SA SR UNSECURED REGS 08/25 3.25                 | CUSIP: ACI1PQN37<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |   2500000 | PA      | $1111929.41   | 0.08%             | 2025-08-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                       | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF D 144A         | CUSIP: 61691KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5370000 | PA      | $4963521.61   | 0.34%             | 2034-11-15      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                       | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF E 144A         | CUSIP: 61691KAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3357000 | PA      | $3077114.15   | 0.21%             | 2034-11-15      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                       | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS E 144A         | CUSIP: 61692AAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4294000 | PA      | $3238419.29   | 0.22%             | 2036-12-15      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2006-HE2                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2C                | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2449234 | PA      | $1977856.60   | 0.13%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2005-2                           | MORGAN STANLEY HOME EQUITY LOA MSHEL 2005 2 M6              | CUSIP: 61744CQQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5319071 | PA      | $4506308.39   | 0.31%             | 2035-05-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R5                           | MORGAN STANLEY REREMIC TRUST MSRR 2010 R5 3B 144A           | CUSIP: 61759HAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3437209 | PA      | $3219732.32   | 0.22%             | 2037-03-26      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| MORRISON (MARKET BIDCO FINCO PLC)                              | MARKET BIDCO FINCO PLC SR SECURED 144A 11/27 4.75           | CUSIP: ACI261ZG9<br>LEI: 549300UGYX6EBVHRVG53 | Long             | DBT              | CORP              | GB        |   2300000 | PA      | $1986551.09   | 0.14%             | 2027-11-04      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PARK MORTGAGE TRUST                                  | MRCD MORTGAGE TRUST MRCD 2019 PARK F 144A                   | CUSIP: 55348UAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15715000 | PA      | $13398236.55  | 0.91%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PARK MORTGAGE TRUST                                  | MRCD MORTGAGE TRUST MRCD 2019 PARK G 144A                   | CUSIP: 55348UAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13000000 | PA      | $10591591.40  | 0.72%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| MYERS PARK CLO LTD 2018-1A                                     | FEE0009J9 MYERS 2018 1A SUB FEE                             | CUSIP: 937ZOKII3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13000000 | PA      | $175891.30    | 0.01%             | 2030-10-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| MYERS PARK CLO LTD 2018-1A                                     | MYERS PARK CLO LTD MYERS 2018 1A SUB 144A                   | CUSIP: 62848GAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13000000 | PA      | $8685108.25   | 0.59%             | 2030-10-20      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| NAC AVIATION 29 DESIGNATED ACTIVITY COMPANY                    | NAC AVIATION 29 DAC 2022 REINSTATD R1 TAKEBCK TLB1          | CUSIP: 943WDYII4<br>LEI: 213800F6E89RCASJ7E83 | Long             | LON              | CORP              | IE        |  20347374 | PA      | $17066359.93  | 1.16%             | 2026-06-30      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-285M         | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 285M E 144A        | CUSIP: 63874FAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13150000 | PA      | $10550976.14  | 0.72%             | 2032-11-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-285M         | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 285M F 144A        | CUSIP: 63874FAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2042000 | PA      | $1563066.67   | 0.11%             | 2032-11-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-TECH         | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 TECH E 144A        | CUSIP: 63874LAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5769646.80   | 0.39%             | 2034-11-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| NESTLE SKIN HEALTH SA (SUNSHINE LUXEMBOURG VII SARL)           | SUNSHINE LUXEMBOURG VII SARL 2021 TERM LOAN B3              | CUSIP: L8908YAE8<br>LEI: 254900CHQOBZNYV4DY60 | Long             | LON              | CORP              | LU        |      6402 | PA      | $6147.07      | 0.00%             | 2026-10-01      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                         | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M6              | CUSIP: 64352VKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17485325 | PA      | $15742646.42  | 1.07%             | 2035-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                              | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA E 144A               | CUSIP: 647622AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7491000 | PA      | $6868301.64   | 0.47%             | 2032-04-15      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                  | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 B4 144A        | CUSIP: 64830NAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $2600494.50   | 0.18%             | 2059-07-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ1R                  | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 NQ1R B1 144A        | CUSIP: 64828BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1242000 | PA      | $864285.82    | 0.06%             | 2055-07-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ1R                  | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 NQ1R B2 144A        | CUSIP: 64828BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $688324.10    | 0.05%             | 2055-07-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL (ENDURANCE INTERNATIONAL GROUP HOLDINGS INC)   | ENDURANCE INTERNATIONAL SR UNSECURED 144A 02/29 6           | CUSIP: 29279XAA8<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |  10800000 | PA      | $7437960.00   | 0.51%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NGD HOLDINGS BV                                                | NGD HOLDINGS BV SR SECURED 12/26 6.75                       | CUSIP: ACI1XVPP6<br>LEI: 984500ED2ABF0UF46690 | Long             | DBT              | CORP              | NL        |   1113000 | PA      | $518240.63    | 0.04%             | 2026-12-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                   | REPUBLIC OF NIGERIA SR UNSECURED 144A 09/51 8.25            | CUSIP: 65412JAT0<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   3600000 | PA      | $2415204.00   | 0.16%             | 2051-09-28      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                            | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81                | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $170172.94    | 0.01%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2022-SP1                                       | NEW YORK MORTGAGE TRUST NYMT 2022 SP1 A1 144A               | CUSIP: 62956BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28444644 | PA      | $26800797.19  | 1.83%             | 2062-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| OI S.A. - EM RECUPERA\xc7\xc3O JUDICIAL                        | OI SA TERM LOAN 1                                           | CUSIP: 938VGYII0<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |   6371662 | PA      | $2230081.68   | 0.15%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| OI S.A. - EM RECUPERA\xc7\xc3O JUDICIAL                        | OI SA TERM LOAN 