# EDGAR Filing Document

**Accession Number:** 0001688897
**File Stem:** 0001752724-23-064273
**Filing Date:** 2023-3
**Character Count:** 503654
**Document Hash:** 5d12a63d8a4162935873de395ec8a340
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-064273.hdr.sgml**: 20230323

**ACCESSION NUMBER**: 0001752724-23-064273

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230323

**DATE AS OF CHANGE**: 20230323

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FS Credit Income Fund
- **CENTRAL INDEX KEY:** 0001688897
- **IRS NUMBER:** 814285943
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23221
- **FILM NUMBER:** 23754785

**BUSINESS ADDRESS:**
- **STREET 1:** 201 ROUSE BOULEVARD
- **CITY:** PHILADELPHIA
- **STATE:** PA
- **ZIP:** 19112
- **BUSINESS PHONE:** 215-495-1150

**MAIL ADDRESS:**
- **STREET 1:** 201 ROUSE BOULEVARD
- **CITY:** PHILADELPHIA
- **STATE:** PA
- **ZIP:** 19112

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FS Diversified Income Fund
- **DATE OF NAME CHANGE:** 20161031

## Nport-Ex

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| **Senior Secured Loans—First Lien—27.2%** |  |  |  |  |
| ACProducts, Inc., L+425, 0.5% Floor, 5/17/28 (d) | Building Materials | $2887 | $2746 | $2350 |
| Advantage Sales & Marketing, Inc., L+450, 0.8% Floor, 10/28/27 (d) | Advertising | 77 | 62 | 65 |
| AHP Health Partners, Inc., L+350, 0.5% Floor, 8/24/28 (d) | Healthcare-Services | 1034 | 1029 | 1027 |
| American Tire Distributors Holdings, Inc., L+625,<br> 0.8% Floor, 10/20/28 (d) | Distribution/<br> Wholesale | 1149 | 1103 | 1064 |
| AP Core Holdings II, LLC, L+550, 0.8% Floor, 9/1/27 (d) | Media Entertainment | 2586 | 2554 | 2504 |
| AssuredPartners, Inc., L+350, 2/12/27 (d) (e) | Insurance | 1328 | 1287 | 1316 |
| Avalara, Inc., S+725, 0.8% Floor, 10/19/28 (d) (f) | Software | 4653 | 4541 | 4546 |
| Avalara, Inc., S+725, 0.8% Floor, 10/19/28 (d) (f) (g) | Software | 465 | 454 | 455 |
| Bausch & Lomb, Inc., S+325, 0.5% Floor, 5/10/27 (d) | Healthcare-Services | 4062 | 3828 | 3962 |
| Bausch Health Companies, Inc., S+525, 0.5% Floor, 2/1/27 (d) (e) | Pharmaceuticals | 3088 | 2470 | 2390 |
| Charlotte Buyer, Inc., S+525, 0.5% Floor, 2/11/28 (d) | Healthcare-Services | 3090 | 2888 | 3023 |
| Clydesdale Acquisition Holdings, Inc., S+418, 0.5% Floor, 4/13/29 (d) | Packaging & Containers | 1627 | 1590 | 1601 |
| Covetrus, Inc., S+500, 0.5% Floor, 10/13/29 (d) | Pharmaceuticals | 1998 | 1884 | 1914 |
| Digicel International Finance Limited, L+325, 5/28/24 (d) | Telecommunications | 3253 | 3058 | 2766 |
| DirecTV Financing LLC, L+500, 0.8% Floor, 8/2/27 (d) | Media Entertainment | 1167 | 1139 | 1150 |
| Discovery Purchaser Corp., S+438, 0.5% Floor, 10/4/29 (d) | Finance Companies | 1934 | 1787 | 1856 |
| East Valley Tourist Development Authority, L+750, 1.0% Floor, 11/23/26 (d) (f) | Media Entertainment | 6107 | 6025 | 5899 |
| Endo Luxembourg Finance Company I S.a r.l., P+600, 3/27/28 (d) | Pharmaceuticals | 1853 | 1567 | 1508 |
| Endure Digital, Inc., L+325, 0.8% Floor, 2/10/26 (d) (g) | Internet | 31 | 31 | 26 |
| Endure Digital, Inc., L+325, 0.8% Floor, 2/10/26 (d) | Internet | 1029 | 889 | 880 |
| Endure Digital, Inc., L+350, 0.8% Floor, 2/10/28 (d) | Internet | 1363 | 1206 | 1290 |
| Gordian Medical, Inc., L+625, 0.8% Floor, 1/31/27 (d) | Healthcare-Services | 789 | 777 | 572 |
| GoTo Group, Inc., L+475, 8/31/27 (d) | Telecommunications | 263 | 257 | 147 |
| Hanger, Inc., S+625, 1.0% Floor, 10/3/28 (d) (f) | Healthcare-Services | 3065 | 2993 | 2988 |
| Hexion Holdings Corp., S+450, 0.5% Floor, 3/15/29 (d) | Chemicals | 3771 | 3639 | 3417 |
| Houghton Mifflin Harcourt Publishing Co., S+525, 0.5% Floor, 4/9/29 (d) | Media <br> Entertainment | 6331 | 6159 | 5789 |
| Jack Ohio Finance LLC, L+475, 0.8% Floor, 10/4/28 (d) | Lodging | 1292 | 1288 | 1284 |
| LBM Acquisition, LLC, L+375, 0.8% Floor, 12/17/27 (d) (e) | Retail | 2514 | 2261 | 2280 |
| LHS Borrower, LLC, S+475, 0.5% Floor, <br> 2/16/29 (d) | Diversified Financial Services | 2344 | 2041 | 1984 |
| Lightstone Holdco, LLC, S+575, 1.0% Floor, 1/29/27 (d) (e) | Electric | 4254 | 3680 | 3790 |
| LSF11 Skyscraper Holdco S.a r.l., E+700, 3.5% PIK, 9/29/28 (d) | Leisure Time | 428 | 480 | 465 |
| Magenta Buyer LLC, L+475, 0.8% Floor, 7/27/28 (d) | Computers | $2581 | 2415 | 2272 |
| Magenta Buyer LLC, L+120, 7/27/28 (d) | Computers | 2120 | 1910 | 1985 |
| Mattress Firm, Inc., L+425, 0.8% Floor, 9/25/28 (d) | Home Furnishings | 1821 | 1804 | 1685 |
| Mercury Financial Credit Card Master Trust, L+713, <br> 9/30/23 (d) (g) | Diversified Financial Services | 3142 | 3142 | 3047 |
| Mercury Financial Credit Card Master Trust, L+713, <br> 9/30/23 (d) | Diversified Financial Services | 2140 | 2140 | 2076 |
| NCL Corp. Ltd., L+175, 1/2/24 (d) | Leisure Time | 2289 | 2219 | 2186 |
| NCL Corp. Ltd., L+200, 1/2/24 (d) | Leisure Time | 3268 | 3216 | 3153 |
| Neptune Bidco US Inc, S+500, 0.5% Floor, 4/11/29 (d) | Commercial Services | 2320 | 2066 | 2129 |
| OLA Netherlands B.V., S+625, 0.8% Floor, 12/15/26 (d) | Transportation | 452 | 445 | 439 |
| Pacira BioSciences, Inc., S+700, 0.8% Floor, 12/7/26 (d) | Pharmaceuticals | 578 | 564 | 575 |
| PMHC II, Inc., S+425, 4/23/29 (d) | Chemicals | 3418 | 3210 | 3009 |
| Premium Apparel LLC, S+800, 1.0% Floor, 9/1/27 (d) (f) | Retail | 4641 | 4511 | 4511 |
| Profrac Services, LLC, S+725, 1.0% Floor, 3/4/25 (d) (e) | Oil & Gas | 6158 | 6035 | 6374 |
| Quorum Health Corp., L+800, 1.0% Floor, 4/29/25 (d) | Healthcare-Services | 986 | 978 | 698 |
| Restoration Hardware, Inc., S+325, 0.5% Floor, 10/20/28 (d) | Retail | 1102 | 1024 | 1078 |
| Riverbed Technology, Inc., L+600, 2.0% PIK, 12/7/26 (d) | Software | 518 | 510 | 229 |
| Royal Caribbean Cruises Ltd., L+130, 4/5/24 (d) (e) (g) | Leisure Time | 114 | 114 | 109 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| Royal Caribbean Cruises Ltd., L+130, 4/5/24 (d) | Leisure Time | $9306 | $8715 | $8899 |
| Speed Midco 3 S.a r.l., E+700, 4/26/29 (d) (f) | Services | 3920 | 4141 | 4198 |
| Spirit RR Holdings, Inc., S+650, 0.8% Floor, 9/13/28 (d) (f) (g) | Computers | $169 | 164 | 164 |
| Spirit RR Holdings, Inc., S+650, 0.8% Floor, 9/13/28 (d) (f) | Computers | 2051 | 1993 | 2000 |
| Springs Windows Fashions, LLC, L+400, 0.8% Floor, 10/6/28 (d) | Housewares | 2367 | 2194 | 2031 |
| SVF II Finco Cayman L.P., (fixed, converts to FRN on 12/22/23), 12/22/23 (d) (f) | Diversified Financial Services | 3685 | 3689 | 3608 |
| Talen Energy Supply, LLC, S+475, 0.8% Floor, 11/10/23 (d) | Electric | 2120 | 2093 | 2145 |
| Talen Energy Supply, LLC, 9/30/24 (d) (e) | Electric | 2210 | 2681 | 2670 |
| Thryv, Inc., L+850, 1.0% Floor, 3/1/26 (d) | Advertising | 9841 | 9681 | 9779 |
| Tibco Software, Inc., S+450, 0.5% Floor, 3/30/29 (d) | Software | 1570 | 1433 | 1453 |
| Torrid LLC, L+550, 0.8% Floor, 6/14/28 (d) | Retail | 2602 | 2583 | 2109 |
| US Radiology Specialists, Inc., L+525, 0.5% Floor, 12/15/27 (d) | Healthcare-Services | 703 | 692 | 673 |
| W.R. Grace Holdings LLC, L+375, 0.5% Floor, 9/22/28 (d) | Chemicals | 1457 | 1441 | 1453 |
| **Total Senior Secured Loans—First Lien** |  |  | 143516 | 141045 |
| Unfunded Loan Commitments |  |  | (3905) | (3905) |
| **Total Senior Secured Loans—First Lien** |  |  | 139611 | 137140 |
| **Senior Secured Loans—Second Lien—2.6%** |  |  |  |  |
| Charlotte Buyer, Inc., S+825, 0.5% Floor, 8/11/28 (d) | Healthcare-Services | 6400 | 5976 | 6112 |
| Hexion Holdings Corp., S+744, 0.5% Floor, 3/15/30 (d) | Chemicals | 2490 | 2427 | 2079 |
| Magenta Buyer LLC, L+825, 0.8% Floor, 7/27/29 (d) | Computers | 1110 | 1099 | 892 |
| Neptune Bidco US, Inc., S+975, 0.8% Floor, 10/11/29 (d) (f) | Media Entertainment | 1073 | 1041 | 1038 |
| Omni Intermediate Holdings, LLC, L+900, 1.0% Floor, 12/30/27 (d) (f) | Transportation Services | 1711 | 1664 | 1663 |
| Optiv Security, Inc., L+725, 1.0% Floor, 1/31/25 (d) | Computers | 400 | 394 | 369 |
| Verscend Holding Corp., L+700, 0.5% Floor, 4/2/29 (d) | Commercial Services | 1030 | 1013 | 1025 |
| **Total Senior Secured Loans—Second Lien** |  |  | 13614 | 13178 |
| **Senior Secured Bonds—14.6%** |  |  |  |  |
| Academy Ltd., 6.0%, 11/15/27 (h) (i) | Retail | 1988 | 1820 | 1936 |
| Advantage Sales & Marketing, Inc., 6.5%, 11/15/28 (h) (j) | Advertising | 2968 | 2748 | 2260 |
| Altice France SA, 3.4%, 1/15/28 (j) | Telecommunications | 560 | 448 | 479 |
| Altice France SA, 4.1%, 1/15/29 (j) | Telecommunications | 832 | 662 | 713 |
| Altice France SA, 4.3%, 10/15/29 (j) | Telecommunications | 399 | 321 | 336 |
| Altice France SA, 5.1%, 1/15/29 (h) (j) | Telecommunications | $573 | 453 | 450 |
| Altice France SA, 5.1%, 7/15/29 (h) (j) | Telecommunications | 566 | 444 | 445 |
| Altice France SA, 5.5%, 1/15/28 (h) (j) | Telecommunications | 451 | 372 | 375 |
| Altice France SA, 5.5%, 10/15/29 (h) (j) | Telecommunications | 466 | 357 | 369 |
| Bausch Health Companies, Inc., 5.8%, 8/15/27 (h) (j) | Pharmaceuticals | 472 | 347 | 320 |
| Bausch Health Companies, Inc., 6.1%, 2/1/27 (h) (j) | Pharmaceuticals | 3061 | 2220 | 2093 |
| Bausch Health Companies, Inc., 11.0%, 9/30/28 (h) (j) | Pharmaceuticals | 1282 | 2066 | 1010 |
| Bausch Health Companies, Inc., 14.0%, 10/15/30 (h) | Pharmaceuticals | 125 | 214 | 79 |
| Carnival Corp., 10.5%, 2/1/26 (h) (j) | Leisure Time | 1410 | 1472 | 1477 |
| Charter Communications Operating LLC / <br> Charter Communications Operating Capital, 3.9%, 4/1/61 (j) | Media Entertainment | 485 | 283 | 308 |
| Charter Communications Operating LLC / <br> Charter Communications Operating Capital, 4.4%, 12/1/61 (j) | Media Entertainment | 381 | 244 | 268 |
| Charter Communications Operating LLC / <br> Charter Communications Operating Capital, 5.4%, 5/1/47 (j) | Media Entertainment | 705 | 547 | 603 |
| Charter Communications Operating LLC / <br> Charter Communications Operating Capital, 5.5%, 4/1/63 (j) | Media Entertainment | 1562 | 1188 | 1308 |
| Charter Communications Operating LLC / <br> Charter Communications Operating Capital, 5.8%, 4/1/48 (j) | Media Entertainment | 302 | 250 | 269 |
| Charter Communications Operating LLC / <br> Charter Communications Operating Capital, 6.5%, 10/23/45 (j) | Media Entertainment | 181 | 162 | 178 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| CHS/Community Health Systems, Inc., 4.8%, 2/15/31 (h) (j) | Healthcare-Services | $755 | $605 | $579 |
| CHS/Community Health Systems, Inc., 5.3%, 5/15/30 (h) (j) | Healthcare-Services | 1128 | 898 | 912 |
| Coronado Finance Proprietary Ltd., 10.8%, 5/15/26 (h) | Coal | 482 | 424 | 498 |
| Digicel International Finance Ltd./Digicel International <br> Holdings Ltd., 8.8%, 5/25/24 (h) (j) | Telecommunications | 3168 | 3169 | 2729 |
| Directv Financing LLC / Directv Financing Co-Obligor, Inc., <br> 5.9%, 8/15/27 (h) (j) | Media Entertainment | 3227 | 2877 | 2928 |
| DISH DBS Corp., 5.3%, 12/1/26 (h) (j) | Media Entertainment | 2433 | 2061 | 2102 |
| DISH DBS Corp., 5.8%, 12/1/28 (h) (j) | Media Entertainment | 3753 | 3462 | 3078 |
| Eagle Intermediate Global Holding BV/Eagle US Finance LLC, 7.5%, 5/1/25 (h) (j) | Textiles | 1339 | 1284 | 845 |
| EC Finance Plc, 3.0%, 10/15/26 (j) | Commercial Services | 882 | 819 | 874 |
| Endo Luxembourg Finance Co. I S.a.r.l. / Endo US, Inc., <br> 6.1%, 4/1/29 (h) (j) (k) | Pharmaceuticals | $3440 | 3346 | 2704 |
| Frontier Communications Holdings LLC, 5.0%, 5/1/28 (h) (j) | Telecommunications | 378 | 326 | 344 |
| Frontier Communications Holdings LLC, 6.8%, 5/1/29 (h) (j) | Telecommunications | 1763 | 1699 | 1514 |
| Frontier Communications Holdings LLC, 8.8%, 5/15/30 (h) (j) | Telecommunications | 2326 | 2347 | 2414 |
| Frontier Southwest, Inc., 8.5%, 11/15/31 (j) | Telecommunications | 308 | 315 | 310 |
| Gamma Bondco Sarl, PIK, 8.1%, 11/15/26 (j) | Entertainment | 575 | 665 | 600 |
| IMA Industria Macchine Automatiche SpA, 3.8%, 1/15/28 (j) | Hand/Machine Tools | 2410 | 2234 | 2304 |
| Jerrold Finco Plc, 4.9%, 1/15/26 (j) | Diversified Financial Services | £831 | 924 | 903 |
| Jerrold Finco Plc, 5.3%, 1/15/27<br> (j) | Diversified Financial Services | 1170 | 1540 | 1232 |
| LCPR Senior Secured Financing DAC, 5.1%, 7/15/29 (h) (j) | Media Entertainment | $1681 | 1375 | 1481 |
| Lottomatica SpA, 9.8%, 9/30/27 (h) | Entertainment | 465 | 465 | 537 |
| NFP Corp., 4.9%, 8/15/28 (h) (j) | Diversified Financial Services | $1171 | 1030 | 1024 |
| NMG Holding Co., Inc. / Neiman Marcus Group LLC, <br> 7.1%, 4/1/26 (h) (i) (j) | Retail | 5338 | 5240 | 5105 |
| Par Pharmaceutical, Inc., 7.5%, 4/1/27 (h) (j) (k) | Pharmaceuticals | 1377 | 1443 | 1079 |
| QVC, Inc., 4.4%, 9/1/28 (j) | Retail | 808 | 584 | 522 |
| QVC, Inc., 5.5%, 8/15/34 (j) | Retail | 622 | 381 | 366 |
| Shelf Drilling Holdings Ltd., 8.9%, 11/15/24 (h) (j) | Oil & Gas | 4537 | 4476 | 4554 |
| Shelf Drilling North Sea Holdings Ltd., 10.3%, 10/31/25 (h) | Oil & Gas | 915 | 890 | 916 |
| Solocal Group, Series 8Y, 9.0%, 3/15/25 (E+7.0%) (j) (l) | Internet | 421 | 382 | 401 |
| Solocal Group, 9.0%, 3/15/25 (E+7.0%) (j) (l) | Internet | 109 | 121 | 96 |
| Talen Energy Supply LLC, 6.6%, 1/15/28 (h) (k) (m) | Electric | $1325 | 1263 | 1357 |
| Talen Energy Supply LLC, 7.3%, 5/15/27 (h) (k) (m) | Electric | 59 | 60 | 62 |
| Tenet Healthcare Corp., 6.3%, 2/1/27 (e) (j) | Healthcare-Services | 1629 | 1568 | 1599 |
| Valaris, Ltd., PIK, 8.3%, 4/30/28 (h) | Oil & Gas | 3 | 3 | 3 |
| Valaris, Ltd., Series 1145, PIK, 8.3%, 4/30/28 (j) | Oil & Gas | 4064 | 3966 | 4117 |
| Vantage Drilling Intl, 9.3%, 11/15/23 (h) (j) | Oil & Gas | 1195 | 1183 | 1180 |
| Verisure Holding AB, 3.3%, 2/15/27 (j) | Commercial Services | 914 | 828 | 881 |
| Vmed O2 UK Financing I Plc, 3.3%, 1/31/31 (j) | Telecommunications | 2364 | 2648 | 2103 |
| VOC Escrow Ltd., 5.0%, 2/15/28 (h) (i) (j) | Leisure Time | $3701 | 3143 | 3260 |
| VZ Secured Financing B.V., 5.0%, 1/15/32 (h) (j) | Media Entertainment | 1045 | 928 | 896 |
| **Total Senior Secured Bonds** |  |  | 77590 | 73685 |
| **Unsecured Bonds—39.7%** |  |  |  |  |
| Accor SA, 2.4%, 11/29/28 (j) | Lodging | 2300 | 1918 | 2200 |
| AdaptHealth LLC, 5.1%, 3/1/30 (h) (j) | Pharmaceuticals | $1305 | 1323 | 1163 |
| Advisor Group Holdings, Inc., 10.8%, <br> 8/1/27 (h) (j) | Diversified Financial Services | 1206 | 1314 | 1246 |
| Ahead DB Holdings LLC, 6.6%, 5/1/28 (h) (j) | Computers | 890 | 869 | 753 |
| AHP Health Partners, Inc., 5.8%, 7/15/29 (h) (j) | Healthcare-Services | 2611 | 2416 | 2151 |
| Albertsons Companies, Inc. / Safeway, Inc. / <br> New Albertsons LP / Albertsons LLC, 4.6%, 1/15/27 (h) (j) | Food | 1637 | 1590 | 1554 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| Albertsons Companies, Inc. / Safeway, Inc. / <br> New Albertsons LP / Albertsons LLC, 5.9%, 2/15/28 (h) (j) | Food | $596 | $555 | $583 |
| American Greetings Corp., 8.8%, 4/15/25 (h) (j) | Housewares | 3448 | 3375 | 3418 |
| Antero Resources Corp., 5.4%, 3/1/30 (h) | Oil & Gas | 1192 | 1170 | 1113 |
| Antero Resources Corp., 7.6%, 2/1/29 (h) | Oil & Gas | 109 | 119 | 112 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance Plc, 3.0%, 9/1/29 (j) | Packaging & Containers | 988 | 798 | 839 |
| Aretec Escrow Issuer, Inc., 7.5%, 4/1/29 (h) (j) | Diversified Financial Services | $1207 | 1202 | 1073 |
| Avient Corp., 7.1%, 8/1/30 (h) (j) | Chemicals | 913 | 913 | 921 |
| Bank of Ireland Group Plc, 7.5% 5/19/25 (fixed, converts to <br> FRN on 5/19/25) (j) (l) (n) | Banks | 965 | 887 | 1049 |
| Bath & Body Works, Inc., 6.9%, 11/1/35 (j) | Retail | $2192 | 1891 | 2001 |
| BellRing Brands, Inc., 7.0%, 3/15/30 (h) (i) (j) | Pharmaceuticals | 2998 | 2998 | 2980 |
| Blackstone Property Partners Europe Holdings Sarl, 1.6%, 4/20/30 (j) | Real Estate | 1964 | 1560 | 1576 |
| BNP Paribas SA, 4.6%, 2/25/31 (j) (n) | Banks | $1584 | 1209 | 1300 |
| BNP Paribas SA, 9.3% 11/17/27 (fixed, converts to FRN on 11/17/27) (h) (j) (l) (n) | Banks | 774 | 774 | 842 |
| Bombardier, Inc., 6.0%, 2/15/28 (h) (j) | Aerospace/Defense | 740 | 732 | 703 |
| Bombardier, Inc., 7.9%, 4/15/27 (h) (j) | Aerospace/Defense | 327 | 294 | 327 |
| Bracken MidCo1 Plc, PIK, 6.8%, <br> 11/1/27 | Diversified Financial Services | £1116 | 1543 | 1134 |
| Builders FirstSource, Inc., 5.0%, 3/1/30 (h) (j) | Building Materials | $671 | 611 | 627 |
| Builders FirstSource, Inc., 6.4%, 6/15/32 (h) (j) | Building Materials | 3147 | 3006 | 3084 |
| California Resources Corp., 7.1%, 2/1/26 (h) (j) | Oil & Gas | 3684 | 3739 | 3591 |
| Cano Health LLC, 6.3%, 10/1/28 (h) (j) | Healthcare-Services | 898 | 857 | 577 |
| Carnival Corp., 6.0%, 5/1/29 (h) (j) | Leisure Time | 1336 | 1052 | 1057 |
| Carnival Holdings Ltd., 10.4%, 5/1/28 (h) | Leisure Time | 1515 | 1496 | 1638 |
| CCO Holdings LLC / CCO Holdings Capital Corp., 4.3%, 2/1/31 (h) (j) | Media Entertainment | 1142 | 889 | 953 |
| CCO Holdings LLC / CCO Holdings Capital Corp., 4.5%, 8/15/30 (h) (j) | Media Entertainment | 269 | 214 | 230 |
| CCO Holdings LLC / CCO Holdings Capital Corp., 5.4%, 6/1/29 (h) (j) | Media Entertainment | 990 | 1017 | 917 |
| CDI Escrow Issuer, Inc., 5.8%, 4/1/30 (h) (j) | Entertainment | 1315 | 1297 | 1248 |
| Chart Industries, Inc., 7.5%, 1/1/30 (h) | Machinery-Diversified | 1686 | 1663 | 1726 |
| Chemours Co., 5.8%, 11/15/28 (h) (j) | Chemicals | 2387 | 2142 | 2178 |
| Chesapeake Energy Corp., 5.9%, 2/1/29 (h) (j) | Oil & Gas | 1532 | 1624 | 1469 |
| Continental Finance Credit Card ABS Master Trust, Series 2022-A, Class B, ABS, 8.1%, 10/15/30 (h) | Asset-Backed - Credit Card | 253 | 253 | 253 |
| CSC Holdings LLC, 6.5%, 2/1/29 (h) (j) | Media Entertainment | 2012 | 1953 | 1743 |
| CTP N.V., 1.5%, 9/27/31 (j) | Real Estate | 1452 | 957 | 1080 |
| DaVita, Inc., 4.6%, 6/1/30 (h) (j) | Healthcare-Services | $2742 | 2198 | 2313 |
| Deutsche Bank AG, 3.7%, 1/14/32 (fixed, converts to FRN on 10/14/30) (j) (l) | Banks | 1140 | 888 | 917 |
| DT Midstream, Inc., 4.1%, 6/15/29 (h) (j) | Pipelines | 625 | 583 | 549 |
| DT Midstream, Inc., 4.4%, 6/15/31 (h) (j) | Pipelines | 963 | 976 | 844 |
| Dufry One B.V., 2.0%, 2/15/27 (j) | Retail | 185 | 213 | 173 |
| Dufry One B.V., 3.4%, 4/15/28 (j) | Retail | 3823 | 4016 | 3616 |
| Earthstone Energy Holdings LLC, 8.0%, 4/15/27 (h) (i) (j) | Oil & Gas | $4108 | 4075 | 4011 |
| Endurance International Group Holdings, Inc., 6.0%, 2/15/29 (h) (j) | Internet | 1702 | 1459 | 1212 |
| EnLink Midstream Partners LP, 5.1%, 4/1/45 (j) | Pipelines | 1642 | 1196 | 1293 |
| EnLink Midstream Partners LP, 5.5%, 6/1/47 (j) | Pipelines | 691 | 532 | 576 |
| EnLink Midstream Partners LP, 5.6%, 4/1/44 (j) | Pipelines | 286 | 218 | 240 |
| FMG Resources August 2006 Pty Ltd., 4.4%, 4/1/31 (h) (j) | Mining | 2962 | 2570 | 2610 |
| FMG Resources August 2006 Pty Ltd., 5.9%, 4/15/30 (h) (j) | Mining | 851 | 794 | 832 |
| FMG Resources August 2006 Pty Ltd., 6.1%, 4/15/32 (h) (j) | Mining | 836 | 804 | 816 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| Foot Locker, Inc., 4.0%, 10/1/29 (h) (j) | Retail | $763 | $630 | $646 |
| Ford Motor Co., 3.3%, 2/12/32 (j) | Auto Manufacturers | 1263 | 956 | 1004 |
| Ford Motor Co., 6.1%, 8/19/32 (j) | Auto Manufacturers | 951 | 879 | 934 |
| Ford Motor Credit Co. LLC, 4.0%, 11/13/30 (j) | Auto Manufacturers | 558 | 442 | 488 |
| Ford Motor Credit Co. LLC, 4.3%, 1/9/27 (j) | Auto Manufacturers | 222 | 232 | 208 |
| Ford Motor Credit Co. LLC, 4.5%, 8/1/26 (j) | Auto Manufacturers | 200 | 193 | 190 |
| Ford Motor Credit Co. LLC, 5.1%, 5/3/29 (j) | Auto Manufacturers | 1907 | 1881 | 1810 |
| Ford Motor Credit Co. LLC, 7.4%, 11/4/27 (j) | Auto Manufacturers | 1719 | 1719 | 1807 |
| Ford Motor Credit Co. LLC, 7.4%, 3/6/30 (j) | Auto Manufacturers | 1360 | 1376 | 1429 |
| Fox Corp., 5.5%, 1/25/39 (i) | Media Entertainment | 3378 | 2859 | 3283 |
| Frontier Florida LLC, Series E, 6.9%, 2/1/28 (j) | Telecommunications | 1477 | 1404 | 1373 |
| Frontier North, Inc., Series G, 6.7%, 2/15/28 (j) | Telecommunications | 5029 | 4836 | 4648 |
| GLP Capital LP / GLP Financing II, Inc., 3.3%, <br> 1/15/32 (j) | Real Estate Investment Trusts | 137 | 103 | 114 |
| GLP Capital LP / GLP Financing II, Inc., 4.0%, <br> 1/15/30 (j) | Real Estate Investment Trusts | 420 | 348 | 380 |
| GLP Capital LP / GLP Financing II, Inc., 4.0%, <br> 1/15/31 (j) | Real Estate Investment Trusts | 197 | 159 | 174 |
| Granite US Holdings Corp., 11.0%, 10/1/27 (h) (j) | Machinery-Diversified | 1009 | 1091 | 1067 |
| Grifols Escrow Issuer SA, 3.9%, 10/15/28 (j) | Biotechnology | 1719 | 1499 | 1596 |
| Hess Midstream Operations LP, 4.3%, 2/15/30 (h) (j) | Pipelines | $946 | 890 | 830 |