2                                           | CUSIP: 938XAMII8<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |  22555292 | PA      | $7894352.29   | 0.54%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                | OI SA COMPANY GUAR 07/25 VAR                                | CUSIP: P7354PAA2<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |  38647000 | PA      | $6678251.45   | 0.46%             | 2025-07-27      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                          | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 2A3             | CUSIP: 68403FAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3721047 | PA      | $2195194.31   | 0.15%             | 2037-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75              | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |  21041000 | PA      | $16178835.62  | 1.10%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45              | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    448000 | PA      | $335072.57    | 0.02%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/43 4.6               | CUSIP: 694308HD2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   4802000 | PA      | $3645551.82   | 0.25%             | 2043-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95              | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |  14590000 | PA      | $11367480.15  | 0.78%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC SR SECURED 06/41 4.2                 | CUSIP: 694308JU2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $5580357.38   | 0.38%             | 2041-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PENNYMAC CORP                                                  | PENNYMAC CORP COMPANY GUAR 03/26 5.5                        | CUSIP: 70932AAF0<br>LEI: EWN0I878407TKQNXZ933 | Long             | DBT              | CORP              | US        |  24225000 | PA      | $19849359.38  | 1.35%             | 2026-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                   | PERU LNG SRL SR UNSECURED REGS 03/30 5.375                  | CUSIP: P7721BAE1<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |  12625000 | PA      | $10562513.85  | 0.72%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST 2021-1R                         | PMT CREDIT RISK TRANSFER TRUST PMTCR 2021 1R A 144A         | CUSIP: 69356UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17469199 | PA      | $16751218.60  | 1.14%             | 2024-02-27      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 NPL3 A2 144A       | CUSIP: 74143EAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2123911.92   | 0.14%             | 2051-07-25      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3                  | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN3 A2 144A        | CUSIP: 74143JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17900000 | PA      | $15071694.39  | 1.03%             | 2051-09-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| PROJECT QUASAR HOLDCO SLU                                      | PROJECT QUASAR PLEDGCO SLU 2022 EUR TERM LOAN A1            | CUSIP: 944ZSGII9<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |  11125485 | PA      | $11654793.94  | 0.80%             | 2026-03-15      | Floating      | 4.94%                 | No            |                  3 | On Loan: No      |
| ALTICE FINANCING SA                                            | ALTICE FINANCING SA SR SECURED 144A 08/29 5.75              | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |   5253000 | PA      | $4141664.13   | 0.28%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PROJECT QUASAR INVESTMENTS 2017 SLU                            | NEPTUNE QUASAR PPN                                          | CUSIP: 936TNJII2<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |         1 | PA      | $0.00         | 0.00%             | 2028-03-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                          | PROMOTORA DE INFORMACIONES SA 2022 EUR PIK JUNIOR TERM LOAN | CUSIP: 945BECII5<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |   9797355 | PA      | $9176626.80   | 0.63%             | 2027-06-30      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                          | PROMOTORA DE INFORMACIONES SA 2022 EUR SENIOR TERM LOAN     | CUSIP: 945BEBII7<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |  29645970 | PA      | $27291681.60  | 1.86%             | 2026-12-31      | Floating      | 6.71%                 | No            |                  3 | On Loan: No      |
| PUERTO RICO GOVT                                               | PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR                 | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |  17178053 | PA      | $7536870.83   | 0.51%             | 2043-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO GOVT                                               | PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR                 | CUSIP: 74514L4C8<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |   5000000 | PA      | $2193750.00   | 0.15%             | 2051-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO GOVT                                               | PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR                 | CUSIP: 74514L4G9<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |  13135220 | PA      | $4433136.79   | 0.30%             | 2051-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| QUANTUM BIDCO LIMITED                                          | ADDO AND WINTERBOTHAM GBP TERM LOAN                         | CUSIP: 937ICLII2<br>LEI: 259400QEGOEU126C6775 | Long             | LON              | CORP              | GB        |  20000000 | PA      | $20661682.57  | 1.41%             | 2028-01-29      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2021-FL5 LLC                  | READYCAP COMMERCIAL MORTGAGE T RCMT 2021 FL5 E 144A         | CUSIP: 75574YAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6460781.25   | 0.44%             | 2038-04-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                         | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF3              | CUSIP: 75971EAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7935358 | PA      | $2971277.24   | 0.20%             | 2036-11-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST            | AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7                | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2015059 | PA      | $1743038.06   | 0.12%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA4                            | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA4 A1B            | CUSIP: 74923YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    883436 | PA      | $793255.46    | 0.05%             | 2037-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST           | AMER AIRLINE 17 2 AA PTT PASS THRU CE 04/31 3.35            | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    756450 | PA      | $654847.42    | 0.04%             | 2031-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                   | RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625            | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   1000000 | PA      | $635000.00    | 0.04%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                   | RUSSIAN FEDERATION SR UNSECURED REGS 03/35 5.1              | CUSIP: X5424XCG1<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    200000 | PA      | $66000.00     | 0.00%             | 2035-03-28      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                   | RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625            | CUSIP: X74344DS2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   3200000 | PA      | $2032000.00   | 0.14%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                             | SANDERS RE III LTD UNSECURED 144A 04/29 VAR                 | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4164000 | PA      | $3954759.00   | 0.27%             | 2029-04-09      | Floating      | 11.75%                | No            |                  2 | On Loan: No      |
| SEAGATE HDD CAYMAN                                             | SEAGATE HDD CAYMAN COMPANY GUAR 06/29 4.091                 | CUSIP: 81180WBC4<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |   1000000 | PA      | $830487.72    | 0.06%             | 2029-06-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-1              | FREDDIE MAC   SCRT SCRT 2018 1 BX                           | CUSIP: 35563PEX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17855720 | PA      | $6652312.67   | 0.45%             | 2057-05-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-3              | FREDDIE MAC   SCRT SCRT 2019 3 M                            | CUSIP: 35563PLU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2360000 | PA      | $2083212.12   | 0.14%             | 2058-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-1              | FREDDIE MAC   SCRT SCRT 2021 1 BXS 144A                     | CUSIP: 35563PWX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4238661 | PA      | $3079527.22   | 0.21%             | 2060-09-25      | Fixed         | 11.76%                | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-1              | FREDDIE MAC   SCRT SCRT 2021 1 M 144A                       | CUSIP: 35563PWQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7547000 | PA      | $6499655.26   | 0.44%             | 2060-09-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-2              | FREDDIE MAC   SCRT SCRT 2021 2 BXS 144A                     | CUSIP: 35563P4Q9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5547310 | PA      | $4255682.76   | 0.29%             | 2060-11-25      | Variable      | 9.14%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-3              | FREDDIE MAC   SCRT SCRT 2021 3 M 144A                       | CUSIP: 35563P6P9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3263000 | PA      | $2590303.51   | 0.18%             | 2061-03-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-FR2              | SECURITIZED ASSET BACKED RECEI SABR 2006 FR2 A3             | CUSIP: 81376VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1506406 | PA      | $936475.82    | 0.06%             | 2036-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| SFA COLLATERALIZED ABS 3A                                      | SFA COLLATERALIZED ABS LTD SFA 3A B 144A                    | CUSIP: 99NURSII3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  41770162 | PA      | $7802332.13   | 0.53%             | 2037-07-02      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                         | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 E 144A           | CUSIP: 78432WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18000000 | PA      | $15039190.80  | 1.03%             | 2038-05-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                         | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 F 144A           | CUSIP: 78432WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $4847487.60   | 0.33%             | 2038-05-15      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                               | SIERRA MADRE FUNDING LTD MADRE 2004 1A A1A 144A             | CUSIP: 82639RAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1144653 | PA      | $849073.98    | 0.06%             | 2039-09-07      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                        | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A            | CUSIP: 83206NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4992 | PA      | $7456300.35   | 0.51%             | 2055-02-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOFTBANK VISION FUND II                                        | SOFTBANK VISION FUND II FIXED TERM LOAN                     | CUSIP: 944YFGII6<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |  26134191 | PA      | $25140675.74  | 1.72%             | 2025-12-21      | Variable      | 5.00%                 | No            |                  3 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDL 2006-BC4                       | SPECIALTY UNDERWRITING + RESID SURF 2006 BC4 A2C            | CUSIP: 84751YAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23595573 | PA      | $8292440.00   | 0.57%             | 2037-09-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES PASS THROUGH TRUST 2015-1A                     | SPIRIT AIR 2015 1 PTT A PASS THRU CE 10/29 4.1              | CUSIP: 84858DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    305760 | PA      | $272805.98    | 0.02%             | 2029-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 1 SARL                                      | STEENBOK LUX FINCO 2 SARL EUR PIK TERM LOAN A1              | CUSIP: 943ZWJII9<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   9933002 | PA      | $4758167.69   | 0.32%             | 2023-06-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                      | STEENBOK LUX FINCO 2 SARL EUR 2ND LIEN FIXED RATE TL A2     | CUSIP: 935YNTII0<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |  56117687 | PA      | $38645873.07  | 2.64%             | 2023-06-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2006-BNC2                        | STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC2 A6            | CUSIP: 86358GAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14746500 | PA      | $6049635.13   | 0.41%             | 2036-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R4                         | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R4 M7              | CUSIP: 03072SC86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7500000 | PA      | $5585375.25   | 0.38%             | 2035-07-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-MN1A                            | STRUCTURED ASSET SECURITIES CO SASC 2007 MN1A A4 144A       | CUSIP: 863613AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9810077 | PA      | $6302554.43   | 0.43%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-OSI                             | STRUCTURED ASSET SECURITIES CO SASC 2007 OSI A4             | CUSIP: 863619AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5719765 | PA      | $3844802.90   | 0.26%             | 2037-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2006-OPT1                          | STRUCTURED ASSET SECURITIES CO SASC 2006 OPT1 M1            | CUSIP: 86359UAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20452568 | PA      | $17757533.48  | 1.21%             | 2036-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| STUBHUB (PUG LLC)                                              | PUG LLC USD TERM LOAN                                       | CUSIP: 74530DAC9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  10782751 | PA      | $8976640.51   | 0.61%             | 2027-02-12      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY FINANCE LIMITED                                    | STUDIO CITY FINANCE LTD COMPANY GUAR 144A 01/29 5           | CUSIP: 86389QAG7<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |   7700000 | PA      | $5696036.50   | 0.39%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SUMMER STREET LTD 2005-1A                                      | SUMMER STREET LTD SMSTR 2005 1A A1 144A                     | CUSIP: 86565MAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  49629118 | PA      | $12590956.81  | 0.86%             | 2045-12-06      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| SUNSEEKER ISSUER LLC                                           | SUNSEEKER TERM LOAN                                         | CUSIP: 943ZJCII9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  22100000 | PA      | $21028772.34  | 1.43%             | 2028-10-31      | Fixed         | 5.55%                 | No            |                  3 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                         | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                      | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |  47989680 | PA      | $42110944.37  | 2.87%             | 2027-05-13      | Floating      | 11.58%                | No            |                  2 | On Loan: No      |