| Hess Midstream Operations LP, 5.1%, 6/15/28 (h) (j) | Pipelines | 892 | 864 | 841 |
| Hilton Domestic Operating Co., Inc., 4.0%, 5/1/31 (h) (j) | Lodging | 626 | 548 | 543 |
| Hilton Domestic Operating Co., Inc., 5.8%, 5/1/28 (h) (j) | Lodging | 734 | 742 | 729 |
| Hilton Grand Vacations Borrower Escrow LLC, 5.0%, 6/1/29 (h) (j) | Lodging | 1062 | 890 | 951 |
| Intesa Sanpaolo SpA, 4.2%, 6/1/32 (fixed, converts to <br> FRN on 6/1/31) (h) (j) (l) | Banks | 813 | 642 | 648 |
| JPMorgan Chase & Co., Series FF, 5.0% 8/1/24 (fixed, <br> converts to FRN on 8/01/24) (j) (l) (n) | Banks | 3114 | 2803 | 3030 |
| LBM Acquisition LLC, 6.3%, 1/15/29 (h) (j) | Retail | 134 | 100 | 102 |
| LifePoint Health, Inc., 5.4%, 1/15/29 (h) (j) | Healthcare-Services | 825 | 679 | 552 |
| Macy's Retail Holdings LLC, 4.5%, 12/15/34 (j) | Retail | 2155 | 1423 | 1586 |
| Macy's Retail Holdings LLC, 5.9%, 3/15/30 (h) (j) | Retail | 674 | 651 | 616 |
| Macy's Retail Holdings LLC, 6.1%, 3/15/32 (h) (j) | Retail | 689 | 620 | 618 |
| Macy's Retail Holdings, Inc., 4.3%, 2/15/43 (j) | Retail | 264 | 224 | 164 |
| Macy's Retail Holdings, Inc., 5.1%, 1/15/42 (j) | Retail | 295 | 279 | 200 |
| Marriott Ownership Resorts, Inc., 4.8%, 1/15/28 (j) | Lodging | 880 | 882 | 795 |
| Methanex Corp., 5.3%, 12/15/29 (j) | Chemicals | 2032 | 1907 | 1871 |
| Methanex Corp., 5.7%, 12/1/44 (j) | Chemicals | 1429 | 1035 | 1182 |
| MGM Resorts International, 4.8%, 10/15/28 (j) | Lodging | 1440 | 1342 | 1308 |
| MGM Resorts International, 5.5%, 4/15/27 (j) | Lodging | 387 | 398 | 374 |
| Mineral Resources Ltd., 8.0%, 11/1/27 (h) (j) | Iron/Steel | 957 | 956 | 981 |
| Mineral Resources Ltd., 8.5%, 5/1/30 (h) (j) | Iron/Steel | 2296 | 2296 | 2375 |
| Moss Creek Resources Holdings, Inc., 7.5%, 1/15/26 (h) (j) | Oil & Gas | 1006 | 938 | 931 |
| Moss Creek Resources Holdings, Inc., 10.5%, 5/15/27 (h) (j) | Oil & Gas | 848 | 831 | 820 |
| Mylan, Inc., 5.2%, 4/15/48 (j) | Pharmaceuticals | 531 | 363 | 438 |
| Nationstar Mortgage Holdings, Inc., 5.5%, <br> 8/15/28 (h) (j) | Diversified Financial Services | 492 | 425 | 430 |
| NatWest Group Plc, 8.0% 8/10/25 (fixed, converts to <br> FRN on 8/10/25) (j) (l) (n) | Banks | 1065 | 1012 | 1078 |
| Nexstar Media, Inc., 4.8%, 11/1/28 (h) (j) | Media Entertainment | 996 | 871 | 900 |
| NOVA Chemicals Corp., 4.3%, 5/15/29 (h) (j) | Chemicals | 1256 | 1068 | 1079 |
| NOVA Chemicals Corp., 5.3%, 6/1/27 (h) (j) | Chemicals | 776 | 783 | 723 |
| Novelis Sheet Ingot GmbH, 3.4%, 4/15/29 (j) | Mining | 1075 | 929 | 1022 |
| Occidental Petroleum Corp., 6.2%, 3/15/40 (j) | Oil & Gas | $935 | 949 | 946 |
| Occidental Petroleum Corp., 6.5%, 9/15/36 (j) | Oil & Gas | 144 | 160 | 152 |
| Occidental Petroleum Corp., 6.6%, 3/15/46 (j) | Oil & Gas | 1020 | 1087 | 1088 |
| Occidental Petroleum Corp., 7.5%, 5/1/31 (j) | Oil & Gas | 485 | 550 | 540 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| Occidental Petroleum Corp., 7.9%, 9/15/31 (j) | Oil & Gas | $185 | $240 | $210 |
| Occidental Petroleum Corp., 8.0%, 6/15/39 (j) | Oil & Gas | 811 | 973 | 932 |
| Occidental Petroleum Corp., 8.9%, 7/15/30 (j) | Oil & Gas | 152 | 201 | 179 |
| Olin Corp., 5.0%, 2/1/30 (j) | Chemicals | 956 | 870 | 905 |
| Olin Corp., 5.6%, 8/1/29 (j) | Chemicals | 76 | 74 | 74 |
| OneMain Finance Corp., 4.0%, <br> 9/15/30 (j) | Diversified Financial Services | 99 | 99 | 79 |
| OneMain Finance Corp., 5.4%, <br> 11/15/29 (j) | Diversified Financial Services | 660 | 548 | 579 |
| OneMain Finance Corp., 6.6%, <br> 1/15/28 (j) | Diversified Financial Services | 1157 | 1102 | 1129 |
| Outfront Media Capital LLC / Outfront Media Capital <br> Corp., 4.3%, 1/15/29 (h) (j) | Advertising | 255 | 255 | 219 |
| Outfront Media Capital LLC / Outfront Media Capital <br> Corp., 5.0%, 8/15/27 (h) (j) | Advertising | 726 | 717 | 669 |
| PetSmart, Inc. / PetSmart Finance Corp., 7.8%, 2/15/29 (h) (j) | Retail | 2789 | 2796 | 2745 |
| Plains All American Pipeline LP / PAA Finance <br> Corp., 4.3%, 1/31/43 (j) | Pipelines | 189 | 127 | 146 |
| Playtika Holding Corp., 4.3%, 3/15/29 (h) (j) | Software | 1944 | 1909 | 1617 |
| Post Holdings, Inc., 5.5%, 12/15/29 (h) (j) | Food | 1399 | 1384 | 1299 |
| Prosus N.V., 2.8%, 1/19/34 (j) | Internet | 880 | 727 | 729 |
| Range Resources Corp., 4.8%, 2/15/30 (h) (j) | Oil & Gas | $1149 | 1155 | 1031 |
| RingCentral, Inc., 0.0%, 3/1/25 (j) (o) | Software | 1194 | 1038 | 1050 |
| Rockcliff Energy II LLC, 5.5%, 10/15/29 (h) (j) | Oil & Gas | 302 | 285 | 288 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc., <br> 3.6%, 3/1/29 (h) (j) | Diversified Financial Services | 248 | 197 | 210 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc.,<br> 3.9%, 3/1/31 (h) (j) | Diversified Financial Services | 1060 | 834 | 865 |
| Royal Caribbean Cruises Ltd., 5.5%, 4/1/28 (h) (j) | Leisure Time | 817 | 696 | 704 |
| Royal Caribbean Cruises Ltd., 9.3%, 1/15/29 (h) (j) | Leisure Time | 4620 | 4616 | 4880 |
| Samsonite Finco Sarl, 3.5%, 5/15/26 (j) | Apparel | 1008 | 884 | 1024 |
| Scientific Games International, Inc., 7.0%, 5/15/28 (h) (j) | Entertainment | $589 | 577 | 584 |
| Scientific Games International, Inc., 7.3%, 11/15/29 (h) (j) | Entertainment | 611 | 611 | 613 |
| Seagate HDD Cayman Co., 9.6%, 12/1/32 (h) (j) | Computers | 710 | 800 | 805 |
| SeaWorld Parks & Entertainment, Inc., 5.3%, 8/15/29 (h) (j) | Entertainment | 1675 | 1424 | 1516 |
| Sensata Technologies B.V., 4.0%, 4/15/29 (h) (j) | Electronics | 764 | 709 | 687 |
| Sensata Technologies B.V., 5.9%, 9/1/30 (h) (j) | Electronics | 620 | 620 | 609 |
| Service Properties Trust, 7.5%, <br> 9/15/25 (j) | Real Estate Investment Trusts | 1310 | 1358 | 1290 |
| Signal Parent, Inc., 6.1%, 4/1/29 (h) (j) | Commercial Services | 1136 | 1126 | 434 |
| Silgan Holdings, Inc., 2.3%, 6/1/28 (j) | Packaging & Containers | 377 | 309 | 355 |
| Sirius XM Radio, Inc., 5.0%, 8/1/27 (h) (j) | Media Entertainment | $245 | 254 | 232 |
| Sirius XM Radio, Inc., 5.5%, 7/1/29 (h) (j) | Media Entertainment | 1068 | 1111 | 1002 |
| Spectrum Brands, Inc., 5.5%, 7/15/30 (h) (j) | Household Products/Wares | 1446 | 1474 | 1315 |
| Standard Industries, Inc., 2.3%, 11/21/26 (j) | Building Materials | 535 | 568 | 507 |
| Standard Industries, Inc., 4.4%, 7/15/30 (h) (j) | Building Materials | $669 | 681 | 573 |
| Standard Industries, Inc., 4.8%, 1/15/28 (h) (j) | Building Materials | 1323 | 1312 | 1241 |
| Station Casinos LLC, 4.6%, 12/1/31 (h) (j) | Lodging | 1930 | 1556 | 1629 |
| Sterling Entertainment Enterprises, LLC, 10.3%, 1/15/25 (f) | Media Entertainment | 813 | 801 | 812 |
| SWF Escrow Issuer Corp., 6.5%, 10/1/29 (h) (j) | Housewares | 818 | 749 | 539 |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.9%, 2/1/31 (j) | Pipelines | 1210 | 1072 | 1133 |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.5%, 3/1/30 (j) | Pipelines | 1679 | 1548 | 1640 |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.9%, 1/15/29 (j) | Pipelines | 192 | 191 | 197 |
| TEGNA, Inc., 5.0%, 9/15/29 (j) | Media Entertainment | 118 | 112 | 111 |
| Tenet Healthcare Corp., 6.1%, 6/15/30 (h) (j) | Healthcare-Services | 923 | 923 | 897 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| Terex Corp., 5.0%, 5/15/29 (h) (j) | Machinery-Construction & Mining | $1963 | $1907 | $1836 |
| Teva Pharmaceutical Finance Netherlands II B.V., 4.4%, 5/9/30 (j) | Pharmaceuticals | 3288 | 2700 | 3090 |
| TI Automotive Finance Plc, 3.8%, 4/15/29 (j) | Auto Parts & Equipment | 1355 | 1047 | 1145 |
| TransDigm, Inc., 5.5%, 11/15/27 (j) | Aerospace/Defense | $946 | 907 | 904 |
| TUI Cruises GmbH, 6.5%, 5/15/26 (j) | Leisure Time | 2772 | 3083 | 2730 |
| Twilio, Inc., 3.6%, 3/15/29 (j) | Software | $1101 | 929 | 936 |
| Twilio, Inc., 3.9%, 3/15/31 (j) | Software | 207 | 158 | 171 |
| Uber Technologies, Inc., 4.5%, 8/15/29 (h) (j) | Internet | 47 | 41 | 42 |
| Uber Technologies, Inc., 6.3%, 1/15/28 (h) (j) | Internet | 973 | 1022 | 953 |
| Valvoline, Inc., 3.6%, 6/15/31 (h) (j) | Chemicals | 1985 | 1636 | 1673 |
| Viatris, Inc., 4.0%, 6/22/50 (j) | Pharmaceuticals | 2374 | 1409 | 1648 |
| Vibrantz Technologies, Inc., 9.0%, 2/15/30 (h) (j) | Chemicals | 1982 | 1953 | 1530 |
| VICI Properties LP / VICI Note Co., Inc., 4.1%, <br> 8/15/30 (h) (j) | Real Estate Investment Trusts | 787 | 724 | 705 |
| Victoria's Secret & Co., 4.6%, 7/15/29 (h) (j) | Retail | 3040 | 2530 | 2530 |
| Viking Cruises Ltd., 5.9%, 9/15/27 (h) (j) | Leisure Time | 3780 | 3194 | 3226 |
| Viking Cruises Ltd., 7.0%, 2/15/29 (h) | Leisure Time | 308 | 269 | 268 |
| Vistra Corp., 7.0% 12/15/26 (fixed, converts to FRN on 12/15/26) (h) (j) (l) (n) | Electric | 1812 | 1650 | 1697 |
| Vistra Corp., 8.0% 10/15/26 (fixed, converts to FRN on 10/15/26) (h) (j) (l) (n) | Electric | 3232 | 3222 | 3172 |
| Vistra Operations Co. LLC, 5.0%, 7/31/27 (h) (j) | Electric | 650 | 657 | 613 |
| Vistra Operations Co. LLC, 5.5%, 9/1/26 (h) (j) | Electric | 21 | 22 | 20 |
| Wells Fargo & Co., Series BB, 3.9% 3/15/26 (fixed, <br> converts to FRN on 3/15/26) (j) (l) (n) | Banks | 1897 | 1666 | 1750 |
| Western Midstream Operating LP, 4.3%, 2/1/30 (j) | Pipelines | 670 | 663 | 615 |
| Western Midstream Operating LP, 5.5%, 8/15/48 (j) | Pipelines | 185 | 164 | 161 |
| Western Midstream Operating LP, 5.5%, 2/1/50 (j) | Pipelines | 123 | 106 | 107 |
| WR Grace Holdings LLC, 5.6%, 8/15/29 (h) (j) | Chemicals | 632 | 499 | 528 |
| XPO CNW, Inc., 6.7%, 5/1/34 (j) | Transportation | 2019 | 2034 | 1824 |
| ZF Europe Finance B.V., 3.0%, 10/23/29 (j) | Auto Parts & Equipment | 1400 | 1422 | 1259 |
| ZF Finance GmbH, 3.8%, 9/21/28 (j) | Auto Parts & Equipment | 1200 | 1109 | 1155 |
| ZoomInfo Technologies LLC / ZoomInfo Finance <br> Corp., 3.9%, 2/1/29 (h) (j) | Software | $1032 | 878 | 891 |
| **Total Unsecured Bonds** |  |  | 202700 | 200468 |
| **Collateralized Loan Obligation (CLO) / Structured <br>Credit—25.0%** |  |  |  |  |
| 37 Capital CLO I, Series 2021-1A, Class D, ABS, S+3.5%, <br> 8.3%, 10/15/34 (h) (l) | USD CLO | 655 | 618 | 601 |
| 610 Funding CLO 1 Ltd., Series 2015-1A, Class CR, ABS, L+3.9%, 8.7%, 9/21/29 (h) (l) | USD CLO | 425 | 422 | 422 |
| Accunia European CLO III DAC, Series 3X, Class D, ABS, E+3.1%, 5.4%, 1/20/31 (l) | EUR CLO | 240 | 274 | 242 |
| AIG CLO 2021-2 LLC, Series 2021-2A, Class C, ABS, L+2.0%, 6.8%, 7/20/34 (h) (l) | USD CLO | $625 | 610 | 596 |
| Allegro CLO V Ltd., Series 2017-1A, Class BR, ABS, L+1.5%, 6.2%, 10/16/30 (h) (l) | USD CLO | 250 | 241 | 242 |
| Alme Loan Funding B.V., Series 5X, Class ER, ABS, E+5.4%, 7.7%, 7/15/31 (l) | EUR CLO | 220 | 213 | 210 |
| Ammc CLO 19 Ltd., Series 2016-19A, Class D, ABS, L+3.8%, 8.5%, 10/15/28 (h) (j) (l) | USD CLO | $205 | 203 | 202 |
| Ammc CLO 20 Ltd., Series 2017-20A, Class E, ABS, L+5.8%, 10.6%, 4/17/29 (h) (l) | USD CLO | 250 | 248 | 243 |
| Ammc CLO XIII Ltd., Series 2013-13A, Class B1LR, ABS, L+3.6%, 8.4%, 7/24/29 (h) (l) | USD CLO | 540 | 512 | 516 |
| Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class C, ABS, L+1.9%, 6.7%, 1/28/31 (h) (l) | USD CLO | 855 | 818 | 820 |
| Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class D, ABS, L+2.6%, 7.4%, 1/28/31 (h) (j) (l) | USD CLO | 250 | 241 | 227 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| Anchorage Capital CLO 5-R Ltd., Series 2014-5RA, Class E, ABS, L+5.4%, 10.2%, 1/15/30 (h) (l) | USD CLO | $255 | $250 | $228 |
| Anchorage Capital Europe CLO 2 DAC, 4.7%, 4/15/34 | EUR CLO | 410 | 374 | 424 |
| Anchorage Capital Europe CLO 3 DAC, Series 3X, Class D, ABS, E+3.8%, 6.1%, 7/15/32 (l) | EUR CLO | 745 | 793 | 749 |
| Anchorage Credit Funding 10 Ltd., Series 2020-10A, Class EV, ABS, 7.1%, 4/25/38 (h) | USD CLO | $250 | 235 | 212 |
| Anchorage Credit Funding 12 Ltd., Series 2020-12A, Class D, ABS, 5.9%, 10/25/38 (h) | USD CLO | 295 | 295 | 261 |
| Anchorage Credit Funding 2 Ltd., Series 2015-2A, Class ERV, ABS, 7.0%, 4/25/38 (h) | USD CLO | 250 | 232 | 201 |
| Anchorage Credit Funding 3 Ltd., Series 2016-3A, Class DR, ABS, 5.8%, 1/28/39 (h) | USD CLO | 250 | 250 | 221 |
| Anchorage Credit Funding 3 Ltd., Series 2016-3A, Class ER, ABS, 7.2%, 1/28/39 (h) | USD CLO | 410 | 387 | 329 |
| Anchorage Credit Funding 6 Ltd., Series 2018-6A, Class E, ABS, 6.9%, 7/25/36 (h) | USD CLO | 570 | 547 | 466 |
| Apex Credit CLO 2015-II Ltd., Series 2015-2A, Class ER, ABS, L+6.1%, 10.9%, 10/17/26 (h) (l) | USD CLO | 330 | 329 | 326 |
| Apidos CLO XII, Series 2013-12A, Class BR, ABS, L+1.4%, 6.2%, 4/15/31 (h) (l) | USD CLO | 500 | 483 | 488 |
| Apidos CLO XXXVI, Series 2021-36A, Class B, ABS, L+1.6%, 6.4%, 7/20/34 (h) (l) | USD CLO | 355 | 341 | 347 |
| Arbour CLO VII DAC, Series 7A, Class B2E, ABS, E+1.8%, 3.8%, 3/15/33 (h) (l) | EUR CLO | 250 | 237 | 262 |
| Ares European CLO IX B.V., Series 9X, Class D, ABS, E+2.4%, 4.7%, 10/14/30 (l) | EUR CLO | 520 | 552 | 512 |
| Ares European CLO IX DAC, Series 9X, Class E, ABS, E+4.4%, 6.7%, 10/14/30 (l) | EUR CLO | 290 | 321 | 264 |
| Ares European CLO VI B.V., Series 2013-6X, Class ER, ABS, E+5.3%, 7.6%, 4/15/30 (l) | EUR CLO | 340 | 383 | 326 |
| Ares XL CLO Ltd., Series 2016-40A, Class BRR, ABS, L+1.8%, 6.6%, 1/15/29 (h) (l) | USD CLO | $350 | 334 | 339 |
| Ares XLIX CLO Ltd., Series 2018-49A, Class D, ABS, L+3.0%, 7.8%, 7/22/30 (h) (j) (l) | USD CLO | 250 | 245 | 233 |
| Ares XXXVII CLO Ltd., Series 2015-4A, Class CR, ABS, L+2.7%, 7.4%, 10/15/30 (h) (l) | USD CLO | 250 | 247 | 229 |
| Ares XXXVII CLO Ltd., Series 2015-4A, Class BR, ABS, L+1.8%, 6.6%, 10/15/30 (h) (l) | USD CLO | 250 | 246 | 240 |
| Ares XXXVR CLO Ltd., Series 2015-35RA, Class D, ABS, L+3.0%, 7.8%, 7/15/30 (h) (l) | USD CLO | 250 | 250 | 235 |
| Armada Euro CLO III DAC, Series 3A, Class DR, ABS, E+3.3%, 5.6%, 7/15/31 (h) (l) | EUR CLO | 300 | 262 | 302 |
| Atlas Senior Loan Fund III Ltd., Series 2013-1A, Class DR, ABS, L+2.6%, 7.3%, 11/17/27 (h) (j) (l) | USD CLO | $500 | 483 | 475 |
| Atlas Senior Loan Fund IX Ltd., Series 2018-9A, Class D, ABS, L+2.6%, 7.4%, 4/20/28 (h) (j) (l) | USD CLO | 250 | 238 | 239 |
| Atrium IX, Series 9A, Class CR2, ABS, L+2.0%, 6.7%, 5/28/30 (h) (l) | USD CLO | 1560 | 1460 | 1494 |
| Atrium XIII, Series 13A, Class C, ABS, L+1.8%, 6.6%, 11/21/30 (h) (l) | USD CLO | 430 | 416 | 414 |
| Atrium XIV LLC, Series 14A, Class D, ABS, L+3.0%, 7.7%, 8/23/30 (h) (j) (l) | USD CLO | 250 | 238 | 242 |
| Avoca CLO XI Ltd., Series 11X, Class ER, ABS, E+5.0%, 7.3%, 7/15/30 (l) | EUR CLO | 210 | 226 | 200 |
| Avoca CLO XIII DAC, Series 13X, Class ERR, ABS, E+6.2%, 8.5%, 4/15/34 (l) | EUR CLO | 240 | 229 | 230 |
| Avoca CLO XV DAC, Series 15X, Class ER, ABS, E+4.1%, 6.4%, 4/15/31 (l) | EUR CLO | 360 | 388 | 324 |
| Avoca CLO XVIII DAC, Series 18X, Class E, ABS, E+4.6%, 6.9%, 4/15/31 (l) | EUR CLO | 195 | 216 | 180 |
| Avoca CLO XXII DAC, Series 22A, Class D, ABS, E+2.9%, 5.2%, 4/15/35 (h) (l) | EUR CLO | 360 | 318 | 358 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| Avoca CLO XXIII DAC, Series 23X, Class B1, ABS, E+1.5%, 3.8%, 4/15/34 (l) | EUR CLO | 455 | $436 | $469 |
| Bain Capital Credit CLO 2021-1 Ltd., Series 2021-1A, Class B, ABS, L+1.4%, 6.2%, 4/18/34 (h) (j) (l) | USD CLO | $220 | 209 | 210 |
| Bain Capital Euro CLO 2021-2 DAC, Series 2021-2X, Class D, ABS, E+3.4%, 5.7%, 7/17/34 (l) | EUR CLO | 355 | 373 | 339 |
| Barings Euro CLO 2018-1 DAC, Series 2018-1X, Class D, ABS, E+2.3%, 4.6%, 4/15/31 (l) | EUR CLO | 190 | 196 | 185 |
| Barings Euro CLO 2018-2 BV, E+3.2%, 5.5%, 10/15/31 (l) | EUR CLO | 920 | 1080 | 897 |
| Barings Euro CLO 2018-3 DAC, Series 2018-3A, Class DE, ABS, E+3.7%, 6.2%, 7/27/31 (h) (l) | EUR CLO | 480 | 525 | 483 |
| Barings Euro CLO 2019-1 DAC, Series 2019-1X, Class CR, ABS, E+3.0%, 5.2%, 10/15/34 (l) | EUR CLO | 245 | 250 | 256 |
| Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class CR, ABS, L+3.7%, 8.5%, 7/15/29 (h) (j) (l) | USD CLO | $250 | 243 | 245 |
| Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class B, ABS, L+2.0%, 6.8%, 10/15/30 (h) (l) | USD CLO | 400 | 384 | 382 |
| Betony CLO 2 Ltd., Series 2018-1A, Class C, ABS, L+2.9%, 7.7%, 4/30/31 (h) (l) | USD CLO | 250 | 233 | 233 |
| Bilbao CLO, Series 1X, Class B, ABS, E+1.7%, 4.0%, 7/20/31 (l) | EUR CLO | 515 | 525 | 524 |
| Bilbao CLO DAC, 3.4%, 8/20/35 | EUR CLO | 465 | 421 | 484 |
| Birch Grove CLO 2 Ltd., Series 2021-2A, Class D2, ABS, L+5.0%, 9.8%, 10/19/34 (h) (l) | USD CLO | $605 | 599 | 551 |
| Birch Grove CLO 3 Ltd., Series 2021-3A, Class D2, ABS, L+5.1%, 9.9%, 1/19/35 (h) (l) | USD CLO | 885 | 876 | 817 |
| Black Diamond CLO 2017-1 Ltd., Series 2017-1A, Class C, ABS, L+4.0%, 8.8%, 4/24/29 (h) (l) | USD CLO | 590 | 581 | 548 |
| Black Diamond CLO 2017-2 DAC, Series 2017-2X, Class CNE, ABS, E+2.0%, 4.3%, 1/20/32 (l) | EUR CLO | 590 | 608 | 588 |
| BlackRock European CLO X DAC, Series 10X, Class B1R, ABS, E+1.8%, 4.1%, 10/15/34 (l) | EUR CLO | 260 | 266 | 268 |
| BlueMountain Fuji EUR CLO, Series 5X, Class C, ABS, E+2.5%, 4.7%, 1/15/33 (l) | EUR CLO | 485 | 477 | 501 |
| BlueMountain Fuji US CLO III Ltd., Series 2017-3A, Class D, ABS, L+2.4%, 7.2%, 1/15/30 (h) (j) (l) | USD CLO | $250 | 238 | 230 |
| BNPP IP CLO 2014-II Ltd., Series 2014-2A, Class DR, ABS, L+3.5%, 8.3%, 10/30/25 (h) (l) | USD CLO | 204 | 202 | 203 |
| Bosphorus CLO V DAC, Series 5A, Class DE, ABS, E+4.8%, 6.8%, 12/12/32 (h) (l) | EUR CLO | 320 | 354 | 338 |
| Bridgepoint CLO, Series 2X, Class C, ABS, E+2.0%, 4.3%, 4/15/35 (l) | EUR CLO | 300 | 292 | 302 |
| Brookside Mill CLO 2013-1 Ltd., Series 2013-1A, Class ER, ABS, L+5.5%, 10.3%, 1/17/28 (h) (l) | USD CLO | $720 | 715 | 714 |
| Cairn CLO IX DAC, Series 2018-9X, Class C, ABS, E+1.5%, 3.9%, 4/25/32 (l) | EUR CLO | 415 | 394 | 423 |
| Cairn CLO VI B.V., Series 2016-6X, Class FR, ABS, E+8.3%, 10.7%, 7/25/29 (l) | EUR CLO | 190 | 227 | 177 |
| Cairn CLO VII DAC, Series 2016-7X, Class E, ABS, E+6.4%, 8.8%, 1/31/30 (l) | EUR CLO | 440 | 486 | 437 |
| Cairn CLO XI DAC, Series 2019-11X, Class D, ABS, E+4.2%, 6.4%, 7/15/32 (l) | EUR CLO | 625 | 681 | 635 |
| Cairn CLO XIV DAC, Series 2021-14A, Class B1, ABS, E+1.7%, 4.2%, 10/29/34 (h) (l) | EUR CLO | 250 | 240 | 261 |
| Cairn CLO XV B.V., 4.0%, 4/15/36 | EUR CLO | 410 | 358 | 423 |
| Canyon Capital CLO 2016-2 Ltd., Series 2016-2A, Class CR, ABS, L+2.2%, 7.0%, 10/15/31 (h) (l) | USD CLO | $285 | 281 | 273 |
| Canyon Capital CLO Ltd., Series 2014-1A, Class BR, ABS, L+1.8%, 6.6%, 1/30/31 (h) (l) | USD CLO | 665 | 631 | 639 |
| Capital Four CLO, 5.0%, 1/15/34 | EUR CLO | 290 | 263 | 301 |
| Capital Four CLO III DAC, Series 3X, Class B1, ABS, E+1.8%, 4.0%, 10/15/34 (l) | EUR CLO | 545 | 491 | 563 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| Carbone CLO Ltd., Series 2017-1A, Class B, ABS, L+1.8%, 6.6%, 1/20/31 (h) (l) | USD CLO | $545 | $512 | $521 |
| Carlyle Euro CLO 2017-3 DAC, Series 2017-3X, Class C, ABS, E+2.5%, 4.8%, 1/15/31 (l) | EUR CLO | 160 | 158 | 153 |
| Carlyle Global Market Strategies CLO 2013-1 Ltd., Series 2013-1A, Class CR, ABS, L+3.4%, 8.0%, 8/14/30 (h) (l) | USD CLO | $435 | 417 | 412 |
| Carlyle Global Market Strategies Euro CLO 2015-3 DAC, Series 2015-3X, Class C1RE, ABS, E+2.6%, 4.8%, 7/15/30 (l) | EUR CLO | 275 | 323 | 270 |
| Carlyle Global Market Strategies Euro CLO 2016-2 DAC, Series 2016-2X, Class BRR, ABS, E+2.4%, 4.7%, 4/15/34 (l) | EUR CLO | 525 | 565 | 539 |
| Carlyle Global Market Strategies Euro CLO 2020-1 DAC, Series 2020-1X, Class D, ABS, E+5.4%, 7.7%, 4/15/33 (l) | EUR CLO | 250 | 290 | 223 |
| Carlyle US CLO 2017-5 Ltd., Series 2017-5A, Class B, ABS, L+1.8%, 6.6%, 1/20/30 (h) (l) | USD CLO | $440 | 408 | 417 |
| Carlyle US CLO 2022-1 Ltd., Series 2022-1A, Class C, ABS, S+2.2%, 6.8%, 4/15/35 (h) (l) | USD CLO | 365 | 332 | 347 |
| Carmax Auto Owner Trust, 8.1%, 4/16/29 | Other ABS | 660 | 656 | 701 |
| Carval CLO Ltd., Series 2021-2A, Class C, ABS, L+2.2%, 7.0%, 10/15/34 (h) (l) | USD CLO | 355 | 333 | 338 |
| Catalyst Healthcare Manchester Financing Plc, Series AMBC, 2.4%, 9/30/40 (j) | Healthcare-Services | £241 | 624 | 580 |
| Catamaran CLO 2014-1 Ltd., Series 2014-1A, Class CR, ABS, L+3.4%, 8.2%, 4/22/30 (h) (l) | USD CLO | $250 | 243 | 231 |
| CBAM 2017-1 Ltd., Series 2017-1A, Class C, ABS, L+2.4%, 7.2%, 7/20/30 (h) (l) | USD CLO | 535 | 522 | 516 |
| Cedar Funding VII CLO Ltd., Series 2018-7A, Class C, ABS, L+1.8%, 6.6%, 1/20/31 (h) (j) (l) | USD CLO | 395 | 387 | 378 |
| Cedar Funding VII CLO Ltd., Series 2018-7A, Class D, ABS, L+.2.6%, 7.4%, 1/20/31 (h) (l) | USD CLO | 250 | 236 | 236 |
| CFIP CLO 2014-1 Ltd., Series 2014-1A, Class DR, ABS, L+4.1%, 8.9%, 7/13/29 (h) (j) (l) | USD CLO | 495 | 488 | 486 |