| TEAM HEALTH HOLDINGS INC                                       | TEAM HEALTH INC DEL TERM LOAN B                             | CUSIP: 87817JAE8<br>LEI: 549300PVTQ4UDTTMQT11 | Long             | LON              | CORP              | US        |  35459414 | PA      | $30495095.81  | 2.08%             | 2024-02-06      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL                 | TELEMAR NORTE LESTE SA TERM LOAN                            | CUSIP: 938VCRII9<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |   3732274 | PA      | $1306295.81   | 0.09%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL                 | TELEMAR NORTE LESTE SA TERM LOAN 4                          | CUSIP: 938PYRII8<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |   2280772 | PA      | $798270.23    | 0.05%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| TELEPIZZA (FOODCO BONDCO SL)                                   | FOODCO BONDCO SAU SR SECURED REGS 05/26 6.25                | CUSIP: ACI1BNB99<br>LEI: 959800QP38XCGBED7808 | Long             | DBT              | CORP              | ES        |   8681000 | PA      | $4181657.42   | 0.29%             | 2026-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                     | ENVISION HEALTHCARE CORP 2022 2ND LIEN TERM LOAN            | CUSIP: 943TEZII7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  54878702 | PA      | $44908888.27  | 3.06%             | 2028-04-28      | Fixed         | 15.74%                | No            |                  2 | On Loan: No      |
| THARALDSON HOTEL PORTFOLIO TRUST 2018                          | THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL E 144A         | CUSIP: 88327HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5024928 | PA      | $4709730.22   | 0.32%             | 2034-11-11      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                     | ENVISION HEALTHCARE CORPORTION 2022 DELAYED DRAW TERM LOAN  | CUSIP: 945BFLII4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   4415385 | PA      | $4321579.77   | 0.29%             | 2027-04-29      | Floating      | 10.47%                | No            |                  2 | On Loan: No      |
| TIMES SQUARE HOTEL TRUST                                       | TIMES SQUARE HOTEL TRUST PASS THRU CE 144A 08/26 8.528      | CUSIP: 887367AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    455730 | PA      | $450368.89    | 0.03%             | 2026-08-01      | Fixed         | 8.53%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                     | ENVISION HEALTHCARE CORPORTION 2022 TERM LOAN               | CUSIP: 945BFKII6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  24284615 | PA      | $23768688.73  | 1.62%             | 2027-04-29      | Floating      | 12.12%                | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                           | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0    | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  25000000 | PA      | $1861517.50   | 0.13%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                          | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75            | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12976494 | PA      | $12334676.61  | 0.84%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                    | TRINITY SQUARE TRINI 2021 1A F 144A                         | CUSIP: ACI1WK3V2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |  10843000 | PA      | $12513263.03  | 0.85%             | 2059-07-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                    | TRINITY SQUARE TRINI 2021 1A G 144A                         | CUSIP: ACI1WK3C4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   5421000 | PA      | $6273585.03   | 0.43%             | 2059-07-15      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                    | TRINITY SQUARE TRINI 2021 1A H 144A                         | CUSIP: ACI1WK227<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |  10843000 | PA      | $10609312.17  | 0.72%             | 2059-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                    | TRINITY SQUARE TRINI 2021 1A Y 144A                         | CUSIP: ACI1WK2X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     10000 | PA      | $20904333.30  | 1.43%             | 2059-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                    | TRINITY SQUARE TRINI 2021 1A Z 144A                         | CUSIP: ACI1WK1T9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |  10844000 | PA      | $12935388.93  | 0.88%             | 2059-07-15      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| TURKISH AIRLINES 2015-1 CLASS A PASS THROUGH TRUST             | TURKISH AIRLN 15 1 A PTT PASS THRU CE 144A 09/28 4.2        | CUSIP: 10010YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | TR        |    277043 | PA      | $242659.60    | 0.02%             | 2028-09-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                   | UKRAINE GOVERNMENT SR UNSECURED 144A 05/31 6.876            | CUSIP: 90372UAR5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |  10700000 | PA      | $2143370.50   | 0.15%             | 2031-05-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                             | TREASURY BILL 01/23 0.00000                                 | CUSIP: 912796ZM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    294000 | PA      | $293100.20    | 0.02%             | 2023-01-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                             | TREASURY BILL 02/23 0.00000                                 | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2784000 | PA      | $2775178.60   | 0.19%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                             | TREASURY BILL 02/23 0.00000                                 | CUSIP: 912796YA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1688000 | PA      | $1679616.03   | 0.11%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                             | TREASURY BILL 03/23 0.00000                                 | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    640000 | PA      | $634050.25    | 0.04%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                             | TREASURY BILL 03/23 0.00000                                 | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10247000 | PA      | $10177102.76  | 0.69%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC    | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6           | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  21202000 | PA      | $13443747.20  | 0.92%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC    | UNITI GRP/UNITI HLD/CSL SR SECURED 144A 02/25 7.875         | CUSIP: 91327AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  19000000 | PA      | $18432337.00  | 1.26%             | 2025-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC     | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 02/29 6.5         | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  26904000 | PA      | $17874210.48  | 1.22%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UPFIELD BV (AKA: FLORA FOOD GROUP, SIGMA BIDCO BV)             | SIGMA BIDCO B.V. 2018 GBP TERM LOAN B                       | CUSIP: 963RMBII0<br>LEI: 2549002VGA888UKFKS25 | Long             | LON              | CORP              | NL        |  20000000 | PA      | $19938972.20  | 1.36%             | 2025-07-02      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| UPFIELD BV (AKA: FLORA FOOD GROUP, SIGMA BIDCO BV)             | SIGMA BIDCO B.V. 2018 PLN TERM LOAN B                       | CUSIP: 933XDYII4<br>LEI: 2549002VGA888UKFKS25 | Long             | LON              | CORP              | NL        |  31053750 | PA      | $5448679.13   | 0.37%             | 2025-07-02      | Floating      | 10.87%                | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                              | U.S. RENAL CARE, INC. 2019 TERM LOAN B                      | CUSIP: 90290PAN4<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |  26335724 | PA      | $14863224.05  | 1.01%             | 2026-06-26      | Floating      | 9.44%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                              | US RENAL CARE INC 2021 TERM LOAN B                          | CUSIP: 90290PAQ7<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |   2198866 | PA      | $1240985.28   | 0.08%             | 2026-06-26      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                              | US RENAL CARE INC SR UNSECURED 144A 07/27 10.625            | CUSIP: 07335BAA4<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |  20402000 | PA      | $4488440.00   | 0.31%             | 2027-07-15      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| VALE SA                                                        | VALE SA SUBORDINATED 12/49 VAR                              | CUSIP: B011X9II2<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        | 340000000 | PA      | $24551351.86  | 1.67%             | 2049-12-29      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                           | VASA TRUST VASA 2021 VASA E 144A                            | CUSIP: 92230AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8975987.00   | 0.61%             | 2039-07-15      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                           | VASA TRUST VASA 2021 VASA F 144A                            | CUSIP: 92230AAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6250978.30   | 0.43%             | 2039-07-15      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                | VERAISON RE LTD UNSECURED 144A 03/31 VAR                    | CUSIP: 92335TAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1600000 | PA      | $1605200.00   | 0.11%             | 2031-03-10      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| VERITAS US INC                                                 | VERITAS US INC 2021 TERM LOAN B                             | CUSIP: G9341JAN0<br>LEI: 549300RFUWCPWS8FQ104 | Long             | LON              | CORP              | US        |   8245992 | PA      | $5859066.24   | 0.40%             | 2025-09-01      | Floating      | 9.73%                 | No            |                  2 | On Loan: No      |
| VERITAS US INC / VERITAS BERMUDA LTD                           | VERITAS US INC/BERMUDA L SR SECURED 144A 09/25 7.5          | CUSIP: 92346LAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  22099000 | PA      | $15267509.61  | 1.04%             | 2025-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-R1                             | VERUS SECURITIZATION TRUST VERUS 2021 R1 B1 144A            | CUSIP: 92538BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1371382.38   | 0.09%             | 2063-10-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| VIAD CORP                                                      | VIAD CORP INITIAL TERM LOAN                                 | CUSIP: 92553BAL7<br>LEI: 549300PXU4ZW7LPO5Y40 | Long             | LON              | CORP              | US        |   6122500 | PA      | $5806823.90   | 0.40%             | 2028-07-30      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                          | VICI PROPERTIES / NOTE COMPANY GUAR 144A 01/28 4.5          | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $184634.40    | 0.01%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VIKING OCEAN CRUISES SHIP VII LTD                              | VIKING OCEAN CRUISES SHI SR SECURED 144A 02/29 5.625        | CUSIP: 92682RAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |  14500000 | PA      | $11691350.00  | 0.80%             | 2029-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                  | VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5             | CUSIP: 92918XAA3<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | DBT              | CORP              | US        |  49287000 | PA      | $39121556.25  | 2.67%             | 2026-05-09      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| WAIKIKI BEACH HOTEL TRUST 2019-WBM                             | WAIKIKI BEACH HOTEL TRUST WBHT 2019 WBM D 144A              | CUSIP: 93065PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2832475.50   | 0.19%             | 2033-12-15      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| WAIKIKI BEACH HOTEL TRUST 2019-WBM                             | WAIKIKI BEACH HOTEL TRUST WBHT 2019 WBM E 144A              | CUSIP: 93065PAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4587818.50   | 0.31%             | 2033-12-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 B1            | CUSIP: 92925CBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11295081 | PA      | $9502049.90   | 0.65%             | 2045-12-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| CAYENNE AVIATION LLC                                           | VOYAGER AVIATION HLD PFD VOYAGER AVIATION 92918X9A5         | CUSIP: 942UCF900<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     41160 | NS      | $11046514.42  | 0.75%             |  |  |  | No            |                  3 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                     | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 1A             | CUSIP: 92927BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2275350 | PA      | $1823205.16   | 0.12%             | 2047-07-25      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W5                                  | ARGENT SECURITIES INC. ARSI 2005 W5 M1                      | CUSIP: 040104QQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16357622 | PA      | $13032626.38  | 0.89%             | 2036-01-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR15                           | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR15 A1           | CUSIP: 94985AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266822 | PA      | $244173.18    | 0.02%             | 2036-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| WESCO AIRCRAFT HOLDINGS INC                                    | WESCO AIRCRAFT HOLDINGS SR SECURED 144A 11/26 10.5          | CUSIP: 950814AA1<br>LEI: 529900P5VTXZS191P208 | Long             | DBT              | CORP              | US        |  82694324 | PA      | $76285513.89  | 5.20%             | 2026-11-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES II LLC                                     | WINDSTREAM SERVICES LLC 2022 INCREMENTAL TERM LOAN          | CUSIP: 948CQMII5<br>LEI: 549300KT9GVEBYCD2N29 | Long             | LON              | CORP              | US        |  16810000 | PA      | $16036928.61  | 1.09%             | 2027-02-28      | Floating      | 8.42%                 | No            |                  3 | On Loan: No      |
| WINDSTREAM SERVICES LLC (AKA: WINDSTREAM CORP)                 | WINDSTREAM ESCROW LLC SR SECURED 144A 08/28 7.75            | CUSIP: 97382WAA1<br>LEI: 549300L3SXBFJVGRCF66 | Long             | DBT              | CORP              | US        |  51680000 | PA      | $42232393.15  | 2.88%             | 2028-08-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                             | WYNN MACAU LTD SR UNSECURED 144A 01/26 5.5                  | CUSIP: 98313RAG1<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |   1800000 | PA      | $1654056.00   | 0.11%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                             | WYNN MACAU LTD SR UNSECURED 144A 10/24 4.875                | CUSIP: 98313RAC0<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    500000 | PA      | $472858.91    | 0.03%             | 2024-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                             | WYNN MACAU LTD SR UNSECURED 144A 10/27 5.5                  | CUSIP: 98313RAD8<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    600000 | PA      | $525402.00    | 0.04%             | 2027-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                           | AP CORE HOLDINGS II LLC AMORTIZATION TERM LOAN B1           | CUSIP: 00187GAC3<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |   7845741 | PA      | $7133740.33   | 0.49%             | 2027-09-01      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                           | AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B2             | CUSIP: 00187GAD1<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |   5900000 | PA      | $5337671.00   | 0.36%             | 2027-09-01      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -1204673 | PA      | $-1290407.10  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -5640261 | PA      | $-6047745.80  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -902115 | PA      | $-968879.73   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -679454 | PA      | $-729073.32   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        | -19759709 | PA      | $-21201280.78 | -1.45%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -6610220 | PA      | $-7092883.40  | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | MERRILL LYNCH REVERSE REPO EUR ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -427629 | PA      | $-458713.92   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | MERRILL LYNCH REVERSE REPO GBP ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -8708957 | PA      | $-10584092.78 | -0.72%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        | -14490780 | PA      | $-15536975.61 | -1.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -2677992 | PA      | $-2877766.67  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -1701847 | PA      | $-1826269.38  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -1488065 | PA      | $-1592041.58  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5599746 | PA      | $-5620160.93  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BANK OF MONTREAL REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -14076393 | PA      | $-14259385.69 | -0.97%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -69652068 | PA      | $-70813419.49 | -4.83%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -42517629 | PA      | $-42561446.12 | -2.90%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -10112232 | PA      | $-10269617.24 | -0.70%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -21875760 | PA      | $-22114934.98 | -1.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -29559020 | PA      | $-29856613.65 | -2.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -27182821 | PA      | $-27642495.27 | -1.89%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6478241 | PA      | $-6529937.37  | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -23285750 | PA      | $-23473316.72 | -1.60%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5994412 | PA      | $-6089055.85  | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8810068 | PA      | $-8895623.55  | -0.61%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5327360 | PA      | $-5408261.88  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -47011985 | PA      | $-47737000.11 | -3.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1522722 | PA      | $-1543360.81  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4639511 | PA      | $-4700241.97  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5568000 | PA      | $-5587945.81  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4530362 | PA      | $-4546918.46  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -19222192 | PA      | $-19278109.65 | -1.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -14107389 | PA      | $-14148780.31 | -0.97%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -55138958 | PA      | $-55909479.48 | -3.81%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -728571 | PA      | $-730301.35   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -13732481 | PA      | $-13765095.64 | -0.94%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -18168625 | PA      | $-18307413.11 | -1.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -26812149 | PA      | $-26812149.18 | -1.83%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -23661864 | PA      | $-23661863.69 | -1.61%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6081647 | PA      | $-6164076.97  | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -31154936 | PA      | $-31266498.33 | -2.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5145742 | PA      | $-5172666.77  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -18028540 | PA      | $-18166758.53 | -1.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5964998 | PA      | $-6025090.31  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -28991036 | PA      | $-29267682.71 | -2.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5577468 | PA      | $-5602858.25  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -15717226 | PA      | $-15838897.57 | -1.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -7082179 | PA      | $-7134267.98  | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -17827541 | PA      | $-18006430.17 | -1.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6566313 | PA      | $-6618679.80  | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -10235916 | PA      | $-10295881.41 | -0.70%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -19475000 | PA      | $-19612363.67 | -1.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -40724939 | PA      | $-41012185.58 | -2.80%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO TORONTO DOMINIO                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -901213 | PA      | $-903226.98   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        | -12868746 | PA      | $-13785379.29 | -0.94%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -1063236 | PA      | $-1140871.11  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -2378222 | PA      | $-2550580.24  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -4675589 | PA      | $-5014954.47  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -41227342 | PA      | $-41479763.49 | -2.83%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -11843200 | PA      | $-11997260.19 | -0.82%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -17085632 | PA      | $-17228050.23 | -1.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WOOD GUNDY REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -250082 | PA      | $-252574.88   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -44507370 | PA      | $-44507370.14 | -3.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3460552 | PA      | $-3504244.07  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -528510 | PA      | $-529738.79   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -16382217 | PA      | $-16549315.61 | -1.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5789070 | PA      | $-5814642.29  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -14229000 | PA      | $-14370380.93 | -0.98%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -813252 | PA      | $-821209.22   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3536303 | PA      | $-3568669.42  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -22930906 | PA      | $-23225491.96 | -1.58%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1844045 | PA      | $-1862017.84  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -641794 | PA      | $-644231.85   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -12003134 | PA      | $-12036392.68 | -0.82%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -9157103 | PA      | $-9157102.79  | -0.62%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -9780089 | PA      | $-9780088.67  | -0.67%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1904115 | PA      | $-1919258.29  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -21734874 | PA      | $-21914228.97 | -1.50%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3230773 | PA      | $-3230773.35  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5335053 | PA      | $-5348990.43  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -14102558 | PA      | $-14233853.18 | -0.97%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4832066 | PA      | $-4863924.48  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3000000 | PA      | $-3023023.96  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -10815589 | PA      | $-10896865.31 | -0.74%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -7432800 | PA      | $-7527320.44  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -11236594 | PA      | $-11384401.93 | -0.78%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2050180 | PA      | $-2069617.82  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -10656282 | PA      | $-10756744.10 | -0.73%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | HSBC REPO                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  64600000 | PA      | $64600000.00  | 4.41%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -16027310 | PA      | $-16051350.96 | -1.