| CIFC European Funding CLO IV DAC, Series 4X, Class D, ABS, E+3.1%, 5.4%, 8/18/35 (l) | EUR CLO | 280 | 246 | 277 |
| CIFC European Funding CLO V DAC, Series 5X, Class D, ABS, E+3.2%, 5.4%, 11/23/34 (l) | EUR CLO | 400 | 353 | 398 |
| CIFC Funding 2013-IV Ltd., Series 2013-4A, Class DRR, ABS, L+2.8%, 7.6%, 4/27/31 (h) (l) | USD CLO | $250 | 237 | 229 |
| CIFC Funding 2015-IV Ltd., Series 2015-4A, Class BR2, ABS, L+1.9%, 6.7%, 4/20/34 (h) (j) (l) | USD CLO | 270 | 263 | 257 |
| CIFC Funding Ltd., 6.7%, 4/20/30 (l) | USD CLO | 250 | 231 | 240 |
| Connecticut Avenue Securities Trust 2021-R03, Series 2021-R03, Class 1M2, CMO, S+1.7%, 6.0%, 12/25/41 (h) (l) | USD CLO | 184 | 167 | 177 |
| Connecticut Avenue Securities Trust 2022-R02, Series 2022-R02, Class 2M2, CMO, S+3.0%, 7.3%, 1/25/42 (h) (l) | USD CLO | 1155 | 1123 | 1123 |
| Connecticut Avenue Securities Trust 2022-R04, Series 2022-R04, Class 1M2, CMO, S+3.1%, 7.4%, 3/25/42 (h) (l) | USD CLO | 435 | 420 | 439 |
| Covenant Credit Partners CLO III Ltd., Series 2017-1A, Class D, ABS, L+3.8%, 8.5%, 10/15/29 (h) (l) | USD CLO | 1710 | 1691 | 1595 |
| CVC Cordatus Loan Fund VII DAC, Series 7X, Class DRR, ABS, E+2.9%, 4.9%, 9/15/31 (l) | EUR CLO | 285 | 260 | 278 |
| CVC Cordatus Loan Fund X DAC, Series 10X, Class C, ABS, E+1.6%, 4.1%, 1/27/31 (l) | EUR CLO | 200 | 205 | 203 |
| CVC Cordatus Loan Fund X DAC, Series 10X, Class D, ABS, E+2.5%, 5.0%, 1/27/31 (l) | EUR CLO | 190 | 206 | 186 |
| Dartry Park CLO DAC, Series 1X, Class BRR, ABS, E+2.3%, 4.8%, 1/28/34 (l) | EUR CLO | 355 | 336 | 365 |
| Diamond CLO 2019-1 Ltd., Series 2019-1A, Class E, ABS, L+8.1%, 12.9%, 4/25/29 (h) (l) | USD CLO | $805 | 805 | 788 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| Dryden 59 Euro CLO 2017 B.V., Series 2017-59X, Class D1, ABS, E+2.4%, 4.2%, 5/15/32 (l) | EUR CLO | 365 | $391 | $355 |
| Dryden 61 CLO Ltd., Series 2018-61A, Class CR, ABS, L+1.8%, 6.5%, 1/17/32 (h) (l) | USD CLO | $410 | 400 | 391 |
| Dryden XXVI Senior Loan Fund, Series 2013-26A, Class CR, ABS, L+1.9%, 6.6%, 4/15/29 (h) (l) | USD CLO | 350 | 336 | 338 |
| Eaton Vance CLO 2014-1R Ltd., Series 2014-1RA, Class C, ABS, L+2.1%, 6.9%, 7/15/30 (h) (l) | USD CLO | 325 | 318 | 314 |
| Eaton Vance CLO 2014-1R Ltd., Series 2014-1RA, Class D, ABS, L+3.1%, 7.8%, 7/15/30 (h) (l) | USD CLO | 250 | 236 | 234 |
| Elevation CLO 2021-14 Ltd., Series 2021-14A, Class D2, ABS, L+5.0%, 9.8%, 10/20/34 (h) (l) | USD CLO | 630 | 622 | 577 |
| Elevation CLO 2021-15 Ltd., Series 2018-3A, Class CR, ABS, L+2.5%, 7.3%, 1/25/35 (h) (l) | USD CLO | 500 | 489 | 471 |
| Ellington CLO I Ltd., Series 2017-1A, Class DR, ABS, L+3.4%, 8.1%, 10/15/29 (h) (l) | USD CLO | 410 | 398 | 387 |
| Ellington CLO II Ltd., Series 2017-2A, Class D, ABS, L+3.7%, 8.3%, 2/15/29 (h) (l) | USD CLO | 500 | 487 | 475 |
| Ellington CLO IV Ltd., Series 2019-4A, Class D1, ABS, L+5.5%, 10.3%, 4/15/29 (h) (l) | USD CLO | 585 | 580 | 575 |
| Erna Srl, Series 1, Class A, E+2.3%, 3.8%, 7/25/31 (l) | Commercial MBS | 206 | 239 | 221 |
| Erna Srl, Series 1, Class B, E+3.6%, 5.1%, 7/25/31 (l) | Commercial MBS | 310 | 356 | 328 |
| Euro Galaxy CLO B.V., 4.2%, 2/15/34 (h) | EUR CLO | 345 | 310 | 354 |
| Euro-Galaxy VII CLO DAC, Series 2019-7X, Class CR, ABS, E+2.4%, 4.8%, 7/25/35 (l) | EUR CLO | 285 | 252 | 293 |
| First Eagle Clarendon Fund CLO LLC, Series 2014-1A, Class E, ABS, L+6.1%, 10.9%, 1/25/27 (h) (l) | USD CLO | $428 | 428 | 429 |
| Freddie Mac STACR REMIC Trust 2022-DNA2, Series 2022-DNA2, Class M1B, CMO, REMIC, S+2.4%, 6.7%, 2/25/42 (h) (l) | USD CLO | 560 | 525 | 551 |
| Galaxy XV CLO Ltd., Series 2013-15A, Class CRR, ABS, L+1.9%, 6.6%, 10/15/30 (h) (l) | USD CLO | 925 | 871 | 883 |
| Galaxy XVIII CLO Ltd., Series 2018-28A, Class B, ABS, L+1.6%, 6.4%, 7/15/31 (h) (j) (l) | USD CLO | 525 | 505 | 512 |
| Galaxy XVIII CLO Ltd., Series 2018-28A, Class C, ABS, L+2.0%, 6.7%, 7/15/31 (h) (j) (l) | USD CLO | 250 | 242 | 237 |
| Galaxy XXIV CLO Ltd., L+2.5%, 7.2%, 1/15/31 (l) | USD CLO | 550 | 510 | 511 |
| Galaxy XXVII CLO Ltd., Series 2018-27A, Class D, ABS, L+2.8%, 7.4%, 5/16/31 (h) (l) | USD CLO | 1290 | 1214 | 1224 |
| Gallatin CLO IX 2018-1 Ltd., Series 2018-1A, Class D1, ABS, L+3.1%, 7.9%, 1/21/28 (h) (l) | USD CLO | 250 | 248 | 245 |
| Gallatin CLO IX 2018-1 Ltd., Series 2018-1A, Class E, ABS, L+5.5%, 10.3%, 1/21/28 (h) (l) | USD CLO | 1160 | 1139 | 1101 |
| GAM FRR2 H Co. (f) (p) (q) | USD CLO | 1 | 569 | 553 |
| GAM Re-REMIC Trust 2021-FRR1, Series 2021-FRR1, Class 1C, REMIC, 0.0%, 11/29/50 (h) (o) (p) | Commercial MBS | 41 | 29 | 27 |
| GAM Re-REMIC Trust 2021-FRR1, Series 2021-FRR1, Class 1D, REMIC, 0.0%, 11/29/50 (h) (o) (p) | Commercial MBS | 60 | 41 | 38 |
| GAM Re-REMIC Trust 2021-FRR1, Series 2021-FRR1, Class 2C, REMIC, 0.0%, 11/29/50 (h) (o) (p) | Commercial MBS | 44 | 30 | 27 |
| GAM RE-REMIC Trust 2021-FRR2, Series 2021-FRR2, Class CK44, PO, REMIC, 0.0%, 9/27/51 (h) (o) (p) | Commercial MBS | 43 | 36 | 35 |
| GAM RE-REMIC Trust 2021-FRR2, Series 2021-FRR2, Class DK49, PO, REMIC, 0.0%, 9/27/51 (h) (o) (p) | Commercial MBS | 34 | 27 | 26 |
| GAM RE-REMIC Trust 2021-FRR2, Series 2021-FRR2, Class D730, PO, REMIC, 0.0%, 9/27/51 (h) (o) (p) | Commercial MBS | 35 | 29 | 28 |
| GAM RE-REMIC Trust 2021-FRR2, Series 2021-FRR2, Class CK78, PO, REMIC, 0.0%, 9/27/51 (h) (o) (p) | Commercial MBS | 29 | 19 | 16 |
| GAM RE-REMIC Trust 2021-FRR2, Series 2021-FRR2, Class BK78, REMIC, 2.4%, 9/27/51 (h) (l) (p) | Commercial MBS | 46 | 37 | 33 |
| Golub Capital Partners 48 LP, Series 2020-48A, Class D, ABS, L+3.8%, 8.6%, 4/17/33 (h) (l) | USD CLO | 250 | 233 | 240 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| Golub Capital Partners CLO 50B-R Ltd., Series 2020-50A, Class CR, ABS, S+2.4%, 7.0%, 4/20/35 (h) (l) | USD CLO | $310 | $287 | $295 |
| Greywolf CLO V Ltd., Series 2015-1A, Class BR, ABS, L+2.0%, 6.8%, 1/27/31 (h) (j) (l) | USD CLO | 740 | 726 | 707 |
| Grosvenor Place CLO 2015-1 B.V., Series 2015-1X, Class DRR, ABS, E+5.4%, 7.9%, 10/30/29 (l) | EUR CLO | 575 | 577 | 582 |
| Halcyon Loan Advisors Funding 2015-2 Ltd., Series 2015-2A, Class D1R, ABS, L+3.1%, 7.9%, 7/25/27 (h) (l) | USD CLO | $615 | 601 | 585 |
| Halcyon Loan Advisors Funding 2015-2 Ltd., Series 2015-2A, Class D2R, ABS, L+3.1%, 7.9%, 7/25/27 (h) (l) | USD CLO | 405 | 396 | 385 |
| Halcyon Loan Advisors Funding 2017-2 Ltd., Series 2017-2A, Class B, ABS, L+2.1%, 6.9%, 1/17/30 (h) (l) | USD CLO | 440 | 425 | 420 |
| Halseypoint CLO 2 Ltd., Series 2020-2A, Class D, ABS, L+3.0%, 7.8%, 7/20/31 (h) (j) (l) | USD CLO | 680 | 637 | 646 |
| Harvest CLO XIX DAC, Series 19X, Class D, ABS, E+2.6%, 4.8%, 4/14/31 (l) | EUR CLO | 450 | 476 | 435 |
| Harvest CLO XXIII DAC, Series 23A, Class CE, ABS, E+2.1%, 4.4%, 10/20/32 (h) (l) | EUR CLO | 250 | 249 | 253 |
| Henley CLO VI DAC, Series 6X, Class D, ABS, E+3.2%, 5.6%, 6/10/34 (l) | EUR CLO | 180 | 186 | 176 |
| Henley CLO VI DAC, Series 6A, Class E, ABS, E+6.1%, 8.6%, 6/10/34 (h) (l) | EUR CLO | 250 | 287 | 236 |
| Highbridge Loan Management 12-2018 Ltd., Series 12A-18, Class B, ABS, L+1.9%, 6.6%, 7/18/31 (h) (j) (l) | USD CLO | $435 | 426 | 412 |
| HPS Loan Management 13-2018 Ltd., Series 13A-18, Class C, ABS, L+2.2%, 6.9%, 10/15/30 (h) (l) | USD CLO | 1015 | 958 | 959 |
| Hull Street CLO Ltd., Series 2014-1A, Class D, ABS, L+3.6%, 8.4%, 10/18/26 (h) (l) | USD CLO | 195 | 194 | 193 |
| JFIN CLO 2012 Ltd., Series 2012-1A, Class DR, ABS, L+6.5%, 11.3%, 7/20/28 (h) (l) | USD CLO | 700 | 693 | 689 |
| JMP Credit Advisors CLO IV Ltd., Series 2017-1A, Class C, ABS, L+2.7%, 7.4%, 7/17/29 (h) (l) | USD CLO | 355 | 351 | 347 |
| JMP Credit Advisors ClO IV Ltd., Series 2017-1A, Class D, ABS, L+4.2%, 8.9%, 7/17/29 (h) (l) | USD CLO | 610 | 599 | 586 |
| JP Morgan Mortgage Trust 2019-INV1, Series 2019-INV1, Class B4, CMO, 5.0%, 10/25/49 (h) (l) | USD CLO | 410 | 364 | 366 |
| Jubilee CLO 2014-XI DAC, Series 2014-11X, Class DR, ABS, E+3.3%, 5.6%, 4/15/30 (l) | EUR CLO | 305 | 281 | 310 |
| Jubilee CLO 2014-XII B.V., Series 2014-12X, Class DR, ABS, E+2.9%, 5.2%, 4/15/30 (l) | EUR CLO | 155 | 175 | 156 |
| Jubilee CLO 2017-XVIII B.V., Series 2017-18X, Class D, ABS, E+3.1%, 5.4%, 1/15/30 (l) | EUR CLO | 200 | 225 | 208 |
| Jubilee CLO 2021-XXV DAC, Series 2021-25A, Class C1, ABS, E+2.3%, 4.5%, 10/15/35 (h) (l) | EUR CLO | 285 | 269 | 289 |
| Jubilee CLO 2021-XXV DAC, Series 2021-25X, Class D, ABS, E+3.2%, 5.5%, 10/15/35 (l) | EUR CLO | 305 | 259 | 298 |
| KKR CLO 12 Ltd., Series 12, Class BR2, ABS, L+1.7%, 6.5%, 10/15/30 (h) (l) | USD CLO | $520 | 507 | 512 |
| KKR CLO 32 Ltd., Series 32A, Class C, ABS, L+2.4%, 7.2%, 1/15/32 (h) (j) (l) | USD CLO | 250 | 247 | 242 |
| KVK CLO 2013-1 Ltd., Series 2013-1A, Class ER, ABS, L+5.9%, 10.7%, 1/14/28 (h) (l) | USD CLO | 500 | 497 | 485 |
| LCM XX LP, Series 20A, Class DR, ABS, L+2.8%, 7.6%, 10/20/27 (h) (l) | USD CLO | 250 | 241 | 246 |
| LCM XXI LP, Series 21A, Class ER, ABS, L+5.8%, 10.6%, 4/20/28 (h) (l) | USD CLO | 570 | 549 | 538 |
| Lehman XS Trust 2007-14H, Series 2007-14H, Class A22, CMO, L+0.8%, 5.3%, 7/25/47 (l) | USD CLO | 244 | 246 | 227 |
| Lehman XS Trust 2007-6, Series 2007-6, Class 3A2, ABS, 4.3%, 5/25/37 | USD CLO | 60 | 63 | 59 |
| Lehman XS Trust 2007-6, Series 2007-6, Class 3A4, ABS, 4.3%, 5/25/37 | USD CLO | 170 | 175 | 139 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| Lehman XS Trust 2007-6, Series 2007-6, Class 3A31, ABS, 4.3%, 5/25/37 | USD CLO | $125 | $128 | $113 |
| Lehman XS Trust 2007-6, Series 2007-6, Class 3A32, ABS, L+0.5%, 4.3%, 5/25/37 (l) | USD CLO | 142 | 128 | 128 |
| Lockwood Grove CLO Ltd., Series 2014-1A, Class CRR, ABS, L+2.0%, 6.8%, 1/25/30 (h) (l) | USD CLO | 550 | 538 | 525 |
| Long Point Park CLO Ltd., Series 2017-1A, Class C, ABS, L+2.4%, 7.2%, 1/17/30 (h) (l) | USD CLO | 305 | 287 | 271 |
| Longfellow Place CLO Ltd., Series 2013-1A, Class DRR, ABS, L+4.5%, 9.3%, 4/15/29 (h) (j) (l) | USD CLO | 520 | 513 | 520 |
| Madison Park Euro Funding DAC, 4.7%, 7/15/32 (h) | EUR CLO | 345 | 318 | 358 |
| Madison Park Euro Funding IX DAC, Series 9X, Class DR, ABS, E+3.2%, 5.5%, 7/15/35 (l) | EUR CLO | 315 | 264 | 306 |
| Madison Park Euro Funding X DAC, Series 10X, Class C1, ABS, E+1.7%, 4.1%, 10/25/30 (l) | EUR CLO | 115 | 105 | 118 |
| Madison Park Euro Funding XIII DAC, Series 13X, Class CR, ABS, E+2.4%, 4.7%, 1/15/32 (l) | EUR CLO | 355 | 343 | 367 |
| Madison Park Funding XI Ltd., Series 2013-11A, Class DR, ABS, L+3.3%, 8.1%, 7/23/29 (h) (l) | USD CLO | $430 | 422 | 413 |
| Madison Park Funding XVIII Ltd., Series 2015-18A, Class DR, ABS, L+3.0%, 7.8%, 10/21/30 (h) (l) | USD CLO | 250 | 236 | 234 |
| Madison Park Funding XX Ltd., Series 2016-20A, Class DR, ABS, L+3.0%, 7.8%, 7/27/30 (h) (l) | USD CLO | 675 | 642 | 639 |
| Madison Park Funding XXII Ltd., Series 2016-22A, Class CR, ABS, L+2.0%, 6.8%, 1/15/33 (h) (l) | USD CLO | 830 | 775 | 793 |
| Madison Park Funding XXVII Ltd., Series 2018-27A, Class C, ABS, L+2.6%, 7.4%, 4/20/30 (h) (l) | USD CLO | 250 | 235 | 237 |
| Madison Park Funding XXVIII Ltd., Series 2018-28A, Class D, ABS, L+2.7%, 7.5%, 7/15/30 (h) (l) | USD CLO | 705 | 665 | 663 |
| Madison Park Funding XXX Ltd., Series 2018-30A, Class C, ABS, L+1.7%, 6.5%, 4/15/29 (h) (l) | USD CLO | 275 | 264 | 266 |
| Madison Park Funding XXXI Ltd., Series 2018-31A, Class C, ABS, L+2.2%, 7.0%, 1/23/31 (h) (l) | USD CLO | 495 | 478 | 473 |
| Man GLG Euro CLO I DAC, E+2.5%, 4.7%, 10/15/30 (l) | EUR CLO | 315 | 351 | 296 |
| Man GLG Euro CLO III DAC, Series 3X, Class D, ABS, E+3.3%, 5.6%, 10/15/30 (l) | EUR CLO | 635 | 704 | 630 |
| Marathon CLO V Ltd., Series 2013-5A, Class CR, ABS, L+2.8%, 7.4%, 11/21/27 (h) (l) | USD CLO | $1210 | 1179 | 1155 |
| Marathon CLO VI Ltd., Series 2014-6A, Class CR2, ABS, L+3.5%, 8.2%, 5/13/28 (h) (l) | USD CLO | 590 | 571 | 548 |
| Marathon CLO X Ltd., Series 2017-10A, Class C, ABS, L+3.7%, 8.3%, 11/15/29 (h) (l) | USD CLO | 1030 | 1002 | 860 |
| Marble Point CLO XXI Ltd., Series 2021-3A, Class D2, ABS, L+5.0%, 9.8%, 10/17/34 (h) (l) | USD CLO | 470 | 464 | 428 |
| Midocean Credit CLO VIII, Series 2018-8A, Class D, ABS, L+2.9%, 7.6%, 2/20/31 (h) (j) (l) | USD CLO | 250 | 237 | 222 |
| Milltown Park CLO, Series 1A, Class B, ABS, E+1.8%, 4.1%, 1/15/31 (h) (l) | EUR CLO | 260 | 258 | 262 |
| Mitchells & Butlers Finance Plc, Series C2, L GBP+2.1%, 5.5%, 9/15/34 (j) (l) | Retail | £972 | 1143 | 959 |
| Mitchells & Butlers Finance Plc, Series D1, L GBP+2.4%, 5.8%, 6/15/36 (j) (l) | Retail | 481 | 543 | 470 |
| Mitchells & Butlers Finance Plc, Series B2, 6.0%, 12/15/28 (j) | Retail | 185 | 284 | 216 |
| Mitchells & Butlers Finance Plc, Series C1, 6.5%, 9/15/30 (j) | Retail | 884 | 1370 | 991 |
| MKS CLO 2017-1 Ltd., Series 2017-1A, Class D, ABS, L+4.2%, 9.0%, 7/20/30 (h) (l) | USD CLO | $665 | 632 | 632 |
| MKS CLO 2017-2 Ltd., Series 2017-2A, Class D, ABS, L+2.7%, 7.5%, 1/20/31 (h) (j) (l) | USD CLO | 535 | 517 | 488 |
| Monroe Capital CLO 2014-1 Ltd., Series 2014-1X, Class E, ABS, L+5.4%, 10.2%, 10/22/26 (l) | USD CLO | 207 | 204 | 202 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| Monroe Capital MML CLO 2016-1 Ltd., Series 2016-1A, Class ER, ABS, L+7.3%, 12.1%, 7/22/28 (h) (l) | USD CLO | $485 | $485 | $456 |
| Monroe Capital MML CLO 2017-1 Ltd., Series 2017-1A, Class E, ABS, L+7.4%, 12.2%, 4/22/29 (h) (l) | USD CLO | 525 | 524 | 477 |
| Monroe Capital MML CLO VI Ltd., Series 2018-1A, Class E, ABS, L+6.9%, 11.7%, 4/15/30 (h) (l) | USD CLO | 290 | 281 | 260 |
| Mountain View CLO 2017-1 LLC, Series 2017-1A, Class D, ABS, L+3.6%, 8.4%, 10/16/29 (h) (l) | USD CLO | 250 | 247 | 240 |
| Neuberger Berman Loan Advisers CLO 27 Ltd., Series 2018-27A, Class B, ABS, L+1.4%, 6.2%, 1/15/30 (h) (l) | USD CLO | 320 | 305 | 313 |
| Newark BSL CLO 2 Ltd., Series 2017-1A, Class BR, ABS, L+1.8%, 6.6%, 7/25/30 (h) (l) | USD CLO | 340 | 329 | 325 |
| Newstar Exeter Fund CLO LLC, Series 2015-1RA, Class E, ABS, L+7.2%, 12.0%, 1/20/27 (h) (l) | USD CLO | 423 | 423 | 422 |
| Oak Hill European Credit Partners IV DAC, Series 2015-4X, Class DR, ABS, E+2.5%, 4.8%, 1/20/32 (l) | EUR CLO | 540 | 526 | 533 |
| Oaktree CLO 2019-4 Ltd., Series 2019-4A, Class CR, ABS, L+2.3%, 7.1%, 10/20/32 (h) (l) | USD CLO | $650 | 595 | 616 |
| Oaktree CLO 2020-1 Ltd., Series 2020-1A, Class BR, ABS, L+1.7%, 6.4%, 7/15/34 (h) (j) (l) | USD CLO | 295 | 284 | 287 |
| OCP CLO Ltd., Series 2014-5A, Class BR, ABS, L+1.8%, 6.6%, 4/26/31 (h) (l) | USD CLO | 385 | 365 | 364 |
| OCP Euro CLO 2017 2X DAC, 5.0%, 1/15/32 | EUR CLO | 355 | 313 | 357 |
| OCP Euro CLO 2022-5 DAC, Series 2022-5A, Class E, ABS, E+6.5%, 8.8%, 4/20/35 (h) (l) | EUR CLO | 250 | 277 | 241 |
| Octagon Investment Partners XXI Ltd., Series 2014-1A, Class BR3, ABS, L+1.8%, 6.4%, 2/14/31 (h) (l) | USD CLO | $250 | 243 | 238 |
| OFSI BSL VIII Ltd., Series 2017-1A, Class BR, ABS, L+1.5%, 6.3%, 8/16/29 (h) (j) (l) | USD CLO | 855 | 820 | 836 |
| OHA Credit Funding 4 Ltd., Series 2019-4A, Class CR, ABS, L+2.1%, 6.9%, 10/22/36 (h) (j) (l) | USD CLO | 250 | 246 | 240 |
| OZLM Funding IV Ltd., Series 2013-4A, Class CR, ABS, L+3.4%, 8.2%, 10/22/30 (h) (j) (l) | USD CLO | 250 | 245 | 236 |
| OZLM VII Ltd., Series 2014-7RA, Class CR, ABS, L+3.0%, 7.8%, 7/17/29 (h) (l) | USD CLO | 250 | 242 | 241 |
| OZLM XIV Ltd., Series 2015-14A, Class CRR, ABS, L+3.4%, 8.2%, 7/15/34 (h) (l) | USD CLO | 465 | 420 | 422 |
| OZLM XVI Ltd., Series 2017-16A, Class C, ABS, L+3.6%, 8.2%, 5/16/30 (h) (l) | USD CLO | 250 | 244 | 222 |
| OZLM XVIII Ltd., Series 2018-18A, Class B, ABS, L+1.6%, 6.4%, 4/15/31 (h) (l) | USD CLO | 250 | 240 | 245 |
| OZLM XXII Ltd., Series 2018-22A, Class A2, ABS, L+1.5%, 6.3%, 1/17/31 (h) (l) | USD CLO | 250 | 240 | 241 |
| OZLM XXIV Ltd., Series 2019-24X, Class C1R, ABS, L+3.4%, 8.2%, 7/20/32 (j) (l) | USD CLO | 430 | 393 | 391 |
| Palmer Square Loan Funding 2020-4 Ltd., Series 2020-4A, Class E, ABS, L+8.6%, 13.3%, 11/25/28 (h) (l) | USD CLO | 250 | 251 | 234 |
| Parallel 2015-1 Ltd., Series 2015-1A, Class E, ABS, L+5.2%, 10.0%, 7/20/27 (h) (l) | USD CLO | 755 | 742 | 719 |
| Parallel 2017-1 Ltd., Series 2017-1A, Class DR, ABS, L+3.1%, 7.9%, 7/20/29 (h) (l) | USD CLO | 530 | 515 | 479 |
| Park Avenue Institutional Advisers CLO Ltd., Series 2019-2A, Class A2R, ABS, L+1.7%, 6.5%, 10/15/34 (h) (j) (l) | USD CLO | 565 | 537 | 538 |
| Penta CLO 5 DAC, Series 2018-5X, Class CR, ABS, E+2.4%, 4.7%, 4/20/35 (l) | EUR CLO | 100 | 107 | 103 |
| Penta CLO 7 DAC, Series 2020-7X, Class B1, ABS, E+1.7%, 4.1%, 1/25/33 (l) | EUR CLO | 205 | 190 | 213 |
| Penta CLO 8 DAC, Series 2020-8X, Class CR, ABS, E+2.2%, 4.4%, 1/15/34 (l) | EUR CLO | 240 | 245 | 245 |
| Penta CLO 9 DAC, 5.5%, 7/25/36 (h) | EUR CLO | 335 | 281 | 326 |
| Penta CLO S.A., Series 2018-5X, Class DR, ABS, E+3.7%, 6.0%, 4/20/35 (l) | EUR CLO | 525 | 520 | 535 |
| Peterborough Progress Health Plc, 5.6%, 10/2/42 (j) | Healthcare-Services | £579 | 1002 | 679 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| Preferred Term Securities XXIV Ltd./Preferred Term Securities XXIV, Inc., L+0.4%, 5.1%, 3/22/37 (h) (l) | Diversified Financial Services | $430 | $343 | $334 |
| Preferred Term Securities XXVI Ltd./Preferred Term Securities XXVI, Inc., L+0.4%, 5.1%, 9/22/37 (h) (l) | Diversified Financial Services | 269 | 222 | 221 |
| Providus CLO, Series 1X, Class C1, ABS, E+1.6%, 3.4%, 5/14/31 (l) | EUR CLO | 225 | 221 | 230 |
| Providus CLO, Series 4X, Class DR, ABS, E+3.3%, 5.6%, 4/20/34 (l) | EUR CLO | 420 | 412 | 414 |
| Providus CLO DAC, 4.6%, 7/15/31 | EUR CLO | 540 | 495 | 559 |
| Providus CLO III DAC, Series 3X, Class B1RE, ABS, E+1.7%, 4.0%, 7/18/34 (l) | EUR CLO | 270 | 244 | 281 |
| Providus CLO IV DAC, Series 4X, Class B1R, ABS, E+1.6%, <br> 4.0%, 4/20/34 (l) | EUR CLO | 355 | 365 | 366 |
| Providus CLO V DAC, Series 5X, Class D, ABS, E+3.0%, 4.7%, 2/15/35 (l) | EUR CLO | 370 | 379 | 363 |
| Regatta VIII Funding Ltd., Series 2017-1A, Class D, ABS, L+3.2%, 8.0%, 10/17/30 (h) (l) | USD CLO | $425 | 408 | 409 |
| Rockford Tower CLO 2021-2 Ltd., Series 2021-2A, Class B, ABS, L+1.8%, 6.6%, 7/20/34 (h) (l) | USD CLO | 625 | 591 | 610 |
| RR 4 Ltd., Series 2018-4A, Class A2, ABS, L+1.6%, 6.3%, 4/15/30 (h) (j) (l) | USD CLO | 730 | 704 | 714 |
| RR 4 Ltd., Series 2018-4A, Class C, ABS, L+3.0%, 7.7%, 4/15/30 (h) (l) | USD CLO | 250 | 233 | 231 |
| RRE 1 Loan Management DAC, Series 1X, Class A2R, ABS, E+1.4%, 3.6%, 4/15/35 (l) | EUR CLO | 180 | 183 | 184 |
| RRE 1 Loan Management DAC, 3.7%, 4/15/35 | EUR CLO | 505 | 438 | 519 |
| RRE 1 Loan Management DAC, 4.0%, 1/15/37 | EUR CLO | 620 | 546 | 638 |
| Saranac CLO I Ltd., Series 2013-1A, Class CR, ABS, L+2.9%, 7.7%, 7/26/29 (h) (l) | USD CLO | $575 | 555 | 560 |
| Sculptor CLO XXIX Ltd., Series 29A, Class D2, ABS, L+4.9%, 9.7%, 10/22/34 (h) (l) | USD CLO | 350 | 307 | 308 |
| Sculptor European CLO, 3.9%, 4/18/34 | EUR CLO | 300 | 272 | 308 |
| Sculptor European CLO I DAC, Series 1A, Class DRR, ABS, E+3.5%, 5.8%, 4/18/34 (h) (l) | EUR CLO | 475 | 454 | 482 |
| Sculptor European CLO VI DAC, Series 6X, Class CR, ABS, E+2.3%, 4.6%, 10/15/34 (l) | EUR CLO | 590 | 576 | 602 |
| Shackleton 2015-VIII CLO Ltd., Series 2015-8A, Class ER, ABS, L+5.3%, 10.1%, 10/20/27 (h) (l) | USD CLO | $440 | 435 | 400 |
| Shackleton 2021-XVI CLO Ltd., Series 2021-16A, Class D2, ABS, L+5.0%, 9.8%, 10/20/34 (h) (l) | USD CLO | 1220 | 1202 | 1116 |
| Shackleton CLO Ltd., 7.5%, 10/20/27 (l) | USD CLO | 460 | 440 | 446 |
| Signal Peak CLO 7 Ltd., Series 2019-1A, Class B, ABS, L+2.0%, 6.8%, 4/30/32 (h) (j) (l) | USD CLO | 565 | 549 | 559 |
| Silvermore CLO Ltd., Series 2014-1A, Class C, ABS, L+3.5%, <br> 8.1%, 5/15/26 (h) (l) | USD CLO | 824 | 815 | 822 |
| Smeralda SPV Srl, 1.0%, 12/22/33 (f) | Commercial MBS | 569 | 681 | 621 |
| Smeralda SPV Srl, 5.3%, 12/22/34 (f) | Commercial MBS | 2146 | 2412 | 2335 |
| Sound Point Clo XV Ltd., Series 2017-1A, Class CR, ABS, L+2.1%, 6.9%, 1/23/29 (h) (l) | USD CLO | $365 | 357 | 352 |
| Sound Point Euro CLO I Funding DAC, 4.7%, 7/25/35 | EUR CLO | 210 | 187 | 216 |
| Sound Point Euro CLO I Funding DAC, Series 1X, Class DR, ABS, E+3.1%, 5.5%, 5/25/34 (l) | EUR CLO | 215 | 206 | 212 |
| St Paul's CLO III-R DAC, Series 3RX, Class B1R, ABS, E+1.2%, 3.4%, 1/15/32 (l) | EUR CLO | 330 | 319 | 343 |
| St Paul's CLO III-R DAC, Series 3RX, Class CR, ABS, E+1.6%, 3.9%, 1/15/32 (l) | EUR CLO | 100 | 97 | 101 |
| St Paul's CLO III-R DAC, Series 3RX, Class DR, ABS, E+2.4%, 4.7%, 1/15/32 (l) | EUR CLO | 445 | 488 | 426 |
| St Paul's CLO SPAUL 6A CRR 144A, 4.4%, 5/20/34 (h) | EUR CLO | 305 | 273 | 316 |
| St Paul's CLO V DAC, Series 5X, Class DR, ABS, E+3.0%, <br> 4.8%, 2/20/30 (l) | EUR CLO | 140 | 162 | 139 |

---

 

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| St Paul's CLO VI DAC, Series 6A, Class DRRE, ABS, E+3.3%, 5.1%, 5/20/34 (h) (l) | EUR CLO | 520 | $491 | $502 |
| St Paul's CLO VIII DAC, Series 8X, Class D, ABS, E+2.5%, 4.7%, 7/17/30 (l) | EUR CLO | 330 | 291 | 324 |
| Steele Creek Clo 2017-1 Ltd., Series 2017-1A, Class C, ABS, L+1.9%, 6.7%, 10/15/30 (h) (l) | USD CLO | $250 | 238 | 235 |
| Steele Creek CLO Ltd., 6.8%, 4/21/31 (h) | USD CLO | 250 | 224 | 236 |
| Symphony CLO XIV Ltd., Series 2014-14A, Class E, ABS, L+4.6%, 9.4%, 7/14/26 (h) (l) | USD CLO | 250 | 245 | 246 |
| Symphony CLO XIX Ltd., Series 2018-19A, Class D, ABS, L+2.6%, 7.3%, 4/16/31 (h) (l) | USD CLO | 250 | 248 | 232 |
| TBW Mortgage-Backed Trust 2006-6, Series 2006-6, Class A4, CMO, 6.4%, 1/25/37 | USD CLO | 51 | 39 | 44 |
| TCI-Symphony CLO 2017-1 Ltd., Series 2017-1A, Class D, ABS, L+3.4%, 8.2%, 7/15/30 (h) (l) | USD CLO | 400 | 384 | 382 |
| Terwin Mortgage Trust 2006-6, Series 2006-6, Class 1A2, ABS, 0.2%, 7/25/37 (h) (l) | Other ABS | 45 | 16 | 19 |
| THL Credit Wind River 2017-4 CLO Ltd., Series 2017-4A, Class C, ABS, L+1.8%, 6.4%, 11/20/30 (h) (l) | USD CLO | 305 | 293 | 285 |
| TICP CLO XII Ltd., Series 2018-12A, Class BR, ABS, L+1.7%, 6.4%, 7/15/34 (h) (j) (l) | USD CLO | 470 | 450 | 459 |
| Tikehau CLO II DAC, Series 2X, Class DRR, ABS, E+3.4%, 5.4%, 9/7/35 (l) | EUR CLO | 425 | 385 | 428 |
| Tikehau CLO III DAC, Series 3X, Class D, ABS, E+2.7%, 4.7%, 12/1/30 (l) | EUR CLO | 220 | 235 | 220 |
| Toro European CLO 6 DAC, Series 6X, Class CR, ABS, E+2.5%, 4.7%, 1/12/32 (l) | EUR CLO | 400 | 428 | 415 |
| Trinitas Euro CLO II DAC, Series 2A, Class DR, ABS, E+4.6%, 6.9%, 4/15/35 (h) (l) | EUR CLO | 250 | 272 | 269 |
| Tymon Park CLO DAC, Series 1X, Class CRR, ABS, E+3.2%, 5.6%, 7/21/34 (l) | EUR CLO | 340 | 303 | 337 |
| Unique Pub Finance Co. Plc, Series A4, 5.7%, 6/30/27 (j) | Real Estate | £1033 | 1560 | 1259 |
| Unique Pub Finance Co. Plc, Series N, 6.5%, 3/30/32 (j) | Real Estate | 1036 | 1409 | 1329 |
| Unique Pub Finance Co. Plc, Series M, 7.4%, 3/28/24 (j) | Real Estate | 271 | 375 | 332 |
| Upstart Structured Pass Through Trust, 7.0%, 11/15/30 (h) | Other ABS | $288 | 287 | 286 |
| Venture 44 CLO Ltd., Series 2021-44A, Class D2, ABS, L+5.0%, 9.8%, 10/20/34 (h) (l) | USD CLO | 630 | 624 | 578 |
| Venture CDO Ltd., Series 2016-25A, Class D2, ABS, L+4.2%, 9.0%, 4/20/29 (h) (l) | USD CLO | 135 | 135 | 131 |
| Venture XVII CLO Ltd., Series 2014-17A, Class CRR, ABS, L+1.9%, 6.6%, 4/15/27 (h) (l) | USD CLO | 160 | 155 | 154 |
| Venture XVII CLO Ltd., Series 2014-17A, Class DRR, ABS, L+2.8%, 7.6%, 4/15/27 (h) (l) | USD CLO | 1330 | 1309 | 1228 |
| Venture XXIV CDO Ltd., Series 2016-24A, Class D2, ABS, L+4.1%, 8.9%, 10/20/28 (h) (l) | USD CLO | 530 | 523 | 499 |
| Vesey Park CLO DAC, Series 1X, Class B, ABS, E+2.3%, 4.1%, 11/16/32 (l) | EUR CLO | 140 | 150 | 144 |
| Vibrant CLO VI Ltd., Series 2017-6A, Class D, ABS, L+3.9%, 8.6%, 6/20/29 (h) (l) | USD CLO | $250 | 248 | 250 |
| Voya CLO 2019-1 Ltd., Series 2019-1A, Class DR, ABS, L+2.9%, 7.6%, 4/15/31 (h) (l) | USD CLO | 250 | 233 | 233 |
| Voya Euro CLO, Series 2X, Class DR, ABS, E+3.2%, 5.5%, 7/15/35 (l) | EUR CLO | 330 | 326 | 326 |
| Voya Euro CLO IV DAC, Series 4X, Class DR, ABS, E+3.1%, 5.4%, 10/15/34 (l) | EUR CLO | 115 | 118 | 110 |
| Webster Park CLO Ltd., Series 2015-1A, Class BR, ABS, L+1.8%, 6.6%, 7/20/30 (h) (l) | USD CLO | $320 | 296 | 300 |
| Wellfleet CLO 2017-2A Ltd., Series 2017-2A, Class C, ABS, L+3.4%, 8.2%, 10/20/29 (h) (l) | USD CLO | 395 | 375 | 367 |
| WhiteHorse X Ltd., Series 2015-10A, Class E, ABS, L+5.3%, 10.1%, 4/17/27 (h) (l) | USD CLO | 1384 | 1384 | 1355 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| Wind River 2016-1K CLO Ltd., Series 2016-1KRA, Class D2R2, ABS, L+5.1%, 9.9%, 10/15/34 (h) (l) | USD CLO | $915 | $904 | $829 |
| Wind River 2021-4 CLO Ltd., Series 2021-4A, Class B, ABS, L+1.7%, 6.5%, 1/20/35 (h) (l) | USD CLO | 330 | 309 | 320 |
| Z Capital Credit Partners CLO 2019-1 Ltd., Series 2019-1A, Class CR, ABS, L+2.9%, 7.7%, 7/16/31 (h) (l) | USD CLO | 455 | 439 | 445 |
| Zais CLO 14 Ltd., Series 2020-14A, Class DR, ABS, L+4.5%, 9.3%, 4/15/32 (h) (l) | USD CLO | 475 | 475 | 456 |
| Zais CLO 5 Ltd., Series 2016-2A, Class C, ABS, L+4.5%, 9.3%, 10/15/28 (h) (l) | USD CLO | 510 | 501 | 480 |
| **Total Collateralized Loan Obligation / Structured Credit** | **Total Collateralized Loan Obligation / Structured Credit** |  | 129414 | 126321 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Footnotes** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| **Convertible Bonds—2.3%** | **Convertible Bonds—2.3%** | **Convertible Bonds—2.3%** | **Convertible Bonds—2.3%** | | |
| Coupa Software, Inc., 0.4%, 6/15/26 | (j) | Software | $919 | $727 | $898 |
| Groupon, Inc., 1.1%, 3/15/26 | (j) | Internet | 6209 | 4552 | 3625 |
| Liberty Interactive LLC, 3.8%, 2/15/30 | (j) | Media Entertainment | 1162 | 901 | 401 |
| Liberty Interactive LLC, 4.0%, 11/15/29 | (j) | Media Entertainment | 3707 | 2981 | 1297 |
| Liberty Latin America Ltd., 2.0%, 7/15/24 | (j) | Media Entertainment | 5514 | 5379 | 5080 |
| **Total Convertible Bonds** |  |  |  | 14540 | 11301 |
| **Portfolio Company**<sup>(a)</sup>** | **Footnotes** |  | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| **Municipal Bonds—1.2%** | **Municipal Bonds—1.2%** | **Municipal Bonds—1.2%** | **Municipal Bonds—1.2%** | **Municipal Bonds—1.2%** | **Municipal Bonds—1.2%** |
| City of Detroit MI, COPs, 4.8%, 6/15/20 | (j) (k) (m) |  | $203 | $154 | $203 |
| City of Detroit MI, COPs, 4.9%, 6/15/25 | (j) (k) (m) |  | 711 | 536 | 711 |
| Puerto Rico Electric Power Authority, Series UU, 0.0%, 7/1/20 | (k) (l) |  | 110 | 78 | 74 |
| Puerto Rico Electric Power Authority, 5.0%, 7/1/42 | (j) (k) (m) |  | 10 | 7 | 7 |
| Puerto Rico Electric Power Authority, 5.1%, 7/1/42 | (j) (k) (m) |  | 15 | 11 | 10 |
| Puerto Rico Electric Power Authority, 5.3%, 7/1/27 | (j) (k) (m) |  | 355 | 233 | 249 |
| Puerto Rico Electric Power Authority, 5.4%, 1/1/18 | (j) (k) (m) |  | 30 | 23 | 21 |
| Puerto Rico Electric Power Authority, 5.4%, 7/1/18 | (j) (k) (m) |  | 20 | 16 | 14 |
| Puerto Rico Electric Power Authority, 5.4%, 1/1/20 | (j) (k) (m) |  | 5 | 4 | 3 |
| Puerto Rico Electric Power Authority, 5.5%, 7/1/21 | (j) (k) (m) |  | 80 | 67 | 56 |
| Puerto Rico Electric Power Authority, 5.5%, 7/1/38 | (j) (k) (m) |  | 215 | 137 | 152 |
| Puerto Rico Electric Power Authority, 10.0%, 7/1/19 | (j) (k) (m) |  | 10 | 8 | 7 |
| Puerto Rico Electric Power Authority, 10.0%, 7/1/19 | (j) (k) (m) |  | 10 | 8 | 7 |
| Puerto Rico Electric Power Authority, Series A, 5.0%, 7/1/29 | (k) (m) |  | 440 | 300 | 308 |
| Puerto Rico Electric Power Authority, Series A, 6.8%, 7/1/36 | (k) (m) |  | 445 | 330 | 319 |
| Puerto Rico Electric Power Authority, Series A, 7.0%, 7/1/43 | (k) (m) |  | 80 | 53 | 58 |
| Puerto Rico Electric Power Authority, Series AAA, 5.3%, 7/1/22 | (k) (m) |  | 55 | 35 | 38 |
| Puerto Rico Electric Power Authority, Series AAA, 5.3%, 7/1/31 | (k) (m) |  | 120 | 78 | 84 |
| Puerto Rico Electric Power Authority, Series BBB, 5.4%, 7/1/28 | (k) (m) |  | 1690 | 1269 | 1175 |
| Puerto Rico Electric Power Authority, Series CCC, 5.0%, 7/1/25 | (k) (m) |  | 5 | 4 | 4 |
| Puerto Rico Electric Power Authority, Series CCC, 5.0%, 7/1/28 | (k) (m) |  | 25 | 20 | 18 |
| Puerto Rico Electric Power Authority, Series CCC, 5.3%, 7/1/26 | (k) (m) |  | 160 | 104 | 112 |
| Puerto Rico Electric Power Authority, Series CCC, 5.3%, 7/1/27 | (k) (m) |  | 145 | 111 | 102 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | |
|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| Puerto Rico Electric Power Authority, Series CCC, 5.3%, 7/1/28 (k) (m) | $30 | $20 | $21 |
| Puerto Rico Electric Power Authority, Series DDD, 3.8%, 7/1/22 (k) (m) | 5 | 3 | 3 |
| Puerto Rico Electric Power Authority, Series DDD, 5.0%, 7/1/19 (k) (m) | 10 | 8 | 7 |
| Puerto Rico Electric Power Authority, Series DDD, 5.0%, 7/1/20 (k) (m) | 110 | 71 | 76 |
| Puerto Rico Electric Power Authority, Series DDD, 5.0%, 7/1/21 (k) (m) | 60 | 39 | 41 |
| Puerto Rico Electric Power Authority, Series E-1, 10.0%, 1/1/21 (m) | 69 | 61 | 51 |
| Puerto Rico Electric Power Authority, Series E-2, 10.0%, 7/1/21 (k) (m) | 69 | 61 | 51 |
| Puerto Rico Electric Power Authority, Series E-3, 10.0%, 1/1/22 (k) (m) | 18 | 16 | 13 |
| Puerto Rico Electric Power Authority, Series E-4, 10.0%, 7/1/22 (k) (m) | 18 | 16 | 13 |
| Puerto Rico Electric Power Authority, Series EEE, 6.0%, 7/1/30 (k) (m) | 25 | 16 | 17 |
| Puerto Rico Electric Power Authority, Series EEE, 6.3%, 7/1/40 (k) (m) | 5 | 3 | 3 |
| Puerto Rico Electric Power Authority, Series NN, 5.5%, 7/1/20 (j) (k) (m) | 30 | 21 | 21 |
| Puerto Rico Electric Power Authority, Series TT, 5.0%, 7/1/20 (k) (m) | 5 | 4 | 3 |
| Puerto Rico Electric Power Authority, Series TT, 5.0%, 7/1/21 (k) (m) | 5 | 3 | 3 |
| Puerto Rico Electric Power Authority, Series TT, 5.0%, 7/1/23 (j) (k) (m) | 25 | 22 | 18 |
| Puerto Rico Electric Power Authority, Series TT, 5.0%, 7/1/24 (j) (k) (m) | 20 | 16 | 14 |
| Puerto Rico Electric Power Authority, Series TT, 5.0%, 7/1/25 (k) (m) | 80 | 68 | 56 |
| Puerto Rico Electric Power Authority, Series TT, 5.0%, 7/1/27 (k) (m) | 35 | 27 | 25 |
| Puerto Rico Electric Power Authority, Series TT, 5.0%, 7/1/32 (j) (k) (m) | 180 | 140 | 126 |
| Puerto Rico Electric Power Authority, Series TT, 5.0%, 7/1/37 (j) (k) (m) | 150 | 121 | 105 |
| Puerto Rico Electric Power Authority, Series UU, 0.0%, 7/1/17 (k) (l) (m) | 15 | 10 | 10 |
| Puerto Rico Electric Power Authority, Series UU, 0.0%, 7/1/18 (k) (l) (m) | 15 | 10 | 10 |
| Puerto Rico Electric Power Authority, Series UU, 3.2%, 7/1/25 (L+0.7%) (k) (m) | 25 | 18 | 17 |
| Puerto Rico Electric Power Authority, Series UU, 3.2%, 7/1/31 (L+0.7%) (k) (m) | 110 | 80 | 75 |
| Puerto Rico Electric Power Authority, Series VV, 5.5%, 7/1/20 (k) (m) | 15 | 12 | 10 |
| Puerto Rico Electric Power Authority, Series WW, 5.3%, 7/1/33 (k) (m) | 465 | 373 | 327 |
| Puerto Rico Electric Power Authority, Series XX, 5.3%, 7/1/35 (k) (m) | 15 | 10 | 11 |
| Puerto Rico Electric Power Authority, Series XX, 5.3%, 7/1/40 (k) (m) | 210 | 152 | 148 |
| Puerto Rico Electric Power Authority, Series YY, 6.1%, 7/1/40 (k) (m) | 195 | 122 | 136 |
| Puerto Rico Electric Power Authority, Series ZZ, 5.0%, 7/1/17 (k) (m) | 15 | 11 | 10 |
| Puerto Rico Electric Power Authority, Series ZZ, 5.3%, 7/1/19 (k) (m) | 10 | 6 | 7 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | |
|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| Puerto Rico Electric Power Authority, Series ZZ, 5.3%, 7/1/24 (k) (m) | $5 | $4 | $4 |
| Puerto Rico Electric Power Authority, Series ZZ, 5.3%, 7/1/25 (j) (k) (m) | 5 | 4 | 4 |
| Puerto Rico Electric Power Authority, Series ZZ, 5.3%, 7/1/26 (j) (k) (m) | 375 | 291 | 263 |
| Puerto Rico Highway & Transportation Authority, Series N, 0.0%, 12/6/49 (k) | 595 | 564 | 387 |
| **Total Municipal Bonds** |  | 5989 | 5818 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| **Emerging Markets Debt—2.2%** |  |  |  |  |
| Argentine Republic Government International Bond, 0.9%, 7/9/46 (j) | Sovereign | 81 | $35 | $24 |
| Argentine Republic Government International Bond, 0.1%, 7/9/30 (j) | Sovereign | 1904 | 986 | 610 |
| Argentine Republic Government International Bond, 0.5%, 7/9/30 (j) | Sovereign | $443 | 191 | 159 |
| Argentine Republic Government International Bond, 1.5%, 7/9/35 (j) | Sovereign | 1719 | 672 | 533 |
| Argentine Republic Government International Bond, 1.5%, 7/9/46 | Sovereign | 704 | 334 | 219 |
| Argentine Republic Government International Bond, 3.9%, 1/9/38 (j) | Sovereign | 183 | 85 | 68 |
| Petroleos Mexicanos, 10.0%, 2/7/33 (e) (h) | Oil & Gas | 2369 | 2315 | 2315 |
| Petroleos Mexicanos, 6.5%, 3/13/27 (j) | Oil & Gas | 3004 | 2957 | 2840 |
| Petroleos Mexicanos, 6.7%, 2/16/32 (j) | Oil & Gas | 825 | 662 | 686 |
| Petroleos Mexicanos, 6.8%, 1/23/30 (j) | Oil & Gas | 3241 | 2840 | 2824 |
| Provincia de Buenos Aires/Government Bond, 3.0%, 9/1/37 (j) | Provincial | 31 | 12 | 9 |
| Provincia de Buenos Aires/Government Bond, 3.5%, 9/1/37 (j) | Provincial | 10 | 4 | 3 |
| Provincia de Buenos Aires/Government Bond, 4.0%, 9/1/37 (j) | Provincial | 252 | 136 | 87 |
| Provincia de Buenos Aires/Government Bond, 4.5%, 9/1/37 (j) | Provincial | $1750 | 699 | 590 |
| Provincia de Buenos Aires/Government Bond, 4.5%, 9/1/37 (h) (j) | Provincial | 28 | 11 | 9 |
| Provincia de Buenos Aires/Government Bond, 5.3%, 9/1/37 (j) | Provincial | 528 | 246 | 210 |
| **Total Emerging Markets Debt** |  |  | 12185 | 11186 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | | **Industry** | **Principal Amount**<sup>(b)</sup>** | **Amortized Cost** | **Fair<br> Value**<sup>(c)</sup>** |
| **Government Bonds—0.0%** | **Government Bonds—0.0%** | **Government Bonds—0.0%** | **Government Bonds—0.0%** | **Government Bonds—0.0%** | |
| U.S. Treasury Bond, 2.3%, 2/15/52 |  | Sovereign | 121 | 93 | 90 |
| **Total Government Bonds** |  |  |  | 93 | 90 |
| **Portfolio Company**<sup>(a)</sup>** | **Footnotes** | **Industry** | **Number of Shares** | **Cost**<sup>(b)</sup>** | **Fair<br> Value**<sup>(c)</sup>** |
| **Preferred Equity—0.3%** |  |  |  |  |  |
| Midwest Veterinary Co. LLC, 12.0% | (f) (r) | Healthcare-Services | 1765 | 1730 | 1488 |
| Riverbed Technology, Inc. |  | Software | 4494 | 86 | 2 |
| Verscend Technologies, Inc., 12.3% | (f) | Software | 200 | 194 | 200 |
| **Total Preferred Equity** |  |  |  | 2010 | 1690 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Portfolio Company**<sup>(a)</sup>** | **Footnotes** | **Industry** | **Number of Shares** | **Cost**<sup>(b)</sup>** | **Fair<br> Value**<sup>(c)</sup>** |
| **Common Equity—0.7%** |  |  |  |  |  |
| Aquadrill, LLC | (m) | Oil & Gas | 6967 | $199 | $374 |
| ATD New Holdings, Inc. | (m) | Distribution/Wholesale | 1964 | 36 | 128 |
| California Resources Corp., Warrants, 10/27/24, Strike $36.00 | (m) | Oil & Gas | 1064 | 4 | 12 |
| Quorum Health Corp. | (f) (m) | Healthcare-Services | 48950 | 492 | 187 |
| Quorum Litigation Trust, Initial Funding | (f) (m) | Healthcare-Services | 157000 |  |  |
| Quorum Litigation Trust, Units | (f) (m) | Healthcare-Services | 2399 | 2 | 2 |
| Solocal Group | (m) | Internet | 492144 | 1566 | 370 |
| Superior Energy Equity New 144A | (h) (m) | Oil & Gas | 1228 |  | 80 |
| Superior Energy Equity New Sec 1145 | (m) | Oil & Gas | 26438 | 333 | 1714 |
| UTEX Industries Inc. | (m) | Miscellaneous Manufacturing | 8041 | 240 | 531 |
| UTEX Industries Inc., Warrants, 12/3/25, Strike $114.76 | (f) (m) | Miscellaneous Manufacturing | 2245 | 2 | 22 |
| Valaris, Ltd. | (m) | Oil & Gas | 135 | 2 | 10 |
| **Total Common Equity** |  |  |  | 2876 | 3430 |
| **Portfolio Company**<sup>(a)</sup>** | **Footnotes** | **Yield** | **Number of Shares** | **Cost**<sup>(b)</sup>** | **Fair<br> Value**<sup>(c)</sup>** |
| **Short-Term Investments—0.8%** | **Short-Term Investments—0.8%** | **Short-Term Investments—0.8%** | **Short-Term Investments—0.8%** | **Short-Term Investments—0.8%** | **Short-Term Investments—0.8%** |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class | (s) | 4.14% | 4090640 | 4091 | 4091 |
| **Total Short-Term Investments** |  |  |  | 4091 | 4091 |
| **TOTAL INVESTMENTS—116.6%** | **TOTAL INVESTMENTS—116.6%** | **TOTAL INVESTMENTS—116.6%** |  | $**604713** | **588398** |
| **LIABILITIES IN EXCESS OF OTHER ASSETS—(16.6)%**<sup>(t)</sup>** | **LIABILITIES IN EXCESS OF OTHER ASSETS—(16.6)%**<sup>(t)</sup>** | **LIABILITIES IN EXCESS OF OTHER ASSETS—(16.6)%**<sup>(t)</sup>** |  |  | **(83564)** |
| **NET ASSETS—100.0%** | **NET ASSETS—100.0%** | **NET ASSETS—100.0%** |  |  | $**504834** |

---

---

| | |
|:---|:---|
| **Shares outstanding at period end (Class A)** | **725457** |
| **Net asset value per common share at period end (Class A)** | $**11.96** |
| **Shares outstanding at period end (Class I)** | **25680706** |
| **Net asset value per common share at period end (Class I)** | $**11.99** |
| **Shares outstanding at period end (Class T)** | **251251** |
| **Net asset value per common share at period end (Class T)** | $**11.98** |
| **Shares outstanding at period end (Class U)** | **12414942** |
| **Net asset value per common share at period end (Class U)** | $**11.93** |
| **Shares outstanding at period end (Class U-2)** | **3079395** |
| **Net asset value per common share at period end (Class U-2)** | $**12.03** |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | |
|:---|:---|:---|
| **Reverse Repurchase Agreements—(2.5)%** | **Reverse Repurchase Agreements—(2.5)%** | **Reverse Repurchase Agreements—(2.5)%** |
| **Security Description** | **Principal<br> Value**<sup>(b)</sup>** | **Principal Value Including Accrued Interest** |
| BNP Paribas 5.1%, agreement dated 12/30/22, to be repurchased on 3/6/23 (collateralized by Fox Corp., 5.5% due 1/25/39 (fair value $3,283)) | $(2884) | $(2897) |
| Royal Bank of Canada 5.1%, agreement dated 2/1/23, to be repurchased on 2/23/23 (collateralized by Academy Ltd., 6.0% due 11/15/27 (fair value $1,936), Earthstone Energy Holdings LLC, 8.0% due 4/15/27 (fair value $4,304), and VOC Escrow Ltd., 5.0% due 2/15/28 (fair value $1,194)) | (5094) | (5117) |
| Royal Bank of Canada 5.3%, agreement dated 12/27/22, to be repurchased on 3/27/23 (collateralized by NMG Holding Co., Inc. / Neiman Marcus Group LLC, 7.1% due 4/1/26 (fair value $1,872), and BellRing Brands, Inc., 7.0% due 3/15/30 (fair value $1,922)) | (3050) | (3066) |
| Royal Bank of Canada 5.1%, agreement dated 1/17/23, to be repurchased on 3/2/23 (collateralized by VOC Escrow Ltd., 5.0% due 2/15/28 (fair value $1,194)) | (1474) | (1477) |
| **Total Reverse Repurchase Agreements** | $(12502) | $(12557) |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments Sold Short—(0.4)%**<br>**Portfolio Company**<sup>(a)</sup>** | <br>**Industry** | <br>**Principal Amount**<sup>(b)</sup>** | <br>**Proceeds** | <br>**Fair<br> Value**<sup>(c)</sup>** |
| **Government Bonds Sold Short—(0.4)%** |  |  |  |  |
| Bundesrepublik Deutschland Bundesanleihe, 0.0%, 2/15/2030 | Sovereign | $(23) | $(22) | $(21) |
| U.S. Treasury Bond, 2.3%, 2/15/2052 | Sovereign | (228) | (158) | (170) |
| U.S. Treasury Bond, 2.8%, 8/15/2032 | Sovereign | (526) | (477) | (494) |
| U.S. Treasury Bond, 2.9%, 5/15/2052 | Sovereign | (191) | (150) | (163) |
| U.S. Treasury Bond, 3.4%, 8/15/2042 | Sovereign | (89) | (75) | (84) |
| U.S. Treasury Bond, 4.1%, 11/15/2032 | Sovereign | (872) | (913) | (915) |
| United Kingdom Gilt Bond, 1.3%, 7/22/2027 | Sovereign | (15) |  | (17) |
| **Total Government Bonds Sold Short** |  |  | (1795) | (1864) |
| **Total Investments Sold Short** |  |  | $(1795) | $(1864) |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Exchange Contracts** | **Forward Foreign Currency Exchange Contracts** | **Forward Foreign Currency Exchange Contracts** | **Forward Foreign Currency Exchange Contracts** | **Forward Foreign Currency Exchange Contracts** | **Forward Foreign Currency Exchange Contracts** | **Forward Foreign Currency Exchange Contracts** | |
| **Counterparty** | **Contract Settlement<br> Date** | **Currency and Amount<br> to be Received** | **Currency and Amount<br> to be Received** | **Currency and Amount to be Delivered** | **Currency and Amount to be Delivered** | **Unrealized<br> Appreciation** |<br>**Unrealized<br> Depreciation** |
| BNP Paribas | 6/21/23 | CHF | 171 | USD | 189 | $1 | $— |
| BNP Paribas | 6/21/23 | USD | 2502 | EUR | 2350 |  | 73 |
| BNP Paribas | 6/21/23 | USD | 2637 | EUR | 2477 |  | 77 |
| JPMorgan Chase Bank, N.A. | 6/21/23 | EUR | 12444 | USD | 13239 | 398 |  |
| JPMorgan Chase Bank, N.A. | 6/21/23 | EUR | 8277 | USD | 8806 | 265 |  |
| JPMorgan Chase Bank, N.A. | 6/21/23 | USD | 1359 | EUR | 1241 |  | 1 |
| JPMorgan Chase Bank, N.A. | 6/21/23 | USD | 2560 | EUR | 2331 | 5 |  |
| JPMorgan Chase Bank, N.A. | 6/21/23 | USD | 1885 | EUR | 1731 |  | 12 |
| JPMorgan Chase Bank, N.A. | 6/21/23 | USD | 2208 | EUR | 2075 |  | 66 |
| JPMorgan Chase Bank, N.A. | 6/21/23 | USD | 1890 | EUR | 1769 |  | 48 |
| JPMorgan Chase Bank, N.A. | 6/21/23 | USD | 504 | EUR | 472 |  | 13 |
| JPMorgan Chase Bank, N.A. | 6/21/23 | USD | 4867 | EUR | 4555 |  | 125 |
| JPMorgan Chase Bank, N.A. | 6/21/23 | USD | 649 | GBP | 528 |  | 4 |
| JPMorgan Chase Bank, N.A. | 6/21/23 | USD | 73 | GBP | 59 |  |  |
| JPMorgan Chase Bank, N.A. | 6/21/23 | USD | 227 | GBP | 185 |  | 1 |
| State Street Bank and Trust Company | 6/21/23 | CHF | 174 | USD | 192 | 1 |  |
| State Street Bank and Trust Company | 6/21/23 | CHF | 36 | USD | 39 |  |  |
| State Street Bank and Trust Company | 6/21/23 | CHF | 188 | USD | 204 | 4 |  |
| State Street Bank and Trust Company | 6/21/23 | EUR | 2569 | USD | 2809 | 7 |  |
| State Street Bank and Trust Company | 6/21/23 | EUR | 1093 | USD | 1177 | 21 |  |
| State Street Bank and Trust Company | 6/21/23 | EUR | 1405 | USD | 1502 | 38 |  |
| State Street Bank and Trust Company | 6/21/23 | USD | 621 | CHF | 569 |  | 10 |
| State Street Bank and Trust Company | 6/21/23 | USD | 8051 | EUR | 7548 |  | 221 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Contract Settlement<br> Date** | **Currency and Amount<br> to be Received** | **Currency and Amount<br> to be Received** | **Currency and Amount to be Delivered** | **Currency and Amount to be Delivered** | **Unrealized<br> Appreciation** | **Unrealized Depreciation** |
| State Street Bank and Trust Company | 6/21/23 | USD | 380 | EUR | 356 | $— | $10 |
| State Street Bank and Trust Company | 6/21/23 | USD | 9343 | EUR | 8759 |  | 256 |
| State Street Bank and Trust Company | 6/21/23 | USD | 146 | GBP | 118 |  |  |
| State Street Bank and Trust Company | 6/21/23 | USD | 935 | GBP | 759 |  | 4 |
| State Street Bank and Trust Company | 6/21/23 | USD | 656 | GBP | 533 |  | 3 |
| **Total Forward Foreign Currency Exchange Contracts** | **Total Forward Foreign Currency Exchange Contracts** |  |  |  |  | $**740** | $**924** |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| **Counterparty** | **Fund Pays** | **Fund Receives** | **Notional<br> Amount** | **Expiration Date** | **Periodic Payment Frequency** | **Fair<br> Value**<sup>(c)</sup>** | **Unrealized Appreciation** | **Unrealized Depreciation** |
| Bank of America, N.A. | 3.20% | SOFR | USD 8,890 | 6/20/28 | Annually | $26 | $26 | $— |
| Goldman Sachs International | 3.09% | SOFR | USD 286 | 7/18/33 | Annually | 1 | 1 |  |
| Goldman Sachs International | 4.14% | SONIA | GBP 4,808 | 2/17/25 | Annually | (9) |  | 9 |
| Goldman Sachs International | 2.35% | 12 Month SOFR | USD 27 | 10/18/52 | Annually | 3 | 3 |  |
| Goldman Sachs International | 2.35% | SOFR | USD 17 | 10/18/52 | Annually | 2 | 2 |  |
| Goldman Sachs International | 2.41% | 12 Month SOFR | USD 287 | 5/18/24 | Annually | 9 | 9 |  |
| Goldman Sachs International | 2.41% | SOFR | USD 174 | 5/18/24 | Annually | 5 | 5 |  |
| Goldman Sachs International | 2.53% | 12 Month SOFR | USD 88 | 10/18/29 | Annually | 4 | 4 |  |
| Goldman Sachs International | 2.53% | SOFR | USD 53 | 10/18/29 | Annually | 3 | 3 |  |
| Goldman Sachs International | 2.55% | 12 Month SOFR | USD 75 | 10/18/27 | Annually | 3 | 3 |  |
| Goldman Sachs International | 2.55% | SOFR | USD 122 | 10/18/27 | Annually | 5 | 5 |  |
| Goldman Sachs International | 3.64% | SOFR | USD 70 | 10/17/25 | Annually | 1 | 1 |  |
| Goldman Sachs International | 4.05% | SOFR | USD 489 | 10/28/26 | Annually | (7) |  | 7 |
| JPMorgan Chase Bank, N.A. | 0.57% | 12 Month ESTRON | EUR 3,502 | 4/13/24 | Annually | 112 | 112 |  |
| JPMorgan Chase Bank, N.A. | 1.01% | 12 Month ESTRON | EUR 1,453 | 4/13/27 | Annually | 99 | 99 |  |
| JPMorgan Chase Bank, N.A. | 1.90% | ESTRON | EUR 345 | 2/28/30 | Annually | 17 | 17 |  |
| JPMorgan Chase Bank, N.A. | 3.89% | SONIA | GBP 1,761 | 12/21/27 | Annually | (24) |  | 24 |
| Morgan Stanley & Co. | 1.64% | 3 Month SOFR | USD 593 | 8/8/27 | Annually | 46 | 46 |  |
| Morgan Stanley & Co. | 2.74% | SOFR | USD 3,668 | 9/6/27 | Annually | 124 | 124 |  |
| Morgan Stanley & Co. | 3.32% | SOFR | USD 2,597 | 6/5/28 | Annually | (3) |  | 3 |
| **Total Interest Rate Swaps** | **Total Interest Rate Swaps** |  |  |  |  | $**417** | $**460** | $**43** |

---

**Cross-Currency Swaps**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Fund Pays** | **Fund Receives** | **Notional<br> Amount of<br> Currency<br> Delivered** | **Notional<br> Amount of<br> Currency<br> Received** | **Expiration Date** | **Periodic<br> Payment<br> Frequency** | **Fair<br> Value**<sup>(c)</sup>** | **Unrealized Appreciation** | **Unrealized Depreciation** |
| JPMorgan Chase Bank, N.A. | 3 Month ESTRON plus a spread of (0.255%) | SOFR | EUR 11,312 | USD 11,844 | 12/6/25 | &nbsp;&nbsp;Quarterly | $(369) | $– $| 369 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Fund Pays** | **Fund Receives** | **Notional<br> Amount of<br> Currency<br> Delivered** | **Notional<br> Amount of<br> Currency<br> Received** | **Expiration Date** | **Periodic<br> Payment<br> Frequency** | **Fair<br> Value**<sup>(c)</sup>** | **Unrealized Appreciation** | **Unrealized Depreciation** |
| JPMorgan Chase Bank, N.A. | 3 Month SONIA plus a spread of (0.183%) | SOFR | GBP 4,590 | USD 5,614 | 12/6/25 | &nbsp;&nbsp;Quarterly | $(24) | $— | $24 |
| JPMorgan Chase Bank, N.A. | 3 Month ESTRON plus a spread of (0.1975%) | SOFR | EUR 27,724 | USD 29,191 | 1/9/26 | &nbsp;&nbsp;Quarterly | (918) |  | 918 |
| JPMorgan Chase Bank, N.A. | 3 Month EURIBOR plus a spread of (0.085%) | 3 Month LIBOR | EUR 1,744 | USD 1,683 | 3/23/23 | &nbsp;&nbsp;Quarterly | 153 | 153 |  |
| JPMorgan Chase Bank, N.A. | 3 Month EURIBOR plus a spread of (0.195%) | 3 Month LIBOR | EUR 794 | USD 914 | 10/5/23 | &nbsp;&nbsp;Quarterly | 55 | 55 |  |
| JPMorgan Chase Bank, N.A. | 3 Month EURIBOR plus a spread of (0.2335%) | 3 Month LIBOR | EUR 464 | USD 541 | 6/1/23 | &nbsp;&nbsp;Quarterly | 40 | 40 |  |
| JPMorgan Chase Bank, N.A. | 3 Month EURIBOR plus a spread of (0.16375%) | 3 Month LIBOR | EUR 4,212 | USD 4,909 | 7/20/23 | &nbsp;&nbsp;Quarterly | 339 | 339 |  |
| JPMorgan Chase Bank, N.A. | 3 Month EURIBOR plus a spread of (0.19%) | 3 Month LIBOR | EUR 720 | USD 818 | 8/20/23 | &nbsp;&nbsp;Quarterly | 42 | 42 |  |
| JPMorgan Chase Bank, N.A. | 3 Month EURIBOR plus a spread of (0.1435%) | 3 Month LIBOR | EUR 1,977 | USD 2,249 | 12/3/23 | &nbsp;&nbsp;Quarterly | 113 | 113 |  |
| JPMorgan Chase Bank, N.A. | 3 Month SONIA plus a spread of 0.1018% | 3 Month LIBOR | GBP 2,027 | USD 2,823 | 3/12/23 | &nbsp;&nbsp;Quarterly | 351 | 351 |  |
| JPMorgan Chase Bank, N.A. | 3 Month EURIBOR plus a spread of (0.0677%) | 3 Month LIBOR | EUR 4,618 | USD 5,472 | 7/23/23 | &nbsp;&nbsp;Quarterly | 466 | 466 |  |
| JPMorgan Chase Bank, N.A. | 3 Month EURIBOR plus a spread of (0.075%) | 3 Month LIBOR | EUR 1,199 | USD 1,407 | 8/13/23 | &nbsp;&nbsp;Quarterly | 114 | 114 |  |
| JPMorgan Chase Bank, N.A. | 3 Month EURIBOR plus a spread of (0.072%) | 3 Month LIBOR | EUR 5,365 | USD 3,657 | 12/15/23 | &nbsp;&nbsp;Quarterly | 152 | 152 |  |
| JPMorgan Chase Bank, N.A. | 3 Month EURIBOR plus a spread of (0.0925%) | 3 Month LIBOR | EUR 4,475 | USD 5,170 | 11/5/23 | &nbsp;&nbsp;Quarterly | 355 | 355 |  |
| **Total Cross-Currency Swaps** |  |  |  |  |  |  | $**869** | $**2180** | $**1311** |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Debt Swaps**<sup>(f)</sup>** | **Total Return Debt Swaps**<sup>(f)</sup>** | **Total Return Debt Swaps**<sup>(f)</sup>** | **Total Return Debt Swaps**<sup>(f)</sup>** | **Total Return Debt Swaps**<sup>(f)</sup>** | **Total Return Debt Swaps**<sup>(f)</sup>** | | | |
| **Counterparty** | **Fund Pays** | **Fund Receives** | **Notional<br> Amount** | **Expiration Date** | **Periodic Payment Frequency** | <br>**Fair<br> Value**<sup>(c)</sup>** | <br>**Unrealized Appreciation** | <br>**Unrealized Depreciation** |
| Bank of America, N.A. | SIFMA Municipal Swap Index plus a spread of 1.45% | Texas Department of Housing and Community Affairs Multifamily Housing Revenue Bonds (Santora Villas Apartments, 5.80%, 5/1/2047), Series 2007 | USD 619 | 5/1/47 | Monthly | $(9) | $— | $9 |
| Bank of America, N.A. | SIFMA Municipal Swap Index plus a spread of 1.30% | City of Los Angeles Multifamily Housing Revenue Bonds (Windward Preservation Apartments, 5.85%, 10/1/2044), Series 2006C | USD 403 | 6/1/23 | Monthly | (10) |  | 10 |
| Bank of America, N.A. | SIFMA Municipal Swap Index plus a spread of 1.30% | Sacramento Housing Authority Multifamily Revenue Bonds (Willow Glen Apartments, 5.75%, 4/1/2056), Series 2007F | USD 247 | 6/1/23 | Monthly | (10) |  | 10 |
| Bank of America, N.A. | SIFMA Municipal Swap Index plus a spread of 1.30% | California Statewide Communities Development Authority Multifamily Housing Revenue Bonds (La Mission Village Apartments Project, 5.75%, 5/1/2049), Series 2006Q | USD 223 | 6/1/23 | Monthly | (12) |  | 12 |
| Bank of America, N.A. | SIFMA Municipal Swap Index plus a spread of 1.45% | District of Columbia Housing Finance Agency Multifamily Housing Revenue Bonds (Carver Apartments Project, 5.88%, 10/1/2049), Series 2006 | USD 369 | 6/1/23 | Monthly | (13) |  | 13 |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Fund Pays** | **Fund Receives** | **Notional<br> Amount** | **Expiration Date** | **Periodic Payment Frequency** | **Fair<br> Value**<sup>(c)</sup>** | **Unrealized Appreciation** | **Unrealized Depreciation** |
| Bank of America, N.A. | SIFMA Municipal Swap Index plus a spread of 1.30% | San Antonio Housing Finance Corporation Multifamily Housing Revenue Bonds (Artisan at Salado Heights, 5.80%, 5/1/2050), Series 2006 | USD 700 | 6/1/23 | Monthly | $(13) | $— | $13 |
| Bank of America, N.A. | SIFMA Municipal Swap Index plus a spread of 1.45% | Louisiana Housing Finance Agency Multifamily Housing Revenue Bonds (The Crossings Apartments, 6.15%, 5/1/2048) Series 2006 | USD 374 | 5/1/48 | Monthly | (14) |  | 14 |
| Bank of America, N.A. | SIFMA Municipal Swap Index plus a spread of 1.45% | California Statewide Communities Development Authority Multifamily Housing Revenue Bonds (Rose of Sharon Senior Homes, 5.85%, 3/1/2045) Series 2006PP | USD 273 | 12/1/36 | Monthly | (17) |  | 17 |
| Bank of America, N.A. | SIFMA Municipal Swap Index plus a spread of 1.45% | San Antonio Housing Finance Corporation Multifamily Housing Revenue Bonds (Costa Miranda Apartments Project, 6.10%, 10/1/2050), Series 2006 | USD 601 | 10/1/50 | Monthly | (31) |  | 31 |
| Bank of America, N.A. | SIFMA Municipal Swap Index plus a spread of 1.45% | Massachusetts Development Finance Agency Housing Revenue Bonds (East Canton Apartments Project, 5.90%, 5/1/2055) Series 2006A | USD 587 | 5/1/55 | Monthly | (33) |  | 33 |
| **Total Total Return Debt Swaps** | **Total Total Return Debt Swaps** | **Total Total Return Debt Swaps** |  |  |  | $**(162)** | $**—** | $**162** |

---

 

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands, except share amounts)**

(a) Security may be an obligation of one or more entities affiliated with the named company.

(b) Denominated in U.S. dollars unless otherwise noted.

(c) Fair value is determined by the board of trustees of FS Credit Income Fund's (the "Fund") investment adviser, FS Credit Income Advisor, LLC, which has been designated by the Fund's Board as its valuation designee. For information on the Fund's policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to the Fund's most recent audited financial statements.

(d) Certain variable rate securities in the Fund's portfolio bear interest at a rate determined by a publicly disclosed base rate plus a basis point spread. As of January 31, 2023, the one-month, three-month and six-month London Interbank Offered Rate ("LIBOR" or "L") was 4.57%, 4.81% and 5.10%, respectively, the one-month, three-month and six-month Euro Interbank Offered Rate ("EURIBOR" or "E") was 2.18%, 2.51% and 2.99%, respectively, the three-month GBP London Interbank Offered Rate ("GBP LIBOR" or "L GBP") was 4.12%, the Swiss Average Rate Overnight ("SARON") was 0.95%, the SIFMA Municipal Swap Index was 1.66%, the Sterling Overnight Index Average ("SONIA") was 3.43%, the U.S. Prime rate ("P") was 7.50%, the one-month, three-month and six-month Secured Overnight Financing Rate ("SOFR" or "S") was 4.57%, 4.69% and 4.84%, respectively, and the Euro Short-Term Rate Volume Weighted Trimmed Mean Rate ("ESTRON") was 1.89%.

(e) Position or portion thereof unsettled as of January 31, 2023.

(f) Security is classified as Level 3 in the Fund's fair value hierarchy (See Notes to Unaudited Consolidated Schedule of Investments).

(g) Security is an unfunded commitment. The stated rate reflects the spread disclosed at the time of commitment and may not indicate the actual rate received upon funding.

(h) Exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $255,206, which represents approximately 50.6% of net assets as of January 31, 2023.

(i) Security or portion thereof is pledged as collateral supporting the amounts outstanding under the reverse repurchase agreement.

(j) Security or portion thereof is pledged as collateral supporting the amounts outstanding under the prime brokerage facility with BNP Paribas Prime Brokerage International, Ltd. ("BNP"). Securities may be rehypothecated from time to time as permitted under Rule 15c-1(a)(1) promulgated under the Securities Exchange Act of 1934, as amended, subject to terms and conditions governing the prime brokerage facility with BNP. As of January 31, 2023, there were no securities rehypothecated by BNP.

(k) Security is in default.

(l) Variable or floating rate security for which the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(m) Security is non-income producing.

(n) The security has a perpetual maturity; the date displayed is the next call date.

(o) Issued with a zero coupon. Income is recognized through the accretion of discount.

(p) Issuer of the security is an affiliate of the Fund's investment sub-adviser, GoldenTree Sub-Advisor.

(q) Security is reflected in shares.

(r) Security held within FS Credit Income Equity Blocker, LLC, a wholly-owned subsidiary of the Fund.

(s) Rate represents the seven-day yield as of January 31, 2023. The Morgan Stanley Institutional Liquid Reserves Fund's financial statements are available on the SEC's website at http://www.sec.gov.

(t) Includes the effect of investments sold short, forward foreign currency exchange contracts, swap contracts and reverse repurchase agreements payable.

---

| | |
|:---|:---|
| CDO | - Collateralized Debt Obligation |
| CHF | - Swiss Franc |
| COP | - Certificates of Participation |
| EUR | - Euro |
| FRN | - Floating Rate Note |
| GBP | - British Pound |
| MBS | - Mortgage-Backed Security |
| PIK | - Payment In Kind |
| USD | - U.S. Dollar |
| £| - British Pound |
| € | - Euro |
| $| - U.S. Dollar |

---

*See notes to unaudited consolidated financial statements.*

**FS Credit Income Fund**

**Notes to Unaudited Consolidated Schedule of Investments**

**As of January 31, 2023**

**(in thousands)**

**Investment Portfolio**

*The information contained in this section should be read in conjunction with the Fund's audited consolidated financial statements contained in its annual report for the fiscal year ended October 31, 2022.* 

The following table summarizes the composition of the Fund's investment portfolio at cost and fair value as of January 31, 2023:

---

| | | | |
|:---|:---|:---|:---|
|  | **Amortized <br> Cost**<sup>(1)</sup>**  | **Fair Value** | **Percentage<br> of Portfolio** |
| Senior Secured Loans—First Lien  | $139611 | $137140 | 23% |
| Senior Secured Loans—Second Lien | 13614 | 13178 | 2% |
| Senior Secured Bonds | 77590 | 73685 | 13% |
| Unsecured Bonds | 202700 | 200468 | 34% |
| Collateralized Loan Obligation (CLO) / Structured Credit | 129414 | 126321 | 21% |
| Convertible Bonds | 14540 | 11301 | 2% |
| Municipal Bonds | 5989 | 5818 | 1% |
| Emerging Markets Debt | 12185 | 11186 | 2% |
| Government Bonds | 93 | 90 | 0% |
| Preferred Equity | 2010 | 1690 | 0% |
| Common Equity | 2876 | 3430 | 1% |
| Short-Term Investments | 4091 | 4091 | 1% |
| Total | $604713 | $588398 | 100% |

---

<sup>(1)</sup> Amortized cost represents the original cost adjusted for the amortization of premiums and/or accretion of discounts, as applicable, on investments.

In general, under the 1940 Act, the Fund would be presumed to "control" a portfolio company if it owned more than 25% of its voting securities or had the power to exercise control over the management or policies of such portfolio company, and would be an "affiliated person" of a portfolio company if it owned 5% or more of its voting securities.

As of January 31, 2023, the Fund did not "control" any of its portfolio companies and was not an "affiliated person" of any of its portfolio companies, each as defined in the 1940 Act.

The Fund's investment portfolio may contain loans and other unfunded arrangements that are in the form of lines of credit or revolving credit facilities, or other investments, which require the Fund to provide funding when requested by portfolio companies in accordance with the terms of the underlying agreements. As of January 31, 2023, the Fund had unfunded commitments of $3,905. The Fund maintains sufficient cash on hand, available borrowings and liquid securities to fund any unfunded commitments should the need arise.

The table below describes investments by industry classification and enumerates the percentage, by fair value, of the total portfolio assets in such industries as of January 31, 2023:

---

| | | |
|:---|:---|:---|
| **Industry Classification** | **Fair Value** | **Percentage<br> of Portfolio** |
| &nbsp;&nbsp;&nbsp;&nbsp;USD CLO | $79272 | 13% |
| &nbsp;&nbsp;&nbsp;&nbsp;Media Entertainment | 46760 | 8% |
| &nbsp;&nbsp;&nbsp;&nbsp;Oil & Gas | 39038 | 7% |
| &nbsp;&nbsp;&nbsp;&nbsp;EUR CLO | 34938 | 6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Leisure Time | 33938 | 6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Retail | 31029 | 5% |
| &nbsp;&nbsp;&nbsp;&nbsp;Healthcare-Services | 24988 | 4% |
| &nbsp;&nbsp;&nbsp;&nbsp;Pharmaceuticals | 22991 | 4% |
| &nbsp;&nbsp;&nbsp;&nbsp;Chemicals | 22622 | 4% |
| &nbsp;&nbsp;&nbsp;&nbsp;Telecommunications | 21515 | 4% |
| &nbsp;&nbsp;&nbsp;&nbsp;Diversified Financial Services | 16048 | 3% |
| &nbsp;&nbsp;&nbsp;&nbsp;Advertising | 12992 | 2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Electric | 12856 | 2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Software | 11994 | 2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Banks | 10614 | 2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Lodging | 9813 | 2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Internet | 9593 | 2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Pipelines | 9172 | 2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Other | 138225 | 22% |
| &nbsp;&nbsp;&nbsp;&nbsp;Total | $588398 | 100% |

---

**FS Credit Income Fund**

**Notes to Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands)**

Under existing accounting guidance, fair value is defined as the price that the Fund would receive upon selling an investment or pay to transfer a liability in an orderly transaction to a market participant in the principal or most advantageous market for the investment. This accounting guidance emphasizes that valuation techniques maximize the use of observable market inputs and minimize the use of unobservable inputs. Inputs refer broadly to the assumptions that market participants would use in pricing an asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the Fund. Unobservable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances.

The Fund classifies the inputs used to measure these fair values into the following hierarchy as defined by current accounting guidance:

*Level 1*: Inputs that are quoted prices (unadjusted) in active markets for identical assets or liabilities.

*Level 2*: Inputs that are quoted prices for similar assets or liabilities in active markets.

*Level 3*: Inputs that are unobservable for an asset or liability.

A financial instrument's categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement.

As of January 31, 2023, the Fund's investments and derivatives were categorized as follows in the fair value hierarchy:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Asset Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Senior Secured Loans—First Lien | $— | $109389 | $27751 | $137140 |
| Senior Secured Loans—Second Lien |  | 10477 | 2701 | 13178 |
| Senior Secured Bonds |  | 73685 |  | 73685 |
| Unsecured Bonds |  | 199656 | 812 | 200468 |
| Collateralized Loan Obligation (CLO) / Structured Credit |  | 122812 | 3509 | 126321 |
| Convertible Bonds |  | 11301 |  | 11301 |
| Municipal Bonds |  | 5818 |  | 5818 |
| Emerging Markets Debt |  | 11186 |  | 11186 |
| Government Bonds |  | 90 |  | 90 |
| Preferred Equity |  | 2 | 1688 | 1690 |
| Common Equity | 1413 | 1806 | 211 | 3430 |
| Short-Term Investments |  | 4091 |  | 4091 |
| **Total Investments** | **1413** | **550313** | **36672** | **588398** |
| Forward Foreign Currency Exchange Contracts |  | 740 |  | 740 |
| Interest Rate Swaps |  | 460 |  | 460 |
| Cross-Currency Swaps |  | 2180 |  | 2180 |
| **Total Assets** | $**1413** | $**553693** | $**36672** | $**591778** |
| **Liability Description** |  |  |  |  |
| Reverse Repurchase Agreements | $— | $(12557) | $— | $(12557) |
| Government Bonds Sold Short |  | (1864) |  | (1864) |
| Forward Foreign Currency Exchange Contracts |  | (924) |  | (924) |
| Interest Rate Swaps |  | (43) |  | (43) |
| Cross-Currency Swaps |  | (1311) |  | (1311) |
| Total Return Debt Swaps |  |  | (162) | (162) |
| **Total Liabilities** | $**—** | $**(16699)** | $**(162)** | $**(16861)** |

---

**FS Credit Income Fund**

**Notes to Unaudited Consolidated Schedule of Investments (continued)**

**As of January 31, 2023**

**(in thousands)**

The following is a reconciliation for the three months ended January 31, 2023 of investments for which significant unobservable inputs (Level 3) were used in determining fair value:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | <br>**Senior Secured Loans—First Lien**  | <br>**Senior Secured Loans—Second Lien**  | <br>**Unsecured Bonds**  | **Collateralized Loan Obligation (CLO)/ Structured Credit** | <br>**Preferred Equity**  | <br>**Common Equity**  | <br>**Total**  |
| Fair value at beginning of period | $26990 | $2702 | $815 | $3205 | $1896 | $316 | $35924 |
| Accretion of discount (amortization of premium) | 20 | 2 |  |  |  |  | 22 |
| Realized gain (loss) | 2 |  |  | (10) |  |  | (8) |
| Net change in unrealized appreciation (depreciation) | 303 | (3) | (3) | 309 | (208) | (105) | 293 |
| Purchases | 534 |  |  | 82 |  |  | 616 |
| Sales | (98) |  |  | (77) |  |  | (175) |
| Fair value at end of period | $27751 | $2701 | $812 | $3509 | $1688 | $211 | $36672 |
| The amount of total gains or losses for the period included in changes in net assets attributable to the change in unrealized gains or losses relating to investments still held at the reporting date | $303 | $(4) | $(3) | $309 | $(83) | $(105) | $417 |

---

The following is a reconciliation for the three months ended January 31, 2023 of the interest rate swaps and total return debt swaps for which significant unobservable inputs (Level 3) were used in determining fair value:

---

| | | |
|:---|:---|:---|
|  | **Interest Rate Swaps** | **Total Return <br> Debt Swaps** |
| Fair value at beginning of period | $(33) | $(158) |
| Accretion of discount (amortization of premium) |  |  |
| Realized gain (loss) | 3 | 18 |
| Net change in unrealized appreciation (depreciation) | 33 | (4) |
| Sales and repayments | (3) | (18) |
| Net transfers in or out of Level 3 |  |  |
| Fair value at end of period | $— | $(162) |
| The amount of total gains or losses for the period included in changes in net assets attributable to <br> the change in unrealized gains or losses relating to investments still held at the reporting date | $— | $(4) |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** FS Credit Income Fund

- **b. Investment Company Act file number:** 811-23221

- **c. CIK number of Registrant:** 0001688897

- **d. LEI of Registrant:** 549300BXKIPDIJFNPT82

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

  - **Street Address 1:** 201 ROUSE BOULEVARD

  - **City:** PHILADELPHIA

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19112

  - **Telephone number:** 215-495-1150

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

- **a. Name of Series:** FS Credit Income Fund

- **c. LEI of Series:** 549300BXKIPDIJFNPT82

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**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:** $568693476.00

**Total Liabilities:** $64515923.00

**Net Assets:** $504177553.00

**Amount of Assets Invested in Other Investment Companies:** $1667513.20

**Delayed Delivery Securities:** $18660721.69

**Cash Not Reported:** $5437282.89

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -686.14000000 | **1-Year:** -7646.59000000 | **5-Year:** -15367.30000000 | **10-Year:** -10064.52000000 | **30-Year:** -6608.57000000

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

- **3-Month:** -1525.16000000 | **1-Year:** -28103.61000000 | **5-Year:** -98519.10000000 | **10-Year:** -33780.02000000 | **30-Year:** -3368.31000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 2.52%                | 0.02%                | 3.53%                |
| Class ID N/A | 2.53%                | 0.06%                | 3.54%                |
| Class ID N/A | 2.54%                | -0.04%               | 3.47%                |
| Class ID N/A | 2.53%                | 0.02%                | 3.45%                |
| Class ID N/A | 2.54%                | 0.09%                | 3.55%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2571673.26             | $16818353.42                               |
| Month 2  | $-1406922.51             | $770322.16                                 |
| Month 3  | $-1519159.84             | $17267490.28                               |

**Designated Index Information**

- **Index Name:** Securities Portfolio VaR

- **Index Identifier:** Designated Reference Portfolio is the Fund`s Securities Portfolio

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Cairn CLO BV                                                          | Cairn CLO VI DAC                                                                                                       | CUSIP: 000000000<br>LEI: 549300Y5W5PXZBF04375 | Long             | ABS-CBDO         | CORP              | IE        |    190000 | PA      | $176975.92    | 0.04%             | 2029-07-25      | Floating      | 10.70%                | Yes           |                  2 | On Loan: No      |
| Sound Point EURO CLO Funding DAC                                      | Sound Point Euro CLO V Funding DAC                                                                                     | CUSIP: 000000000<br>LEI: 635400C9UNRNNADDDC68 | Long             | ABS-CBDO         | CORP              | IE        |    210000 | PA      | $215535.63    | 0.04%             | 2035-07-25      | Floating      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Hull Street CDO Ltd                                                   | Hull Street CLO Ltd                                                                                                    | CUSIP: 444838AG1<br>LEI: 549300W5TZ4WI4ZLP434 | Long             | ABS-CBDO         | CORP              | US        |    194929 | PA      | $192858.04    | 0.04%             | 2026-10-18      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VAC BOR ESC                                              | Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc                                       | CUSIP: 43284MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1062000 | PA      | $951228.09    | 0.19%             | 2029-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lightstone Holdco LLC                                                 | Lightstone Holdco LLC 2022 Extended Term Loan C                                                                        | CUSIP: 53226GAL5<br>LEI: 549300VXK6UGDG7H3G98 | Long             | LON              | CORP              | US        |    225855 | PA      | $201179.98    | 0.04%             | 2027-01-29      | Floating      | 10.31%                | No            |                  2 | On Loan: No      |
| Endure Digital Inc.                                                   | Endure Digital Inc. Term Loan                                                                                          | CUSIP: 29279UAB2<br>LEI: 549300UTQC2651SB0W88 | Long             | LON              | CORP              | US        |   1362510 | PA      | $1289561.57   | 0.26%             | 2028-02-10      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| SPN NEW UN PE                                                         | SPN NEW UN   PE                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     26438 | NS      | $1714068.07   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                              | Hilton Domestic Operating Co Inc                                                                                       | CUSIP: 432833AH4<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    734000 | PA      | $729045.50    | 0.14%             | 2028-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AssuredPartners, Inc.                                                 | AssuredPartners, Inc. 2020 Term Loan B                                                                                 | CUSIP: 04621HAN3<br>LEI: 549300HNDSDQWQ3L2P80 | Long             | LON              | CORP              | US        |   1327915 | PA      | $1316016.99   | 0.26%             | 2027-02-12      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| JFIN CLO Ltd                                                          | JFIN CLO 2015-II Ltd                                                                                                   | CUSIP: 03755AAA6<br>LEI: 254900VJGL23NNLC3592 | Long             | ABS-CBDO         | CORP              | US        |    330000 | PA      | $325756.86    | 0.06%             | 2026-10-17      | Floating      | 10.89%                | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QA51<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     80000 | PA      | $57600.00     | 0.01%             | 2043-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MITCHELLS & BUTLERS FINA                                              | Mitchells & Butlers Finance PLC                                                                                        | CUSIP: 000000000<br>LEI: 213800E7QA1U8BF34219 | Long             | SN               | CORP              | GB        |    972000 | PA      | $958663.79    | 0.19%             | 2034-09-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                               | Long: EURZS11Z4 CYS USD R V 03MLIBOR US0003M + 0 BPS / Short: EURZS11Z4 CYS EUR P V 03MEURIB EUR003M -19.5BP           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |         1 | NC      | $52581.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAP LLC/C                                              | Outfront Media Capital LLC / Outfront Media Capital Corp                                                               | CUSIP: 69007TAE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    255000 | PA      | $219503.36    | 0.04%             | 2029-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTL                                                      | MGM Resorts International                                                                                              | CUSIP: 552953CH2<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1307543.73   | 0.26%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                                                       | Atrium XIV LLC                                                                                                         | CUSIP: 04965LAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $241740.50    | 0.05%             | 2030-08-23      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                                      | CARLYLE US CLO 2017-5 Ltd                                                                                              | CUSIP: 14316AAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    440000 | PA      | $416507.08    | 0.08%             | 2030-01-20      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                         | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-34.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NMG HLDCO/NEIMAN MARCUS                                               | NMG Holding Co Inc / Neiman Marcus Group LLC                                                                           | CUSIP: 62929RAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5338000 | PA      | $5104805.15   | 1.01%             | 2026-04-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| QVC INC                                                               | QVC Inc                                                                                                                | CUSIP: 747262AZ6<br>LEI: 549300WBLU5NKPX5X472 | Long             | DBT              | CORP              | US        |    808000 | PA      | $522361.90    | 0.10%             | 2028-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                                              | OZLM XVI Ltd                                                                                                           | CUSIP: 67111KAG5<br>LEI: 54930042UBEHLEPQ4B17 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $221835.75    | 0.04%             | 2030-05-16      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                                        | Galaxy Xxiv Clo Ltd                                                                                                    | CUSIP: 000000000<br>LEI: 6354006LLTU5DRVJLQ86 | Long             | ABS-CBDO         | CORP              | US        |    550000 | PA      | $510957.15    | 0.10%             | 2031-01-15      | Floating      | 7.24%                 | Yes           |                  2 | On Loan: No      |
| Riverbed Technology, Inc.                                             | Riverbed Technology, Inc. 2021 PIK Exit Term Loan                                                                      | CUSIP: 000000000<br>LEI: XWT9B0BASIY6FJ5R7M02 | Long             | LON              | CORP              | US        |    518191 | PA      | $229299.66    | 0.05%             | 2026-12-07      | Floating      | 10.84%                | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                   | Petroleos Mexicanos                                                                                                    | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   3241000 | PA      | $2824197.68   | 0.56%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                                               | Standard Industries Inc/NJ                                                                                             | CUSIP: 853496AG2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    669000 | PA      | $572644.52    | 0.11%             | 2030-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                            | GAM RE-REMIC TRUST 2021-FRR2                                                                                           | CUSIP: 36459TCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29000 | PA      | $16295.67     | 0.00%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MACY'S RETAIL HLDGS LLC                                               | Macy's Retail Holdings LLC                                                                                             | CUSIP: 55617LAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    674000 | PA      | $615958.49    | 0.12%             | 2030-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                 | Argentine Republic Government International Bond                                                                       | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    182959 | PA      | $67665.49     | 0.01%             | 2038-01-09      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| PETSMART INC/PETSMART FI                                              | PetSmart Inc / PetSmart Finance Corp                                                                                   | CUSIP: 71677KAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2789000 | PA      | $2744977.67   | 0.54%             | 2029-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                            | GAM RE-REMIC TRUST 2021-FRR2                                                                                           | CUSIP: 36459TBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46000 | PA      | $32542.84     | 0.01%             | 2051-09-27      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| Bausch Health Companies Inc.                                          | Bausch Health Companies Inc. 2022 Term Loan B                                                                          | CUSIP: 000000000<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | LON              | CORP              | CA        |   3087617 | PA      | $2389583.81   | 0.47%             | 2027-02-01      | Floating      | 9.83%                 | No            |                  2 | On Loan: No      |
| Greywolf CLO Ltd                                                      | Greywolf CLO V Ltd                                                                                                     | CUSIP: 39808PAQ9<br>LEI: 549300RJBZLY8V18YD77 | Long             | ABS-CBDO         | CORP              | US        |    740000 | PA      | $706939.76    | 0.14%             | 2031-01-27      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                                              | CHS/Community Health Systems Inc                                                                                       | CUSIP: 12543DBK5<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    755000 | PA      | $578686.82    | 0.11%             | 2031-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| American Tire Distributors Holdings, Inc.                             | American Tire Distributors Holdings, Inc. 2021 Term Loan B                                                             | CUSIP: 03021BAL8<br>LEI: HZ8T88YVE2JVXJ0BTQ24 | Long             | LON              | CORP              | US        |   1148500 | PA      | $1063620.51   | 0.21%             | 2028-10-20      | Floating      | 11.07%                | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                              | Madison Park Funding XVIII Ltd                                                                                         | CUSIP: 55819BAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $233599.75    | 0.05%             | 2030-10-21      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                                        | Galaxy XXVII CLO Ltd                                                                                                   | CUSIP: 36320UAJ9<br>LEI: 549300GJYHKO4BDEN716 | Long             | ABS-CBDO         | CORP              | US        |   1290000 | PA      | $1223548.23   | 0.24%             | 2031-05-16      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                                                | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC                                                  | CUSIP: 013092AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    596000 | PA      | $583248.58    | 0.12%             | 2028-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                            | Mercury Financial Credit Card Master Trust Revolver                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   5281550 | PA      | $5123103.50   | 1.02%             | 2025-04-21      | Floating      | 11.62%                | No            |                  2 | On Loan: No      |
| American Greetings Corp                                               | American Greetings Corp                                                                                                | CUSIP: 026375AR6<br>LEI: 549300WMJOT8C9DNMF90 | Long             | DBT              | CORP              | US        |   3448000 | PA      | $3418054.12   | 0.68%             | 2025-04-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                               | Royal Caribbean Cruises Ltd                                                                                            | CUSIP: 780153BG6<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |   1117000 | PA      | $962094.44    | 0.19%             | 2028-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD                                            | Atlas Senior Loan Fund IX Ltd                                                                                          | CUSIP: 04941VAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $239417.75    | 0.05%             | 2028-04-20      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Avoca CLO                                                             | Avoca CLO XI DAC                                                                                                       | CUSIP: 000000000<br>LEI: 635400ZMWQZGBPHKHU66 | Long             | ABS-CBDO         | CORP              | IE        |    210000 | PA      | $200150.74    | 0.04%             | 2030-07-15      | Floating      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| ZF EUROPE FINANCE BV                                                  | ZF Europe Finance BV                                                                                                   | CUSIP: 000000000<br>LEI: 549300RI533US2G6G542 | Long             | DBT              | CORP              | NL        |   1400000 | PA      | $1259480.39   | 0.25%             | 2029-10-23      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| VISTRA CORP                                                           | Vistra Corp                                                                                                            | CUSIP: 92840MAC6<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |   1812000 | PA      | $1696639.02   | 0.34%             | 2026-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                               | GLP Capital LP / GLP Financing II Inc                                                                                  | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    137000 | PA      | $113758.51    | 0.02%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                                                  | Steele Creek CLO 2014-1 Ltd                                                                                            | CUSIP: 85816WAG9<br>LEI: 549300ZMV389HVGL0K94 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $236318.75    | 0.05%             | 2031-04-21      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG 2006                                                | FMG Resources August 2006 Pty Ltd                                                                                      | CUSIP: 30251GBD8<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |    851000 | PA      | $832086.53    | 0.17%             | 2030-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MSILF Government Portfolio                                            | MSILF Government Portfolio                                                                                             | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | EC               | RF                | US        |   4090640 | NS      | $4090639.63   | 0.81%             |  |  |  | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.                                         | Anchorage Credit Funding 2 Ltd                                                                                         | CUSIP: 03329MAQ2<br>LEI: 549300A5WKMO0YA6UL92 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $201435.75    | 0.04%             | 2038-04-25      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                 | TENET HEALTHCARE CORP                                                                                                  | CUSIP: 88033GDS6<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |   1629000 | PA      | $1598594.72   | 0.32%             | 2027-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Methanex Corp                                                         | Methanex Corp                                                                                                          | CUSIP: 59151KAJ7<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |   1429000 | PA      | $1181600.53   | 0.23%             | 2044-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| NOVELIS SHEET INGOT GMBH                                              | Novelis Sheet Ingot GmbH                                                                                               | CUSIP: 000000000<br>LEI: 9845005E95899E77AY49 | Long             | DBT              | CORP              | DE        |   1075000 | PA      | $1021939.29   | 0.20%             | 2029-04-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| SPN NEW RES PE                                                        | SPN NEW RES   PE                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1228 | NS      | $79615.54     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Ares Euro CLO                                                         | Ares European CLO IX DAC                                                                                               | CUSIP: 000000000<br>LEI: 635400CHZGKV2SV7J547 | Long             | ABS-CBDO         | CORP              | IE        |    290000 | PA      | $264237.81    | 0.05%             | 2030-10-14      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| CARNIVAL HLDGS BM LTD                                                 | Carnival Holdings Bermuda Ltd                                                                                          | CUSIP: 14366RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1515000 | PA      | $1638434.63   | 0.32%             | 2028-05-01      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| Cloud Software Group, Inc.                                            | Cloud Software Group, Inc. 2022 USD Term Loan                                                                          | CUSIP: 88632NAV2<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | LON              | CORP              | US        |   1570000 | PA      | $1453231.24   | 0.29%             | 2029-03-30      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QLH3<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     15000 | PA      | $10087.50     | 0.00%             | 2017-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                              | Madison Park Funding XX Ltd                                                                                            | CUSIP: 55819TAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    675000 | PA      | $638811.23    | 0.13%             | 2030-07-27      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| ZI TECH LLC/ZI FIN CORP                                               | ZoomInfo Technologies LLC/ZoomInfo Finance Corp                                                                        | CUSIP: 98981BAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1032000 | PA      | $891477.72    | 0.18%             | 2029-02-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| St Pauls CLO                                                          | St Paul's CLO III-R DAC                                                                                                | CUSIP: 000000000<br>LEI: 549300IKOW2IAQAUBN56 | Long             | ABS-CBDO         | CORP              | IE        |    100000 | PA      | $101320.12    | 0.02%             | 2032-01-15      | Floating      | 3.89%                 | Yes           |                  2 | On Loan: No      |
| VIBRANTZ TECH INC                                                     | Vibrantz Technologies Inc                                                                                              | CUSIP: 69357VAA3<br>LEI: 549300GYZ1T3S8OPH343 | Long             | DBT              | CORP              | US        |   1982000 | PA      | $1530399.71   | 0.30%             | 2030-02-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| ADVISOR GROUP HOLDINGS I                                              | Advisor Group Holdings Inc                                                                                             | CUSIP: 00791GAA5<br>LEI: 549300XL60BDV6UW5C86 | Long             | DBT              | CORP              | US        |   1206000 | PA      | $1245860.78   | 0.25%             | 2027-08-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| TWILIO INC                                                            | Twilio Inc                                                                                                             | CUSIP: 90138FAC6<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |   1101000 | PA      | $936224.34    | 0.19%             | 2029-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                              | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-397.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Penta CLO S.A.                                                        | Penta Clo 9 DAC                                                                                                        | CUSIP: 000000000<br>LEI: 549300FTCSBBS0J25486 | Long             | ABS-CBDO         | CORP              | IE        |    335000 | PA      | $325503.61    | 0.06%             | 2036-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Newstar Fairfield Fund CLO LTD                                        | NEWSTAR EXETER FUND CLO LLC                                                                                            | CUSIP: 31679NAL8<br>LEI: 549300BLD00YT7O8WE90 | Long             | ABS-CBDO         | CORP              | US        |    422797 | PA      | $422021.23    | 0.08%             | 2027-01-20      | Floating      | 12.01%                | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD                                            | Atlas Senior Loan Fund III Ltd                                                                                         | CUSIP: 04941GAS7<br>LEI: 635400UCHZNUTGTBTH21 | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $475485.50    | 0.09%             | 2027-11-17      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                              | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1562000 | PA      | $1307420.90   | 0.26%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lockwood Grove CLO Ltd                                                | Lockwood Grove CLO LTD                                                                                                 | CUSIP: 54008PBC6<br>LEI: 5493002M81H40VJBI051 | Long             | ABS-CBDO         | CORP              | US        |    550000 | PA      | $524576.80    | 0.10%             | 2030-01-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                               | Long: EURZS11ZZ CYS USD R V 03MLIBOR US0003M + 0 BPS / Short: EURZS11ZZ CYS EUR P V 03MEURIB EUR003M -16.375BP         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |         1 | NC      | $334666.87    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                                     | Wellfleet CLO 2017-2 Ltd                                                                                               | CUSIP: 94951MAG8<br>LEI: 254900EL25PYQV3BT157 | Long             | ABS-CBDO         | CORP              | US        |    395000 | PA      | $367313.66    | 0.07%             | 2029-10-20      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.                                         | Anchorage Credit Funding 12 Ltd                                                                                        | CUSIP: 03332DBA1<br>LEI: 5493008VFWRM4UWVV341 | Long             | ABS-CBDO         | CORP              | US        |    295000 | PA      | $261189.17    | 0.05%             | 2038-10-25      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Vesey Park CLO DAC                                                    | Vesey Park CLO DAC                                                                                                     | CUSIP: 000000000<br>LEI: 254900BUAP8ZM4HN9R42 | Long             | ABS-CBDO         | CORP              | IE        |    140000 | PA      | $143772.19    | 0.03%             | 2032-11-16      | Floating      | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Parallel Ltd                                                          | Parallel 2017-1 Ltd                                                                                                    | CUSIP: 69915XAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    530000 | PA      | $478537.00    | 0.09%             | 2029-07-20      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| LSF11 Skyscraper Holdco S.a r.l.                                      | LSF11 Skyscraper Holdco S.a r.l. 2020 EUR Term Loan                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    427671 | PA      | $464942.25    | 0.09%             | 2028-09-29      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| RR LTD                                                                | RR 4 LTD                                                                                                               | CUSIP: 74972FAL9<br>LEI: 549300G3G1OYI5KO3H14 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $231426.75    | 0.05%             | 2030-04-15      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| Regions Bank                                                          | REVERSE REPO BNP PARIBAS                                                                                               | CUSIP: 000000000<br>LEI: EQTWLK1G7ODGC2MGLV11 | Short            | RA               | CORP              | US        |  -2883968 | PA      | $-2883967.50  | -0.57%            |  |  |  | No            |                  2 | On Loan: No      |
| Barings 2018-1 B.V.                                                   | Barings Euro CLO 2018-1 DAC                                                                                            | CUSIP: 000000000<br>LEI: 635400CCJ8QE5TOF7C57 | Long             | ABS-CBDO         | CORP              | IE        |    190000 | PA      | $184541.86    | 0.04%             | 2031-04-15      | Floating      | 4.59%                 | Yes           |                  2 | On Loan: No      |
| ADAPTHEALTH LLC                                                       | AdaptHealth LLC                                                                                                        | CUSIP: 00653VAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1305000 | PA      | $1163064.94   | 0.23%             | 2030-03-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| SHELF DRILL NO SEA HOLD                                               | Shelf Drilling North Sea Holdings Ltd                                                                                  | CUSIP: 822541AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    915000 | PA      | $915525.26    | 0.18%             | 2025-10-31      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QC83<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |      5000 | PA      | $3443.75      | 0.00%             | 2020-01-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NOVA Chemicals Corp                                                   | NOVA Chemicals Corp                                                                                                    | CUSIP: 66977WAR0<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    776000 | PA      | $722735.36    | 0.14%             | 2027-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                                                 | Long: 544582TR3 TRS USD R F  5.85000 LOSMFH 5.85 / Short: 544582TR3 TRS USD P V 01MSIFMA SIFMA + 130BP                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    403337 | OU      | $-11065.24    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QXQ0<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |      5000 | PA      | $3512.50      | 0.00%             | 2025-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Diamond CLO 2019-1 LLC                                                | Diamond CLO 2019-1 LTD                                                                                                 | CUSIP: 25257BAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    805000 | PA      | $788025.77    | 0.16%             | 2029-04-25      | Floating      | 12.87%                | No            |                  2 | On Loan: No      |
| CORONADO FINANCE PTY LTD                                              | Coronado Finance Pty Ltd                                                                                               | CUSIP: 21979LAA4<br>LEI: 549300NS5FS0W548RE27 | Long             | DBT              | CORP              | AU        |    482000 | PA      | $498200.47    | 0.10%             | 2026-05-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| United States Treasury                                                | United States Treasury Note/Bond                                                                                       | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |   -872000 | PA      | $-914918.75   | -0.18%            | 2032-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| MARRIOTT OWNERSHIP RESOR                                              | Marriott Ownership Resorts Inc                                                                                         | CUSIP: 57164PAF3<br>LEI: BW4532OH033VURR0IT68 | Long             | DBT              | CORP              | US        |    880000 | PA      | $795080.00    | 0.16%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                           | Long: BRSES1014 IRS EUR R V 12MESTRO LCH CCP ESTRON / Short: BRSES1014 IRS EUR P F  1.01400                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | DE        |   1453000 | OU      | $106666.41    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                           | Long: BO2407CLO IRS USD R V 12MSOFR SO2407CLO_FLO CCPOIS / Short: BO2407CLO IRS USD P F  2.40700 SO2407CLO_FIX CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    287000 | OU      | $8282.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                           | Long: B091IRSGS IRS USD R V 00MSOFR 3091IRSGS_FLO CCPOIS / Short: B091IRSGS IRS USD P F  3.09100 3091IRSGS_FIX CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    286000 | OU      | $930.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Euro Funding                                             | Madison Park Euro Funding XIV DAC                                                                                      | CUSIP: 000000000<br>LEI: 635400XLHN7OVUSEV112 | Long             | ABS-CBDO         | CORP              | IE        |    345000 | PA      | $357931.56    | 0.07%             | 2032-07-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| PREMIUM APPAREL LLC                                                   | Premium Apparel LLC Term Loan                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   4641250 | PA      | $4511295.00   | 0.89%             | 2027-09-01      | Floating      | 12.40%                | No            |                  3 | On Loan: No      |
| CARNIVAL CORP                                                         | Carnival Corp                                                                                                          | CUSIP: 143658BG6<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    609000 | PA      | $637823.97    | 0.13%             | 2026-02-01      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| BNP PARIBAS PRIME BROKER                                              | BNP PARIBAS PRIME BROKER                                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | GB        |     27116 | NS      | $33429.97     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ALTICE FRANCE SA                                                      | Altice France SA/France                                                                                                | CUSIP: 000000000<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    560000 | PA      | $479416.24    | 0.10%             | 2028-01-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Lightstone Holdco LLC                                                 | Lightstone Holdco LLC 2018 Term Loan B                                                                                 | CUSIP: 53226GAG6<br>LEI: 549300VXK6UGDG7H3G98 | Long             | LON              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2024-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GAMMA BONDCO SARL                                                     | Gamma Bondco Sarl                                                                                                      | CUSIP: 000000000<br>LEI: 549300IUULUT56XJQC09 | Long             | DBT              | CORP              | LU        |    574534 | PA      | $600062.85    | 0.12%             | 2026-11-15      | Fixed         | 8.13%                 | Yes           |                  2 | On Loan: No      |
| OZLM Funding Ltd                                                      | OZLM Funding IV Ltd                                                                                                    | CUSIP: 67108FAU0<br>LEI: 549300788AI08GTXXH35 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $236059.50    | 0.05%             | 2030-10-22      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| LHS BORROWER, LLC                                                     | LHS Borrower, LLC 2022 Term Loan B                                                                                     | CUSIP: 50204EAB4<br>LEI: 2549000R2CJY3YBDDU14 | Long             | LON              | CORP              | US        |   2344006 | PA      | $1983615.42   | 0.39%             | 2029-02-16      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Providus CLO                                                          | Providus CLO V DAC                                                                                                     | CUSIP: 000000000<br>LEI: 6354008C72YCMAEWD258 | Long             | ABS-CBDO         | CORP              | IE        |    370000 | PA      | $362898.73    | 0.07%             | 2035-02-15      | Floating      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Hanger, Inc.                                                          | Hanger, Inc. 2022 Delayed Draw Term Loan                                                                               | CUSIP: 000000000<br>LEI: 254900ZJJJYVLHJXSZ60 | Long             | LON              | CORP              | US        |    183376 | PA      | $178791.67    | 0.04%             | 2028-10-03      | Floating      | 10.61%                | No            |                  3 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QLX8<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     25000 | PA      | $17000.00     | 0.00%             | 2025-07-01      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| Springs Windows Fashions, LLC                                         | Springs Windows Fashions, LLC 2021 Term Loan B                                                                         | CUSIP: 78489HAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2367113 | PA      | $2030911.52   | 0.40%             | 2028-10-06      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| Providus CLO                                                          | Providus Clo III DAC                                                                                                   | CUSIP: 000000000<br>LEI: 635400X4XZILCMFKAB72 | Long             | ABS-CBDO         | CORP              | IE        |    270000 | PA      | $280822.77    | 0.06%             | 2034-07-18      | Floating      | 3.98%                 | Yes           |                  2 | On Loan: No      |
| Ares Euro CLO                                                         | Ares European CLO IX DAC                                                                                               | CUSIP: 000000000<br>LEI: 635400CHZGKV2SV7J547 | Long             | ABS-CBDO         | CORP              | IE        |    520000 | PA      | $511913.78    | 0.10%             | 2030-10-14      | Floating      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| LCM Ltd Partnership                                                   | LCM XXI LP                                                                                                             | CUSIP: 50189DAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    570000 | PA      | $537920.97    | 0.11%             | 2028-04-20      | Floating      | 10.56%                | No            |                  2 | On Loan: No      |
| PMHC II, Inc.                                                         | PMHC II, Inc. 2022 Term Loan B                                                                                         | CUSIP: 69346EAG2<br>LEI: 549300GYZ1T3S8OPH343 | Long             | LON              | CORP              | US        |   3418000 | PA      | $3008643.12   | 0.60%             | 2029-04-23      | Floating      | 9.08%                 | No            |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAP LLC/C                                              | Outfront Media Capital LLC / Outfront Media Capital Corp                                                               | CUSIP: 69007TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    726000 | PA      | $668807.83    | 0.13%             | 2027-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mylan Inc                                                             | Mylan Inc                                                                                                              | CUSIP: 628530BJ5<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |    531000 | PA      | $437856.28    | 0.09%             | 2048-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                   | Freddie Mac STACR REMIC Trust 2022-DNA2                                                                                | CUSIP: 35564KRF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    560000 | PA      | $550780.72    | 0.11%             | 2042-02-25      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                            | GAM Re-REMIC Trust 2021-FRR1                                                                                           | CUSIP: 364614AS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44000 | PA      | $27315.98     | 0.01%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QKT8<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     80000 | PA      | $56000.00     | 0.01%             | 2025-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RBC Capital Markets LLC                                               | REVERSE REPO ROYAL BANK OF CAN                                                                                         | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | Short            | RA               | CORP              | US        |  -1474065 | PA      | $-1474065.00  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| Byju's Alpha, Inc.                                                    | Byju's Alpha, Inc. Term Loan B                                                                                         | CUSIP: 000000000<br>LEI: 254900EAJ040Y8AVVN71 | Long             | LON              | CORP              | US        |       342 | PA      | $301.77       | 0.00%             | 2026-11-24      | Floating      | 10.70%                | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                                                   | Eaton Vance CLO 2014-1R Ltd                                                                                            | CUSIP: 27830TAJ4<br>LEI: 549300FPTLP8I41O7F48 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $234167.00    | 0.05%             | 2030-07-15      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| Avoca CLO                                                             | Avoca CLO XXII DAC                                                                                                     | CUSIP: 000000000<br>LEI: 5493000BN1WPGQDK4X78 | Long             | ABS-CBDO         | CORP              | IE        |    360000 | PA      | $357719.85    | 0.07%             | 2035-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QD90<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     18126 | PA      | $13277.30     | 0.00%             | 2022-07-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| BNPP IP CLO LTD                                                       | BNPP IP CLO 2014-II Ltd                                                                                                | CUSIP: 05580HAS8<br>LEI: 54930038CI4SMKCMEM78 | Long             | ABS-CBDO         | CORP              | US        |    204426 | PA      | $202744.24    | 0.04%             | 2025-10-30      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| NFP CORP                                                              | NFP Corp                                                                                                               | CUSIP: 65342RAE0<br>LEI: VO2L9FZNXDJNQNEYH039 | Long             | DBT              | CORP              | US        |   1171000 | PA      | $1024103.91   | 0.20%             | 2028-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CFIP CLO LTD                                                          | CFIP CLO 2014-1 Ltd                                                                                                    | CUSIP: 12528CAU5<br>LEI: 549300MKTOFNTIBVKV67 | Long             | ABS-CBDO         | CORP              | US        |    495000 | PA      | $486096.44    | 0.10%             | 2029-07-13      | Floating      | 8.92%                 | No            |                  2 | On Loan: No      |
| MACY'S RETAIL HLDGS LLC                                               | Macy's Retail Holdings LLC                                                                                             | CUSIP: 55616XAG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    295000 | PA      | $199535.05    | 0.04%             | 2042-01-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                                                 | Long: 78587NTRS TRS USD R F  5.75000 SACMFH 5.75 / Short: 78587NTRS TRS USD P V 01MSIFMA SIFMA + 130BP                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    247174 | OU      | $-10550.38    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| JPMorgan Securities LLC                                               | Long: GBJP00123 CYS USD R V 03MLIBOR US0003M+0 BPS / Short: GBJP00123 CYS GBP P V 03MLIBOR BP0003M -1.7500 BPS         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |         1 | NC      | $324275.47    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                                              | Provincia de Buenos Aires/Government Bonds                                                                             | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |    252133 | PA      | $86960.27     | 0.02%             | 2037-09-01      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Jubilee CDO BV                                                        | Jubilee CLO 2017-XVIII DAC                                                                                             | CUSIP: 000000000<br>LEI: 6354007TDEHDC4GVCI10 | Long             | ABS-CBDO         | CORP              | IE        |    200000 | PA      | $207811.76    | 0.04%             | 2030-01-15      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                               | GLP Capital LP / GLP Financing II Inc                                                                                  | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              |  | US        |    197000 | PA      | $174193.72    | 0.03%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MKS CLO Ltd                                                           | MKS CLO 2017-1 Ltd                                                                                                     | CUSIP: 12661KAG5<br>LEI: 5493003VGNSG059H2J98 | Long             | ABS-CBDO         | CORP              | US        |    665000 | PA      | $631954.82    | 0.13%             | 2030-07-20      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                            | GAM Re-REMIC Trust 2021-FRR1                                                                                           | CUSIP: 364614AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41000 | PA      | $26737.24     | 0.01%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Restoration Hardware, Inc.                                            | Restoration Hardware, Inc. 2022 Incremental Term Loan                                                                  | CUSIP: 76133MAC5<br>LEI: 5493008MTS3OGGMHGK69 | Long             | LON              | CORP              | US        |   1102399 | PA      | $1077942.21   | 0.21%             | 2028-10-20      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                                              | OZLM XXIV Ltd                                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    430000 | PA      | $390851.08    | 0.08%             | 2032-07-20      | Floating      | 8.21%                 | Yes           |                  2 | On Loan: No      |
| SVF II FINCO CAYMAN LP                                                | SVF II Finco Cayman LP Term Loan                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |   3685272 | PA      | $3607881.08   | 0.72%             | 2023-12-22      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| VALVOLINE INC                                                         | Valvoline Inc                                                                                                          | CUSIP: 92047WAG6<br>LEI: 549300CMHPBEY6VPOT75 | Long             | DBT              | CORP              | US        |   1985000 | PA      | $1672838.90   | 0.33%             | 2031-06-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Arbour CLO                                                            | Arbour Clo VII DAC                                                                                                     | CUSIP: 000000000<br>LEI: 635400S59B1EE8UDJW07 | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $261852.11    | 0.05%             | 2033-03-15      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                                                    | Shackleton 2015-VIII CLO Ltd                                                                                           | CUSIP: 000000000<br>LEI: 549300VJPG28RMYCYW83 | Long             | ABS-CBDO         | CORP              | US        |    460000 | PA      | $446197.24    | 0.09%             | 2027-10-20      | Floating      | 7.51%                 | Yes           |                  2 | On Loan: No      |
| Lehman XS Trust                                                       | Lehman XS Trust 2007-6                                                                                                 | CUSIP: 52524PAZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    142473 | PA      | $128433.68    | 0.03%             | 2037-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                                                | Blackstone Property Partners Europe Holdings Sarl                                                                      | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |   1964000 | PA      | $1576472.14   | 0.31%             | 2030-04-20      | Fixed         | 1.63%                 | Yes           |                  2 | On Loan: No      |
| Venture CDO Ltd                                                       | Venture CDO Ltd                                                                                                        | CUSIP: 92329VAG7<br>LEI: 549300A6M3BR8FZNXO79 | Long             | ABS-CBDO         | CORP              | US        |    135000 | PA      | $131217.84    | 0.03%             | 2029-04-20      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                       | Lehman XS Trust 2007-6                                                                                                 | CUSIP: 52524PAY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125090 | PA      | $113156.64    | 0.02%             | 2037-05-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Bausch & Lomb, Inc.                                                   | Bausch & Lomb, Inc. Term Loan                                                                                          | CUSIP: 000000000<br>LEI: 549300NY6OZM39SO6475 | Long             | LON              | CORP              | CA        |   4062107 | PA      | $3962443.64   | 0.79%             | 2027-05-10      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                              | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-66351.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EARTHSTONE ENERGY HOL                                                 | Earthstone Energy Holdings LLC                                                                                         | CUSIP: 27034RAA1<br>LEI: 549300HGVO86L8G72J25 | Long             | DBT              | CORP              | US        |   4108000 | PA      | $4010969.04   | 0.80%             | 2027-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| AQUADRILL LLC                                                         | AQUADRILL LLC LIMITED PARTNERSHIP                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | MH        |      6967 | NS      | $373605.38    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QVE9<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |    215000 | PA      | $151843.75    | 0.03%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                              | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    485000 | PA      | $308385.28    | 0.06%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                                      | Symphony CLO XIX Ltd                                                                                                   | CUSIP: 87165YAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $231796.00    | 0.05%             | 2031-04-16      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                               | Long: DUMP00823 CYS EUR R V 03MEURIB EUR003M -7.5 BPS / Short: DUMP00823 CYS USD P F   .00000 DUMMY FOR US0003M        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | DE        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM PARTNER                                              | EnLink Midstream Partners LP                                                                                           | CUSIP: 29336UAG2<br>LEI: 88CPW63VL7KHJWS0NY83 | Long             | DBT              | CORP              | US        |    691000 | PA      | $575510.18    | 0.11%             | 2047-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                  | OneMain Finance Corp                                                                                                   | CUSIP: 85172FAQ2<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   1157000 | PA      | $1128618.79   | 0.22%             | 2028-01-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| STERLING ENTER.                                                       | STERLING ENTER.                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    813000 | PA      | $812187.00    | 0.16%             | 2025-01-15      | Fixed         | 10.25%                | No            |                  3 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QZM7<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     60000 | PA      | $41250.00     | 0.01%             | 2021-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                                              | Provincia de Buenos Aires/Government Bonds                                                                             | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |     27733 | PA      | $9353.58      | 0.00%             | 2037-09-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FRONTIER SOUTHWEST INC                                                | Frontier Southwest Inc                                                                                                 | CUSIP: 362338AQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    308000 | PA      | $310356.20    | 0.06%             | 2031-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                                                      | DT Midstream Inc                                                                                                       | CUSIP: 23345MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    625000 | PA      | $549459.38    | 0.11%             | 2029-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Monroe Capital MML CLO VI LTD                                         | Monroe Capital MML CLO VI Ltd                                                                                          | CUSIP: 61034LAA3<br>LEI: 254900SICWP7QQDX8T50 | Long             | ABS-CBDO         | CORP              | US        |    290000 | PA      | $260427.73    | 0.05%             | 2030-04-15      | Floating      | 11.69%                | No            |                  2 | On Loan: No      |
| DUFRY ONE BV                                                          | Dufry One BV                                                                                                           | CUSIP: 000000000<br>LEI: 7245003K5MN9U7XW0808 | Long             | DBT              | CORP              | NL        |    185000 | PA      | $172988.95    | 0.03%             | 2027-02-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Verscend Holding Corp.                                                | Verscend Holding Corp. 2021 2nd Lien Term Loan                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1030000 | PA      | $1024850.00   | 0.20%             | 2029-04-02      | Floating      | 11.57%                | No            |                  2 | On Loan: No      |
| Cairn CLO BV                                                          | Cairn CLO XI DAC                                                                                                       | CUSIP: 000000000<br>LEI: 54930036FO0EWQ03QK50 | Long             | ABS-CBDO         | CORP              | IE        |    625000 | PA      | $634838.10    | 0.13%             | 2032-07-15      | Floating      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| American Money Management Corporation                                 | AMMC CLO XIII Ltd                                                                                                      | CUSIP: 00176DAN9<br>LEI: 549300R4YQWFRASHVE93 | Long             | ABS-CBDO         | CORP              | US        |    540000 | PA      | $515808.54    | 0.10%             | 2029-07-24      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                              | Madison Park Funding XI Ltd                                                                                            | CUSIP: 55818KAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    430000 | PA      | $412530.82    | 0.08%             | 2029-07-23      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                 | Bausch Health Cos Inc                                                                                                  | CUSIP: 071734AR8<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    125000 | PA      | $78652.43     | 0.02%             | 2030-10-15      | Fixed         | 14.00%                | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                                        | Galaxy Xxviii Clo Ltd                                                                                                  | CUSIP: 36321JAG9<br>LEI: 549300QR0537E9AXFW42 | Long             | ABS-CBDO         | CORP              | US        |    525000 | PA      | $511585.73    | 0.10%             | 2031-07-15      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| JFIN CLO Ltd                                                          | JFIN CLO 2012 Ltd                                                                                                      | CUSIP: 46616EAE8<br>LEI: 2549009ITDOWQA202P03 | Long             | ABS-CBDO         | CORP              | US        |    700000 | PA      | $689075.10    | 0.14%             | 2028-07-20      | Floating      | 11.26%                | No            |                  2 | On Loan: No      |
| Jubilee CDO BV                                                        | Jubilee CLO 2014-XI DAC                                                                                                | CUSIP: 000000000<br>LEI: 635400ZFJLXF8EIW5950 | Long             | ABS-CBDO         | CORP              | IE        |    305000 | PA      | $310384.68    | 0.06%             | 2030-04-15      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| DISH DBS CORP                                                         | DISH DBS Corp                                                                                                          | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3753000 | PA      | $3077676.70   | 0.61%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Carbone CLO, LTD                                                      | Carbone Clo Ltd                                                                                                        | CUSIP: 141312AE8<br>LEI: 5493005I53NEC017LN87 | Long             | ABS-CBDO         | CORP              | US        |    545000 | PA      | $521238.55    | 0.10%             | 2031-01-20      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| AP Core Holdings II, LLC                                              | AP Core Holdings II, LLC Amortization Term Loan B1                                                                     | CUSIP: 00187GAC3<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |    465884 | PA      | $452564.26    | 0.09%             | 2027-09-01      | Floating      | 10.07%                | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                                                       | Allegro CLO V Ltd                                                                                                      | CUSIP: 01748RAN5<br>LEI: 254900TYK5TGNAFE3053 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $242107.75    | 0.05%             | 2030-10-16      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                              | Occidental Petroleum Corp                                                                                              | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    935000 | PA      | $945883.11    | 0.19%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QC42<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     10000 | PA      | $7325.00      | 0.00%             | 2019-07-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                                      | Carlyle US CLO 2022-1 Ltd                                                                                              | CUSIP: 14318JAG1<br>LEI: 6354006SCMVW8LXU4P40 | Long             | ABS-CBDO         | CORP              | US        |    365000 | PA      | $346713.87    | 0.07%             | 2035-04-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                                      | Vmed O2 UK Financing I PLC                                                                                             | CUSIP: 000000000<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |   2364000 | PA      | $2102703.16   | 0.42%             | 2031-01-31      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| CDI ESCROW ISSUER INC                                                 | CDI Escrow Issuer Inc                                                                                                  | CUSIP: 12511VAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1315000 | PA      | $1247731.18   | 0.25%             | 2030-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                               | Long: EUJP00723 CYS USD R V 03MLIBOR US0003M +0 BPS / Short: EUJP00723 CYS EUR P V 03MEURIB EUR003M -6.77 BPS          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |         1 | NC      | $455127.38    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Sound Point Euro CLO Funding                                          | Sound Point Euro CLO I Funding DAC                                                                                     | CUSIP: 000000000<br>LEI: 635400QLJRHTPJDQPY76 | Long             | ABS-CBDO         | CORP              | IE        |    215000 | PA      | $211976.78    | 0.04%             | 2034-05-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| CARNIVAL CORP                                                         | Carnival Corp                                                                                                          | CUSIP: 143658BR2<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   1008000 | PA      | $797585.04    | 0.16%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                   | Petroleos Mexicanos                                                                                                    | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   3004000 | PA      | $2839747.86   | 0.56%             | 2027-03-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                   | Petroleos Mexicanos                                                                                                    | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    825000 | PA      | $685934.24    | 0.14%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Penta CLO S.A.                                                        | Penta CLO 5 DAC                                                                                                        | CUSIP: 000000000<br>LEI: 635400CJ99MQCYBUGV50 | Long             | ABS-CBDO         | CORP              | IE        |    525000 | PA      | $535013.31    | 0.11%             | 2035-04-20      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Profrac Services, LLC                                                 | Profrac Services, LLC 2022 Term Loan                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   6158000 | PA      | $6373530.00   | 1.26%             | 2025-03-04      | Floating      | 12.10%                | No            |                  2 | On Loan: No      |
| UTEX INDUSTRIES WARRANTS                                              | UTEX INDUSTRIES WARRANTS                                                                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |      2245 | NS      | $22001.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                              | Builders FirstSource Inc                                                                                               | CUSIP: 12008RAR8<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |   3147000 | PA      | $3084157.31   | 0.61%             | 2032-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| LOTTOMATICA SPA/ROMA                                                  | Lottomatica SpA/Roma                                                                                                   | CUSIP: 000000000<br>LEI: 81560046335277E43118 | Long             | DBT              | CORP              | IT        |    465000 | PA      | $536518.63    | 0.11%             | 2027-09-30      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QLP5<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |    110000 | PA      | $73975.00     | 0.01%             | 2020-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                               | Sensata Technologies BV                                                                                                | CUSIP: 81725WAL7<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |    620000 | PA      | $609146.90    | 0.12%             | 2030-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QUX8<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     80000 | PA      | $55500.00     | 0.01%             | 2021-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Halcyon Loan Advisors Funding Ltd                                     | Halcyon Loan Advisors Funding 2017-2 Ltd                                                                               | CUSIP: 40490BAE8<br>LEI: 549300IKIM3YK4H3N895 | Long             | ABS-CBDO         | CORP              | US        |    440000 | PA      | $420037.64    | 0.08%             | 2030-01-17      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Tikehau                                                               | Tikehau CLO II BV                                                                                                      | CUSIP: 000000000<br>LEI: 7245006F3Z3L206H5J49 | Long             | ABS-CBDO         | CORP              | IE        |    425000 | PA      | $428051.77    | 0.08%             | 2035-09-07      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO                                                            | Apidos CLO XXXVI                                                                                                       | CUSIP: 03769LAE8<br>LEI: 549300NWD6NYUKJT1J26 | Long             | ABS-CBDO         | CORP              | US        |    355000 | PA      | $347068.59    | 0.07%             | 2034-07-20      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                        | Palmer Square Loan Funding 2020-4 Ltd                                                                                  | CUSIP: 69701QAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $233946.00    | 0.05%             | 2028-11-25      | Floating      | 13.33%                | No            |                  2 | On Loan: No      |
| PRHTA Custodial Trust                                                 | PRHTA SENIOR LIEN SER N (2039) CUSTODIAL TRUST                                                                         | CUSIP: 69379NAA5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    595000 | PA      | $386817.47    | 0.08%             | 2049-12-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                               | GLP Capital LP / GLP Financing II Inc                                                                                  | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              |  | US        |    420000 | PA      | $379971.03    | 0.08%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Milltown Park CLO                                                     | Milltown Park CLO DAC                                                                                                  | CUSIP: 000000000<br>LEI: 549300WOFNX2UXMKR111 | Long             | ABS-CBDO         | CORP              | IE        |    260000 | PA      | $261889.01    | 0.05%             | 2031-01-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Hexion Holdings Corporation                                           | Hexion Holdings Corporation 2022 USD 2nd Lien Term Loan                                                                | CUSIP: 42829JAB5<br>LEI: 54930030FZF8HYAEHM46 | Long             | LON              | CORP              | US        |   2490000 | PA      | $2079150.00   | 0.41%             | 2030-03-15      | Floating      | 12.05%                | No            |                  2 | On Loan: No      |
| OFSI Fund LTD                                                         | OFSI BSL VIII Ltd                                                                                                      | CUSIP: 67111CAN8<br>LEI: 254900VR4BMP1BVIS878 | Long             | ABS-CBDO         | CORP              | US        |    855000 | PA      | $836400.33    | 0.17%             | 2029-08-16      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                           | Long: B045IRSSO IRS USD R V 00MSOFR 4045IRSSO_FLO CCPOIS / Short: B045IRSSO IRS USD P F  4.04500 4045IRSSO_FIX CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    489000 | OU      | $-7211.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                              | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |         1 | NC      | $264672.18    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QD66<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     69428 | PA      | $50856.01     | 0.01%             | 2021-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| SWF ESCROW ISSUER CORP                                                | SWF Escrow Issuer Corp                                                                                                 | CUSIP: 78500AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    818000 | PA      | $538816.60    | 0.11%             | 2029-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BlackRock European CLO DAC                                            | Blackrock European CLO X DAC                                                                                           | CUSIP: 000000000<br>LEI: 635400HIECLCZDEHKS94 | Long             | ABS-CBDO         | CORP              | IE        |    260000 | PA      | $267999.25    | 0.05%             | 2034-10-15      | Floating      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                         | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-3622.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                                  | BlueMountain Fuji US Clo III Ltd                                                                                       | CUSIP: 09628FAJ8<br>LEI: 549300EY8WEC9D18YD37 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $229969.50    | 0.05%             | 2030-01-15      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                              | Occidental Petroleum Corp                                                                                              | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    485000 | PA      | $540265.75    | 0.11%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC                                                 | Directv Financing LLC / Directv Financing Co-Obligor Inc                                                               | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3227000 | PA      | $2927792.56   | 0.58%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                              | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    302000 | PA      | $269413.97    | 0.05%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| EAGLE INT GLO/EAGLE US                                                | Eagle Intermediate Global Holding BV/Eagle US Finance LLC                                                              | CUSIP: 26963PAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1339000 | PA      | $845243.75    | 0.17%             | 2025-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                              | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-3554.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DIG INTL FIN/DIG INTL HL                                              | Digicel International Finance Ltd/Digicel international Holdings Ltd                                                   | CUSIP: 25381VAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   3168000 | PA      | $2729043.19   | 0.54%             | 2024-05-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                                   | NOVA Chemicals Corp                                                                                                    | CUSIP: 66977WAS8<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |   1256000 | PA      | $1078652.80   | 0.21%             | 2029-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ZF FINANCE GMBH                                                       | ZF Finance GmbH                                                                                                        | CUSIP: 000000000<br>LEI: 5493001N9T6QDCCXB426 | Long             | DBT              | CORP              | DE        |   1200000 | PA      | $1155205.93   | 0.23%             | 2028-09-21      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Euro Funding                                             | Madison Park Euro Funding XIII DAC                                                                                     | CUSIP: 000000000<br>LEI: 635400DWZPBUYDTIFB95 | Long             | ABS-CBDO         | CORP              | IE        |    355000 | PA      | $366891.53    | 0.07%             | 2032-01-15      | Floating      | 4.66%                 | Yes           |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                               | Royal Caribbean Cruises Ltd                                                                                            | CUSIP: 780153BR2<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |   4620000 | PA      | $4879574.70   | 0.97%             | 2029-01-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                 | Uber Technologies Inc                                                                                                  | CUSIP: 90353TAK6<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     47000 | PA      | $41932.81     | 0.01%             | 2029-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AVIENT CORP                                                           | Avient Corp                                                                                                            | CUSIP: 05368VAA4<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |    913000 | PA      | $920964.65    | 0.18%             | 2030-08-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                         | Carnival Corp                                                                                                          | CUSIP: 143658BJ0<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    793000 | PA      | $815921.67    | 0.16%             | 2027-08-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                           | Long: BOF2743IR IRS USD R V 00MSOFR SOF2743IR_FLO CCPOIS / Short: BOF2743IR IRS USD P F  2.74300 SOF2743IR_FIX CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3668000 | OU      | $112416.50    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QD82<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     18330 | PA      | $13426.73     | 0.00%             | 2022-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| SILVERMORE CLO LTD                                                    | Silvermore CLO Ltd                                                                                                     | CUSIP: 828428AG7<br>LEI: 254900XWIIO2JU37JD03 | Long             | ABS-CBDO         | CORP              | US        |    823572 | PA      | $822499.16    | 0.16%             | 2026-05-15      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                      | CIFC Funding 2017-II Ltd                                                                                               | CUSIP: 000000000<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $239912.75    | 0.05%             | 2030-04-20      | Floating      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC                                                | Nationstar Mortgage Holdings Inc                                                                                       | CUSIP: 63861CAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    492000 | PA      | $430445.88    | 0.09%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIQUE PUB FINANCE CO                                                 | Unique Pub Finance Co PLC/The                                                                                          | CUSIP: 000000000<br>LEI: 213800FOMWLKHQTI5562 | Long             | DBT              | CORP              | GB        |    270795 | PA      | $331918.17    | 0.07%             | 2024-03-28      | Fixed         | 7.40%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                              | Madison Park Funding XXX LTD                                                                                           | CUSIP: 55821TAE7<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | US        |    275000 | PA      | $265506.18    | 0.05%             | 2029-04-15      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| VZ SECURED FINANCING BV                                               | VZ Secured Financing BV                                                                                                | CUSIP: 91845AAA3<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |   1045000 | PA      | $896077.05    | 0.18%             | 2032-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                                                 | Long: 54626XTR2 TRS USD R F  6.15000 54626XTR2 / Short: 54626XTR2 TRS USD P V 01MSIFMA MUNIPSA + 145 BPS               | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    373762 | OU      | $-14996.19    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| ALTICE FRANCE SA                                                      | Altice France SA/France                                                                                                | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    451000 | PA      | $375353.77    | 0.07%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| St Pauls CLO                                                          | St Paul's CLO VIII DAC                                                                                                 | CUSIP: 000000000<br>LEI: 635400XUSSRWFBBTGN52 | Long             | ABS-CBDO         | CORP              | IE        |    330000 | PA      | $323752.18    | 0.06%             | 2030-07-17      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| MIDWEST VETERINARY                                                    | MIDWEST VETERINARY                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1765000 | PA      | $1487895.00   | 0.30%             | 2049-12-31      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                              | Hilton Domestic Operating Co Inc                                                                                       | CUSIP: 432833AL5<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    626000 | PA      | $543342.96    | 0.11%             | 2031-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                             | Anchorage Capital CLO 4-R Ltd                                                                                          | CUSIP: 03328LAE2<br>LEI: 549300MP4QPQUMB6AD63 | Long             | ABS-CBDO         | CORP              | US        |    855000 | PA      | $820147.64    | 0.16%             | 2031-01-28      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                              | Service Properties Trust                                                                                               | CUSIP: 81761LAA0<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |   1310000 | PA      | $1289753.95   | 0.26%             | 2025-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                                                   | LBM Acquisition LLC                                                                                                    | CUSIP: 05552BAA4<br>LEI: 549300FAEB3VWZL4NI86 | Long             | DBT              | CORP              | US        |    134000 | PA      | $102027.60    | 0.02%             | 2029-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GRIFOLS ESCROW ISSUER                                                 | Grifols Escrow Issuer SA                                                                                               | CUSIP: 000000000<br>LEI: 959800HLB3PGTGSLVV62 | Long             | DBT              | CORP              | ES        |   1719000 | PA      | $1596387.28   | 0.32%             | 2028-10-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                                                          | Voya CLO 2019-1 Ltd                                                                                                    | CUSIP: 92917NAS7<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $233010.75    | 0.05%             | 2031-04-15      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| MITCHELLS & BUTLERS FINA                                              | Mitchells & Butlers Finance PLC                                                                                        | CUSIP: 000000000<br>LEI: 213800E7QA1U8BF34219 | Long             | DBT              | CORP              | GB        |    481000 | PA      | $469971.63    | 0.09%             | 2036-06-15      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                         | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | XX        |         1 | NC      | $6778.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Black Diamond CLO                                                     | Black Diamond CLO 2017-2 DAC                                                                                           | CUSIP: 000000000<br>LEI: 549300PKZ3LBLGCJNI86 | Long             | ABS-CBDO         | CORP              | IE        |    590000 | PA      | $587971.70    | 0.12%             | 2032-01-20      | Floating      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QWB4<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     15000 | PA      | $10537.50     | 0.00%             | 2035-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                            | GAM Re-REMIC Trust 2021-FRR1                                                                                           | CUSIP: 364614AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $38053.60     | 0.01%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-76960.20    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Euro Funding                                             | Madison Park Euro Funding IX DAC                                                                                       | CUSIP: 000000000<br>LEI: 635400IRITPTWQSADZ09 | Long             | ABS-CBDO         | CORP              | IE        |    315000 | PA      | $305579.82    | 0.06%             | 2035-07-15      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                 | Mineral Resources Ltd                                                                                                  | CUSIP: 603051AC7<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |    957000 | PA      | $981020.70    | 0.19%             | 2027-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CHARLOTTE BUYER, INC.                                                 | Charlotte Buyer, Inc. 1st Lien Term Loan                                                                               | CUSIP: 12568YAD6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   3090000 | PA      | $3023379.60   | 0.60%             | 2028-02-11      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| Cairn CLO                                                             | Cairn CLO XIV DAC                                                                                                      | CUSIP: 000000000<br>LEI: 5493007C15B782HE7844 | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $260807.90    | 0.05%             | 2034-10-29      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                      | CIFC Funding 2013-IV Ltd                                                                                               | CUSIP: 12549FBR9<br>LEI: 549300QSQ98IRWUWDV20 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $228827.50    | 0.05%             | 2031-04-27      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                               | Frontier Communications Holdings LLC                                                                                   | CUSIP: 35908MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2326000 | PA      | $2413794.87   | 0.48%             | 2030-05-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.                                         | Anchorage Credit Funding 3 Ltd                                                                                         | CUSIP: 001011AL9<br>LEI: 5493003NNQWXMTSTMF21 | Long             | ABS-CBDO         | CORP              | US        |    410000 | PA      | $328884.78    | 0.07%             | 2039-01-28      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CRP                                              | California Resources Corp                                                                                              | CUSIP: 13057QAH0<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |   3684000 | PA      | $3591347.40   | 0.71%             | 2026-02-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| QUORUM LITIGATION TRUST UNITS                                         | QUORUM LITIGATION TRUST UNITS                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    157000 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| TWILIO INC                                                            | Twilio Inc                                                                                                             | CUSIP: 90138FAD4<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |    207000 | PA      | $171135.72    | 0.03%             | 2031-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                               | Dryden XXVI Senior Loan Fund                                                                                           | CUSIP: 26250UAU9<br>LEI: 549300ENU7ZZLTPT3E22 | Long             | ABS-CBDO         | CORP              | US        |    350000 | PA      | $338067.45    | 0.07%             | 2029-04-15      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QKW1<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |    180000 | PA      | $126000.00    | 0.02%             | 2032-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                              | Western Midstream Operating LP                                                                                         | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    670000 | PA      | $614577.60    | 0.12%             | 2030-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                                        | Galaxy Xxviii Clo Ltd                                                                                                  | CUSIP: 36321JAJ3<br>LEI: 549300QR0537E9AXFW42 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $237466.00    | 0.05%             | 2031-07-15      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXI Ltd.                                             | Marble Point CLO XXI Ltd                                                                                               | CUSIP: 56606KAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    470000 | PA      | $427915.26    | 0.08%             | 2034-10-17      | Floating      | 9.77%                 | No            |                  2 | On Loan: No      |
| Bain Capital Euro CLO                                                 | Bain Capital Euro CLO 2021-2 DAC                                                                                       | CUSIP: 000000000<br>LEI: 5493009FIQULGQV8VN86 | Long             | ABS-CBDO         | CORP              | IE        |    355000 | PA      | $339232.10    | 0.07%             | 2034-07-17      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                              | Occidental Petroleum Corp                                                                                              | CUSIP: 674599DH5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    811000 | PA      | $931518.66    | 0.18%             | 2039-06-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                           | Long: BOF3203BA IRS USD R V 00MSOFR SOF3203BA_FLO CCPOIS / Short: BOF3203BA IRS USD P F  3.20300 SOF3203BA_FIX CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   8890000 | OU      | $26570.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                 | Wells Fargo & Co                                                                                                       | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1897000 | PA      | $1749982.50   | 0.35%             | 2026-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                           | BNP Paribas SA                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1584000 | PA      | $1299685.72   | 0.26%             | 2031-02-25      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Halcyon Loan Advisors Funding Ltd                                     | Halcyon Loan Advisors Funding 2015-2 Ltd                                                                               | CUSIP: 40538KAS1<br>LEI: 5493006GMMSBMRMTK635 | Long             | ABS-CBDO         | CORP              | US        |    615000 | PA      | $584573.49    | 0.12%             | 2027-07-25      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| W.R. Grace & Co.-Conn.                                                | W.R. Grace & Co.-Conn. 2021 Term Loan B                                                                                | CUSIP: 92943HAB5<br>LEI: 549300WNOVFRGYOAEB12 | Long             | LON              | CORP              | US        |   1456652 | PA      | $1453010.64   | 0.29%             | 2028-09-22      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Endo Luxembourg Finance Company I S.a r.l.                            | Endo Luxembourg Finance Company I S.a r.l. 2021 Term Loan                                                              | CUSIP: 000000000<br>LEI: 222100B15VY0VVCTG251 | Long             | LON              | CORP              | LU        |   1853000 | PA      | $1508110.38   | 0.30%             | 2028-03-27      | Floating      | 13.75%                | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                               | Long: EUJ121523 CYS USD R V 03MLIBOR US0003M + 0 BPS / Short: EUJ121523 CYS EUR P V 03MEURIB EUR003M + 0BPS            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |         1 | NC      | $138166.47    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                              | JP Morgan Mortgage Trust 2019-INV1                                                                                     | CUSIP: 46591DBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    409660 | PA      | $365954.29    | 0.07%             | 2049-10-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                          | Ares XXXVR CLO Ltd                                                                                                     | CUSIP: 00192RAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $234588.00    | 0.05%             | 2030-07-15      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM PARTNER                                              | EnLink Midstream Partners LP                                                                                           | CUSIP: 29336UAD9<br>LEI: 88CPW63VL7KHJWS0NY83 | Long             | DBT              | CORP              | US        |   1642000 | PA      | $1292610.74   | 0.26%             | 2045-04-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Newark BSL CLO 2 Ltd.                                                 | Newark BSL CLO 2 Ltd                                                                                                   | CUSIP: 65023PAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    340000 | PA      | $325397.34    | 0.06%             | 2030-07-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                              | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-1167.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QZB1<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |   1690000 | PA      | $1174550.00   | 0.23%             | 2028-07-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QKS0<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     20000 | PA      | $14000.00     | 0.00%             | 2024-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                            | GAM RE-REMIC TRUST 2021-FRR2                                                                                           | CUSIP: 36459TAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43000 | PA      | $35316.01     | 0.01%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                      | Connecticut Avenue Securities Trust 2022-R04                                                                           | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    435000 | PA      | $438724.43    | 0.09%             | 2042-03-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                              | Madison Park Funding XXVIII Ltd                                                                                        | CUSIP: 55821AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    705000 | PA      | $663180.11    | 0.13%             | 2030-07-15      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| NewStar Clarendon Fund CLO LLC,                                       | First Eagle Clarendon Fund CLO LLC                                                                                     | CUSIP: 65251QAJ0<br>LEI: 549300HC3VVP80NTKX35 | Long             | ABS-CBDO         | CORP              | US        |    428325 | PA      | $428565.59    | 0.09%             | 2027-01-25      | Floating      | 10.87%                | No            |                  2 | On Loan: No      |
| Solocal Group                                                         | Solocal Group                                                                                                          | CUSIP: 000000000<br>LEI: 9695005U38X1SF184325 | Long             | EC               | CORP              | FR        |    492144 | NS      | $370243.88    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| OLIN CORP                                                             | Olin Corp                                                                                                              | CUSIP: 680665AL0<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |     76000 | PA      | $74038.95     | 0.01%             | 2029-08-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                                       | Venture XVII CLO Ltd                                                                                                   | CUSIP: 92329YAS5<br>LEI: 549300SNYYGJ2M6QEK53 | Long             | ABS-CBDO         | CORP              | US        |   1330000 | PA      | $1227510.20   | 0.24%             | 2027-04-15      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| ENDURANCE INTERNATIONAL                                               | Endurance International Group Holdings Inc                                                                             | CUSIP: 29279XAA8<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |   1702000 | PA      | $1211714.92   | 0.24%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                 | Argentine Republic Government International Bond                                                                       | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     81000 | PA      | $23731.33     | 0.00%             | 2046-07-09      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                         | PURCHASED CHF / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CH        |         1 | NC      | $477.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                                                       | Vibrant Clo VI Ltd                                                                                                     | CUSIP: 92558EAG7<br>LEI: 549300WOQQ4NNX4VIU97 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $249971.25    | 0.05%             | 2029-06-20      | Floating      | 8.65%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                              | Targa Resources Partners LP / Targa Resources Partners Finance Corp                                                    | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1210000 | PA      | $1132505.05   | 0.22%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Ares Euro CLO                                                         | Ares European CLO VI DAC                                                                                               | CUSIP: 000000000<br>LEI: 635400IKZCKH2JKELA27 | Long             | ABS-CBDO         | CORP              | IE        |    340000 | PA      | $326105.66    | 0.06%             | 2030-04-15      | Floating      | 7.59%                 | Yes           |                  2 | On Loan: No      |
| SCIENTIFIC GAMES INTERNA                                              | Scientific Games International Inc                                                                                     | CUSIP: 80874YBE9<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |    611000 | PA      | $613382.90    | 0.12%             | 2029-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Jubilee CDO BV                                                        | Jubilee CLO 2014-XII DAC                                                                                               | CUSIP: 000000000<br>LEI: 635400VN4FYGLG4EXH69 | Long             | ABS-CBDO         | CORP              | IE        |    155000 | PA      | $155843.45    | 0.03%             | 2030-04-15      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO Ltd                                                      | Symphony CLO XIV Ltd                                                                                                   | CUSIP: 87159QAW8<br>LEI: 54930085JMJSZBQ6N270 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $246146.25    | 0.05%             | 2026-07-14      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                           | Long: BOF16375L IRS USD R V 03MSOFR SOF16375L_FLO CCPOIS / Short: BOF16375L IRS USD P F  1.63750 SOF16375L_FIX CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    593000 | OU      | $45181.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                                   | United Kingdom Gilt                                                                                                    | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Short            | DBT              | NUSS              | GB        |    -15000 | PA      | $-17003.15    | -0.00%            | 2027-07-22      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| GRANITE US HOLDINGS CORP                                              | Granite US Holdings Corp                                                                                               | CUSIP: 38748YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1009000 | PA      | $1067400.92   | 0.21%             | 2027-10-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Henley Funding Ltd.                                                   | Henley CLO VI DAC                                                                                                      | CUSIP: 000000000<br>LEI: 635400YRMBLUNSYHHJ03 | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $236146.66    | 0.05%             | 2034-06-10      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.                                         | Anchorage Credit Funding 6 Ltd                                                                                         | CUSIP: 03330MAE6<br>LEI: 5493009BD57D5LVN7Y80 | Long             | ABS-CBDO         | CORP              | US        |    570000 | PA      | $466343.22    | 0.09%             | 2036-07-25      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QAJ1<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     30000 | PA      | $20812.50     | 0.00%             | 2020-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RRE Loan Management                                                   | RRE 1 Loan Management DAC                                                                                              | CUSIP: 000000000<br>LEI: 2138003YMUA5ITUQKJ47 | Long             | ABS-CBDO         | CORP              | IE        |    180000 | PA      | $184303.75    | 0.04%             | 2035-04-15      | Floating      | 3.64%                 | Yes           |                  2 | On Loan: No      |
| Oak Hill Credit Partners                                              | OHA Credit Funding 4 Ltd                                                                                               | CUSIP: 67098DAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $239861.75    | 0.05%             | 2036-10-22      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                           | Long: B526SOCLO IRS USD R V 12MSOFR 2526SOCLO_FLO CCPOIS / Short: B526SOCLO IRS USD P F  2.52600 2526SOCLO_FIX CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     88000 | OU      | $4068.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Olin Corp                                                             | Olin Corp                                                                                                              | CUSIP: 680665AK2<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |    956000 | PA      | $904901.80    | 0.18%             | 2030-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                                      | CVC Cordatus Loan Fund X DAC                                                                                           | CUSIP: 000000000<br>LEI: 549300L3U7O5MFVI3I18 | Long             | ABS-CBDO         | CORP              | IE        |    200000 | PA      | $203253.78    | 0.04%             | 2031-01-27      | Floating      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| SMERALDA SPV SUB ABS NOTES CL                                         | SMERALDA SPV SUB ABS NOTES CL                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |    568721 | PA      | $621377.03    | 0.12%             | 2033-12-22      | Variable      | 1.00%                 | No            |                  3 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                              | Occidental Petroleum Corp                                                                                              | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    144000 | PA      | $151641.36    | 0.03%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG 2006                                                | FMG Resources August 2006 Pty Ltd                                                                                      | CUSIP: 30251GBE6<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |    836000 | PA      | $815956.90    | 0.16%             | 2032-04-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QYT3<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     25000 | PA      | $17500.00     | 0.00%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MITCHELLS & BUTLERS FINA                                              | Mitchells & Butlers Finance PLC                                                                                        | CUSIP: 000000000<br>LEI: 213800E7QA1U8BF34219 | Long             | DBT              | CORP              | GB        |    185091 | PA      | $216243.98    | 0.04%             | 2028-12-15      | Fixed         | 6.01%                 | Yes           |                  2 | On Loan: No      |
| ARES CLO Ltd                                                          | Ares XXXVII CLO Ltd                                                                                                    | CUSIP: 04015NAK0<br>LEI: 635400YF4AHA6NB2CU53 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $239639.00    | 0.05%             | 2030-10-15      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| DUMMY BROKER                                                          | Long: DUMP1225  CYS EUR R V 03MESTR ESTRON -25.5 BPS / Short: DUMP1225  CYS USD P F   .00000                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DE        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                                           | Chemours Co/The                                                                                                        | CUSIP: 163851AF5<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |   2387000 | PA      | $2178149.44   | 0.43%             | 2028-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Dryden Leveraged Loan CDO                                             | Dryden 59 Euro CLO 2017 DAC                                                                                            | CUSIP: 000000000<br>LEI: 635400ZKLU6BYCZWMN91 | Long             | ABS-CBDO         | CORP              | IE        |    365000 | PA      | $354602.40    | 0.07%             | 2032-05-15      | Floating      | 4.16%                 | Yes           |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                 | Bausch Health Cos Inc                                                                                                  | CUSIP: 071734AQ0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |   1282000 | PA      | $1009446.80   | 0.20%             | 2028-09-30      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                              | Ford Motor Credit Co LLC                                                                                               | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    222000 | PA      | $207754.75    | 0.04%             | 2027-01-09      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QVX7<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |    210000 | PA      | $147525.00    | 0.03%             | 2040-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VALARIS LTD                                                           | Valaris Ltd                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4063730 | PA      | $4117350.92   | 0.82%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| SOLOCAL GROUP                                                         | Solocal Group                                                                                                          | CUSIP: 000000000<br>LEI: 9695005U38X1SF184325 | Long             | DBT              | CORP              | FR        |    108700 | PA      | $96311.19     | 0.02%             | 2025-03-15      | Floating      | 9.05%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                             | Anchorage Capital CLO 4-R Ltd                                                                                          | CUSIP: 03328LAG7<br>LEI: 549300MP4QPQUMB6AD63 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $226820.25    | 0.04%             | 2031-01-28      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                 | Argentine Republic Government International Bond                                                                       | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    703935 | PA      | $219363.18    | 0.04%             | 2046-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Penta CLO S.A.                                                        | Penta CLO 8 DAC                                                                                                        | CUSIP: 000000000<br>LEI: 549300PEHRLZ3HBP3Z85 | Long             | ABS-CBDO         | CORP              | IE        |    240000 | PA      | $244684.11    | 0.05%             | 2034-01-15      | Floating      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                          | Royal Caribbean Cruises Ltd. 2019 Revolver                                                                             | CUSIP: 78015EAD0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | LON              | CORP              | LR        |   9420000 | PA      | $9007875.00   | 1.79%             | 2024-04-05      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                 | Uber Technologies Inc                                                                                                  | CUSIP: 90353TAG5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    973000 | PA      | $953235.94    | 0.19%             | 2028-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                         | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-2543.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                               | Long: EURZS11Z3 CYS USD R V 03MLIBOR US0003M + 0 BPS / Short: EURZS11Z3 CYS EUR P V 03MEURIB EUR003M -19BP             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |         1 | NC      | $36659.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bosphorus CLO                                                         | Bosphorus CLO V DAC                                                                                                    | CUSIP: 000000000<br>LEI: 635400MHW87IZ2JWGW83 | Long             | ABS-CBDO         | CORP              | IE        |    320000 | PA      | $337614.38    | 0.07%             | 2032-12-12      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| St Pauls CLO                                                          | St Paul's CLO VI DAC                                                                                                   | CUSIP: 000000000<br>LEI: 635400REBCMBKKLQ8M86 | Long             | ABS-CBDO         | CORP              | IE        |    305000 | PA      | $316281.38    | 0.06%             | 2034-05-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XXI Ltd                                   | Octagon Investment Partners XXI Ltd                                                                                    | CUSIP: 67590QBN6<br>LEI: 549300XIS9D4AHDX5A35 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $237791.75    | 0.05%             | 2031-02-14      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| RR LTD                                                                | RR 4 LTD                                                                                                               | CUSIP: 74972FAG0<br>LEI: 549300G3G1OYI5KO3H14 | Long             | ABS-CBDO         | CORP              | US        |    730000 | PA      | $714421.07    | 0.14%             | 2030-04-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| BlueMountain EUR CLO                                                  | BlueMountain Fuji Eur CLO V DAC                                                                                        | CUSIP: 000000000<br>LEI: 635400IYPG2G6NM3OV52 | Long             | ABS-CBDO         | CORP              | IE        |    485000 | PA      | $501439.16    | 0.10%             | 2033-01-15      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QZZ8<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |    440000 | PA      | $308000.00    | 0.06%             | 2029-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Samsonite Finco Sarl                                                  | Samsonite Finco Sarl                                                                                                   | CUSIP: 000000000<br>LEI: 222100JLR1QL2IJ49Q65 | Long             | DBT              | CORP              | LU        |   1008000 | PA      | $1024255.80   | 0.20%             | 2026-05-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Upstart Structured Pass-Through Trust                                 | Upstart Structured Pass-Through Trust Series 2022-4A                                                                   | CUSIP: 91680YBD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    287572 | PA      | $285950.65    | 0.06%             | 2030-11-15      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| Henley Funding Ltd.                                                   | Henley CLO VI DAC                                                                                                      | CUSIP: 000000000<br>LEI: 635400YRMBLUNSYHHJ03 | Long             | ABS-CBDO         | CORP              | IE        |    180000 | PA      | $175960.24    | 0.03%             | 2034-06-10      | Floating      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                                  | Birch Grove CLO 3 Ltd                                                                                                  | CUSIP: 09076UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    885000 | PA      | $816560.30    | 0.16%             | 2035-01-19      | Floating      | 9.91%                 | No            |                  2 | On Loan: No      |
| California Resources Corp                                             | California Resources Corp                                                                                              | CUSIP: 13057Q123<br>LEI: 5493003Q8F0T4F4YMR48 | N/A              | DE               |  | US        |      1064 | NS      | $11650.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                | Long: BRSSOF364 IRS USD R V 00MSOFR IRSSOF364_FLO CCPOIS / Short: BRSSOF364 IRS USD P F  3.64000 IRSSOF364_FIX CCPOIS  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |     70000 | OU      | $480.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Marathon CLO LTD                                                      | Marathon CLO X Ltd                                                                                                     | CUSIP: 56578JAJ1<br>LEI: 549300OFW6C351QTYH15 | Long             | ABS-CBDO         | CORP              | US        |   1030000 | PA      | $859539.12    | 0.17%             | 2029-11-15      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| Neptune Bidco US Inc                                                  | Neptune Bidco US Inc 2nd Lien Term Loan                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1073000 | PA      | $1037591.00   | 0.21%             | 2029-10-11      | Floating      | 14.49%                | No            |                  3 | On Loan: No      |
| US Radiology Specialists, Inc.                                        | US Radiology Specialists, Inc. 2020 Term Loan                                                                          | CUSIP: 90372AAJ7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    702541 | PA      | $672686.65    | 0.13%             | 2027-12-15      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                                      | CVC Cordatus Loan Fund X DAC                                                                                           | CUSIP: 000000000<br>LEI: 549300L3U7O5MFVI3I18 | Long             | ABS-CBDO         | CORP              | IE        |    190000 | PA      | $186317.28    | 0.04%             | 2031-01-27      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| MITCHELLS & BUTLERS FINA                                              | Mitchells & Butlers Finance PLC                                                                                        | CUSIP: 000000000<br>LEI: 213800E7QA1U8BF34219 | Long             | DBT              | CORP              | GB        |    884000 | PA      | $991324.41    | 0.20%             | 2030-09-15      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Catamaran CLO Ltd                                                     | Catamaran CLO 2014-1 Ltd                                                                                               | CUSIP: 14889DAS7<br>LEI: 549300C8Q7ISEHHDRH76 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $231414.25    | 0.05%             | 2030-04-22      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                               | Long: XCUIRS126 CYS USD R V 00MSOFR SOFRRATE +0 BPS / Short: XCUIRS126 CYS EUR P V 00MESTR ESTRON -19.75 BPS           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |         1 | NC      | $-965942.82   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                              | Neuberger Berman Loan Advisers CLO 27 Ltd                                                                              | CUSIP: 64131WAE7<br>LEI: 549300IWMW28G8CR9G28 | Long             | ABS-CBDO         | CORP              | US        |    320000 | PA      | $312627.52    | 0.06%             | 2030-01-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Marathon CLO LTD                                                      | Marathon CLO VI Ltd                                                                                                    | CUSIP: 56576VBC0<br>LEI: 5493002F390212ZEF773 | Long             | ABS-CBDO         | CORP              | US        |    590000 | PA      | $548159.56    | 0.11%             | 2028-05-13      | Floating      | 8.15%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                                              | OZLM XVIII Ltd                                                                                                         | CUSIP: 67112GAC2<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $244636.00    | 0.05%             | 2031-04-15      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Ellington CLO LTD                                                     | Ellington Clo II Ltd                                                                                                   | CUSIP: 28852EAG4<br>LEI: 254900YE647HYXEP3N43 | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $475369.00    | 0.09%             | 2029-02-15      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| RBC Capital Markets LLC                                               | REVERSE REPO ROYAL BANK OF CAN                                                                                         | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | Short            | RA               | CORP              | US        |  -5094049 | PA      | $-5094048.75  | -1.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                               | Long: DUMP00723 CYS EUR R V 03MLIBOR EUR003M -6.77 BPS / Short: DUMP00723 CYS USD P V 03MLIBOR USD003M +0 BPS          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | DE        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                               | Long: GBJP1225  CYS USD R V 00MSOFR SOFRRATE +0 BPS / Short: GBJP1225  CYS GBP P V 03MSONIO SONIO/N -18.3 BPS          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |         1 | NC      | $-33180.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Penta CLO S.A.                                                        | Penta CLO 5 DAC                                                                                                        | CUSIP: 000000000<br>LEI: 635400CJ99MQCYBUGV50 | Long             | ABS-CBDO         | CORP              | IE        |    100000 | PA      | $103085.33    | 0.02%             | 2035-04-20      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| East Valley Tourist Development Authority                             | East Valley Tourist Development Authority Term Loan B                                                                  | CUSIP: 27571VAD5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   6106949 | PA      | $5899312.48   | 1.17%             | 2026-11-23      | Floating      | 11.48%                | No            |                  3 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                              | Ford Motor Credit Co LLC                                                                                               | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    558000 | PA      | $488085.39    | 0.10%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MAGENTA BUYER LLC                                                     | Magenta Buyer LLC 2022 Incremental Term Loan                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2120000 | PA      | $1984850.00   | 0.39%             | 2028-07-27      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| TEGNA INC                                                             | TEGNA Inc                                                                                                              | CUSIP: 87901JAH8<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |    118000 | PA      | $111333.59    | 0.02%             | 2029-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                                              | OZLM XXII Ltd                                                                                                          | CUSIP: 67111VAE6<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $240996.00    | 0.05%             | 2031-01-17      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Dartry Park CLO                                                       | Dartry Park CLO DAC                                                                                                    | CUSIP: 000000000<br>LEI: 549300EK539GMKPB1K76 | Long             | ABS-CBDO         | CORP              | IE        |    355000 | PA      | $365440.02    | 0.07%             | 2034-01-28      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                              | Madison Park Funding XXVII Ltd                                                                                         | CUSIP: 55820YAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $237413.25    | 0.05%             | 2030-04-20      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| SEAGATE HDD CAYMAN                                                    | Seagate HDD Cayman                                                                                                     | CUSIP: 81180WBG5<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |    570964 | PA      | $647284.76    | 0.13%             | 2032-12-01      | Fixed         | 9.63%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                                                   | Eaton Vance CLO 2014-1R Ltd                                                                                            | CUSIP: 27830TAG0<br>LEI: 549300FPTLP8I41O7F48 | Long             | ABS-CBDO         | CORP              | US        |    325000 | PA      | $313796.28    | 0.06%             | 2030-07-15      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                           | Long: BON4135GB IRS GBP R V 00MSONIA SON4135GB_FLO CCPOIS / Short: BON4135GB IRS GBP P F  4.13500 SON4135GB_FIX CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3916000 | OU      | $-9337.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Clydesdale Acquisition Holdings Inc                                   | Clydesdale Acquisition Holdings Inc Term Loan B                                                                        | CUSIP: 18972FAC6<br>LEI: 254900QKSDYFR3K5YD98 | Long             | LON              | CORP              | US        |   1626825 | PA      | $1600860.87   | 0.32%             | 2029-04-13      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QZR6<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     25000 | PA      | $17437.50     | 0.00%             | 2030-07-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| KVK CLO Ltd                                                           | KVK CLO 2013-1 Ltd                                                                                                     | CUSIP: 48274GAD4<br>LEI: 5493007VGL59COTLZY21 | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $485231.50    | 0.10%             | 2028-01-14      | Floating      | 10.73%                | No            |                  2 | On Loan: No      |
| Jubilee CDO BV                                                        | Jubilee CLO 2021-XXV DAC                                                                                               | CUSIP: 000000000<br>LEI: 635400APBYBGXMTWEE61 | Long             | ABS-CBDO         | CORP              | IE        |    285000 | PA      | $288814.42    | 0.06%             | 2035-10-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Capital Four CLO                                                      | Capital Four CLO III DAC                                                                                               | CUSIP: 000000000<br>LEI: 549300BEUU8HXTZJGY22 | Long             | ABS-CBDO         | CORP              | IE        |    545000 | PA      | $563181.36    | 0.11%             | 2034-10-15      | Floating      | 4.04%                 | Yes           |                  2 | On Loan: No      |
| FRONTIER FLORIDA LLC                                                  | Frontier Florida LLC                                                                                                   | CUSIP: 362333AH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1477000 | PA      | $1372642.57   | 0.27%             | 2028-02-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Longfellow Place CLO Ltd                                              | Longfellow Place CLO Ltd                                                                                               | CUSIP: 54303PAW5<br>LEI: 549300FY38ZCUKZQU403 | Long             | ABS-CBDO         | CORP              | US        |    520000 | PA      | $520217.36    | 0.10%             | 2029-04-15      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| VERISURE HOLDING AB                                                   | Verisure Holding AB                                                                                                    | CUSIP: 000000000<br>LEI: 549300VQQCWGISM3N408 | Long             | DBT              | CORP              | SE        |    914000 | PA      | $881268.00    | 0.17%             | 2027-02-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QZL9<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |    110000 | PA      | $75625.00     | 0.01%             | 2020-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                           | BNP Paribas SA                                                                                                         | CUSIP: 05565AS20<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    774000 | PA      | $842499.00    | 0.17%             | 2027-11-17      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Ltd                                  | Carlyle Global Market Strategies CLO 2013-1 Ltd                                                                        | CUSIP: 14310BAS0<br>LEI: 549300CVBX8ZUYQV3Q10 | Long             | ABS-CBDO         | CORP              | US        |    435000 | PA      | $411900.20    | 0.08%             | 2030-08-14      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QB84<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     10000 | PA      | $7325.00      | 0.00%             | 2019-07-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QXP2<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |      5000 | PA      | $3512.50      | 0.00%             | 2024-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QZY1<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     15000 | PA      | $10462.50     | 0.00%             | 2042-07-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Preferred Term Securities XXIV Ltd/Preferred Term Securities XXIV Inc | Preferred Term Securities XXIV Ltd/Preferred Term Securities XXIV Inc                                                  | CUSIP: 74043CAB3<br>LEI: 549300BJ4B7IHHA4GP46 | Long             | ABS-CBDO         | CORP              | US        |    429945 | PA      | $333603.68    | 0.07%             | 2037-03-22      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Armada Euro CLO                                                       | Armada Euro CLO III DAC                                                                                                | CUSIP: 000000000<br>LEI: 549300236OBWCGBX8R96 | Long             | ABS-CBDO         | CORP              | IE        |    300000 | PA      | $301918.71    | 0.06%             | 2031-07-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QA69<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |    445000 | PA      | $319287.50    | 0.06%             | 2036-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Zais CLO 5 LTD                                                        | Zais CLO 5 Ltd                                                                                                         | CUSIP: 98875LAG4<br>LEI: 5493001XJXUE8BZ0Q137 | Long             | ABS-CBDO         | CORP              | US        |    510000 | PA      | $479765.16    | 0.10%             | 2028-10-15      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| LIBERTY LATIN AMERICA                                                 | Liberty Latin America Ltd                                                                                              | CUSIP: 53069QAB5<br>LEI: 213800YWQHEAX7CAVO83 | Long             | DBT              | CORP              | BM        |   5514000 | PA      | $5079772.50   | 1.01%             | 2024-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                         | DISH DBS Corp                                                                                                          | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2433000 | PA      | $2101503.75   | 0.42%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VICTORIA'S SECRET & CO                                                | Victoria's Secret & Co                                                                                                 | CUSIP: 926400AA0<br>LEI: 5493006T3O70U3UWVF17 | Long             | DBT              | CORP              | US        |   3040000 | PA      | $2529827.20   | 0.50%             | 2029-07-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QKR2<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     25000 | PA      | $17500.00     | 0.00%             | 2023-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Halcyon Loan Advisors Funding Ltd                                     | Halcyon Loan Advisors Funding 2015-2 Ltd                                                                               | CUSIP: 40538KAU6<br>LEI: 5493006GMMSBMRMTK635 | Long             | ABS-CBDO         | CORP              | US        |    405000 | PA      | $384963.03    | 0.08%             | 2027-07-25      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LIMITED                                               | NCL Corporation Limited 2021 Revolver A                                                                                | CUSIP: 000000000<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | LON              | CORP              | BM        |   2389000 | PA      | $2313352.32   | 0.46%             | 2024-01-02      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QZA3<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |    160000 | PA      | $112400.00    | 0.02%             | 2026-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Gordian Medical, Inc.                                                 | Gordian Medical, Inc. Term Loan B                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    788686 | PA      | $571797.55    | 0.11%             | 2027-01-31      | Floating      | 10.98%                | No            |                  2 | On Loan: No      |
| Optiv Security, Inc.                                                  | Optiv Security, Inc. 2nd Lien Term Loan                                                                                | CUSIP: 68404XAD8<br>LEI: 549300VZRXJMEDMZX746 | Long             | LON              | CORP              | US        |    399979 | PA      | $369356.66    | 0.07%             | 2025-01-31      | Floating      | 11.42%                | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                                                       | Atrium XIII                                                                                                            | CUSIP: 04966HAG1<br>LEI: 549300BF3YFW8EHN6F75 | Long             | ABS-CBDO         | CORP              | US        |    430000 | PA      | $413793.30    | 0.08%             | 2030-11-21      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                               | Long: EURZS11ZQ CYS USD R V 03MLIBOR US0003M + 0 BPS / Short: EURZS11ZQ CYS EUR P V 03MEURIB EUR003M -23.35BP          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |         1 | NC      | $37020.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Tymon Park CLO Ltd                                                    | Tymon Park CLO DAC                                                                                                     | CUSIP: 000000000<br>LEI: 549300Y293DUMFBSH733 | Long             | ABS-CBDO         | CORP              | IE        |    340000 | PA      | $336823.76    | 0.07%             | 2034-07-21      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Erna Srl                                                              | Erna Srl                                                                                                               | CUSIP: 000000000<br>LEI: 8156000268F284900524 | Long             | ABS-MBS          | CORP              | IT        |    310310 | PA      | $328100.13    | 0.07%             | 2031-07-25      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                 | Terwin Mortgage Trust 2006-6                                                                                           | CUSIP: 8815612U7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45389 | PA      | $18746.07     | 0.00%             | 2037-07-25      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QXR8<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |    375000 | PA      | $263437.50    | 0.05%             | 2026-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Cairn CLO BV                                                          | Cairn CLO XV DAC                                                                                                       | CUSIP: 000000000<br>LEI: 635400WFBG4QJAOM2S84 | Long             | ABS-CBDO         | CORP              | IE        |    410000 | PA      | $422755.50    | 0.08%             | 2036-04-15      | Floating      | 4.04%                 | Yes           |                  2 | On Loan: No      |
| VISTRA CORP                                                           | Vistra Corp                                                                                                            | CUSIP: 92840MAB8<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |   3232000 | PA      | $3172401.92   | 0.63%             | 2026-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Trinitas Euro CLO                                                     | Trinitas Euro CLO II DAC                                                                                               | CUSIP: 000000000<br>LEI: 635400LANDKVH6IVDD64 | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $268702.52    | 0.05%             | 2035-04-15      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Viking Cruises Ltd                                                    | Viking Cruises Ltd                                                                                                     | CUSIP: 92676XAD9<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |   3780000 | PA      | $3225814.20   | 0.64%             | 2027-09-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                                       | Golub Capital Partners 48 LP                                                                                           | CUSIP: 38177DAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $239592.25    | 0.05%             | 2033-04-17      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| FOOT LOCKER INC                                                       | Foot Locker Inc                                                                                                        | CUSIP: 344849AA2<br>LEI: 549300X383CBNP6MTV94 | Long             | DBT              | CORP              | US        |    763000 | PA      | $646024.47    | 0.13%             | 2029-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| St Pauls CLO                                                          | St Paul's CLO V DAC                                                                                                    | CUSIP: 000000000<br>LEI: 635400LOBVY9OW2EI809 | Long             | ABS-CBDO         | CORP              | IE        |    140000 | PA      | $138949.01    | 0.03%             | 2030-02-20      | Floating      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Covetrus, Inc.                                                        | Covetrus, Inc. Term Loan                                                                                               | CUSIP: 22304EAC0<br>LEI: 5493009S30DUFCF75V87 | Long             | LON              | CORP              | US        |   1998159 | PA      | $1914066.33   | 0.38%             | 2029-10-13      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| Mattress Firm Inc                                                     | Mattress Firm Inc 2021 Term Loan B                                                                                     | CUSIP: 57723CAR0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1820802 | PA      | $1685379.47   | 0.33%             | 2028-09-25      | Floating      | 8.44%                 | No            |                  2 | On Loan: No      |
| Spirit RR Holdings, Inc                                               | Spirit RR Holdings, Inc Delayed Draw Term Loan                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    365311 | PA      | $356178.23    | 0.07%             | 2028-09-13      | Floating      | 11.18%                | No            |                  3 | On Loan: No      |
| Oaktree CLO Ltd                                                       | Oaktree CLO 2020-1 Ltd                                                                                                 | CUSIP: 67402FAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    295000 | PA      | $287315.84    | 0.06%             | 2034-07-15      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| XPO CNW Inc                                                           | XPO CNW Inc                                                                                                            | CUSIP: 12612WAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2019000 | PA      | $1823879.03   | 0.36%             | 2034-05-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Gallatin Funding Ltd                                                  | Gallatin CLO IX 2018-1 Ltd                                                                                             | CUSIP: 36361WAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $245012.75    | 0.05%             | 2028-01-21      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                 | Argentine Republic Government International Bond                                                                       | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   1718903 | PA      | $532544.39    | 0.11%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                                               | Standard Industries Inc/NJ                                                                                             | CUSIP: 853496AD9<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |   1323000 | PA      | $1241456.90   | 0.25%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                              | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-12934.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Zais Matrix CDO I                                                     | Zais Clo 14 Ltd                                                                                                        | CUSIP: 98888BBC9<br>LEI: 5493009PVOUOQ1A0UG08 | Long             | ABS-CBDO         | CORP              | US        |    475000 | PA      | $456430.35    | 0.09%             | 2032-04-15      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| AP Core Holdings II, LLC                                              | AP Core Holdings II, LLC High-Yield Term Loan B2                                                                       | CUSIP: 00187GAD1<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |   2120250 | PA      | $2051341.47   | 0.41%             | 2027-09-01      | Floating      | 10.07%                | No            |                  2 | On Loan: No      |
| Anchorage Capital Europe CLO                                          | Anchorage Capital Europe CLO 3 DAC                                                                                     | CUSIP: 000000000<br>LEI: 635400AT2Z7FXMVYD462 | Long             | ABS-CBDO         | CORP              | IE        |    745000 | PA      | $749149.70    | 0.15%             | 2032-07-15      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.                                         | Anchorage Credit Funding 10 Ltd                                                                                        | CUSIP: 03332BAA6<br>LEI: 549300FU018PJDVE5C16 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $211932.25    | 0.04%             | 2038-04-25      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| St Pauls CLO                                                          | St Paul's CLO III-R DAC                                                                                                | CUSIP: 000000000<br>LEI: 549300IKOW2IAQAUBN56 | Long             | ABS-CBDO         | CORP              | IE        |    445000 | PA      | $425746.59    | 0.08%             | 2032-01-15      | Floating      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Endure Digital Inc.                                                   | Endure