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5277285 | PA      | $-5284541.27  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -684941 | PA      | $-685540.57   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -887094 | PA      | $-892708.43   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -995733 | PA      | $-1003447.99  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4920545 | PA      | $-4963244.06  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4241689 | PA      | $-4276680.78  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -10505218 | PA      | $-10567548.95 | -0.72%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3764795 | PA      | $-3819610.74  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -19920692 | PA      | $-20201131.04 | -1.38%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -904591 | PA      | $-916558.14   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -7964336 | PA      | $-8070460.43  | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3226901 | PA      | $-3269370.59  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6904017 | PA      | $-6976567.12  | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1515425 | PA      | $-1524130.33  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -33703334 | PA      | $-33917537.47 | -2.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -704479 | PA      | $-708952.54   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1439129 | PA      | $-1444461.34  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -538656 | PA      | $-542920.08   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3120519 | PA      | $-3145123.85  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -684388 | PA      | $-688855.53   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8197875 | PA      | $-8255487.84  | -0.56%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1261530 | PA      | $-1269335.13  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -567689 | PA      | $-571314.35   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4052507 | PA      | $-4084825.30  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -40081822 | PA      | $-40710304.47 | -2.78%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -14551574 | PA      | $-14732094.19 | -1.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -10831961 | PA      | $-10957882.80 | -0.75%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BANCA MONTE DEI PASCHI DI  SNR SE SP BYL                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | IT        |         1 | NC      | $-4559.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT EUR SOLD USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $8278.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT EUR SOLD USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $23148.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR                | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   5233000 | PA      | $1500562.75   | 0.10%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT ZAR SOLD USD 20230109                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $2568.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT ZAR SOLD USD 20230109                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $5976.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT ZAR SOLD USD 20230217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $78910.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT ZAR SOLD USD 20230313                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $66605.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD CAD BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $136364.32    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD CHF BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-19316.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-949215.51   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-103214.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-42948.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-7070.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD GBP BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-2303242.61  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD GBP BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-26373.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT ZAR SOLD USD 20230213                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-13824.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD CHF BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-6591.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD GBP BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-301.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD ZAR BOUGHT USD 20230109                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-5823.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD ZAR BOUGHT USD 20230213                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-34662.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT EUR SOLD USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $7712.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT PEN SOLD USD 20230315                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $345039.14    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-2170840.17  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD IDR BOUGHT USD 20230223                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-6560.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD MXN BOUGHT USD 20230321                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-60701.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $7018.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $4165.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                            | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF D 144A             | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2305914.00   | 0.16%             | 2035-04-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                            | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF E 144A             | CUSIP: 04410RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8700000 | PA      | $7982304.81   | 0.54%             | 2035-04-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT BRL SOLD USD 20230104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-131704.69   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT BRL SOLD USD 20230202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-163543.03   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT EUR SOLD USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $934.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT IDR SOLD USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $6576.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT MXN SOLD USD 20230509                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $167585.46    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT PEN SOLD USD 20230125                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $188907.51    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT PEN SOLD USD 20230427                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $66395.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD BRL BOUGHT USD 20230104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $180567.65    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD BRL BOUGHT USD 20230202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-299584.01   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-3545.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD GBP BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $8702.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD MXN BOUGHT USD 20230321                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $65271.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD PEN BOUGHT USD 20230410                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-1089463.01  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2007-HE2                         | ASSET BACKED SECURITIES CORP H ABSHE 2007 HE2 A4            | CUSIP: 04544TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8668810 | PA      | $6044887.09   | 0.41%             | 2037-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| ATLANTIC AVIATION (AKA: KKR APPLE BIDCO LLC)                   | KKR APPLE BIDCO, LLC 2021 2ND LIEN TERM LOAN                | CUSIP: 938PNZII2<br>LEI: 2549001SCJD3WEYJFM53 | Long             | LON              | CORP              | US        |   1700000 | PA      | $1649000.00   | 0.11%             | 2029-09-21      | Floating      | 10.13%                | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                         | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM E 144A          | CUSIP: 04965JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1111000 | PA      | $995365.23    | 0.07%             | 2036-12-15      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2018-ATRM                         | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2018 ATRM E 144A          | CUSIP: 04965KAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11037000 | PA      | $10188656.45  | 0.70%             | 2035-06-15      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | TRS IBOXHY/SOFRINDX 03/20/2023 BOA                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $11394.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTIN FAIRMONT HOTEL TRUST 2019-FAIR                          | AUSTIN FAIRMONT HOTEL TRUST AFHT 2019 FAIR E 144A           | CUSIP: 05223HAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5694663.00   | 0.39%             | 2032-09-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | INTELSAT JACKSON HOLDINGS S A EXP 05DEC25                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |     68143 | NC      | $511072.50    | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                            | INTELSAT JACKSON HOLDINGS S A RIGHTS                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |     68143 | NC      | $459965.25    | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                            | JAGUAR LAND ROVER AUTOMOTIVE  SNR SE ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-127519.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JAGUAR LAND ROVER AUTOMOTIVE  SNR SE ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-1986405.16  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT IDR SOLD USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $11250.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT ZAR SOLD USD 20230118                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $99186.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT ZAR SOLD USD 20230213                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $98449.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-90926.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-46134.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD ZAR BOUGHT USD 20230217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-70363.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD ZAR BOUGHT USD 20230313                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-51309.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD ZAR BOUGHT USD 20230313                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-12656.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  DEC23 XCME 20240319                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -66 | NC      | $308813.10    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  DEC24 XCME 20250318                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -35 | NC      | $100953.41    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  DEC25 XCME 20260317                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -38 | NC      | $102137.95    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  JUN24 XCME 20240917                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -44 | NC      | $154553.35    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  JUN25 XCME 20250916                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -35 | NC      | $95769.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  MAR24 XCME 20240618                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -58 | NC      | $236919.10    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  MAR25 XCME 20250617                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -31 | NC      | $86767.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  MAR26 XCME 20260616                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -36 | NC      | $95641.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  SEP24 XCME 20241217                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -41 | NC      | $126967.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  SEP25 XCME 20251216                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -29 | NC      | $77753.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AGNC INVESTMENT CORP (AMERICAN CAPITAL AGENCY CORP)            | AGNC INVESTMENT CORP REIT USD.01                            | CUSIP: 00123Q104<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EC               | CORP              | US        |   1270500 | NS      | $13149675.00  | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                            | BOUGHT EUR SOLD USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $372433.09    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT EUR SOLD USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $28047.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT EUR SOLD USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $99986.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT ZAR SOLD USD 20230413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $64326.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT ZAR SOLD USD 20230413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $55215.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-313388.69   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD IDR BOUGHT USD 20230223                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-4680.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD ZAR BOUGHT USD 20230118                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-56202.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD ZAR BOUGHT USD 20230919                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-335.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AYRESOME CDO I LTD                                             | AYRESOME CDO LTD AYRES 2005 1A A1B 144A                     | CUSIP: 05473WAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  26004985 | PA      | $8999935.40   | 0.61%             | 2045-12-08      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-09

**Name of Applicant:** PIMCO Dynamic Income Opportunities Fund

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer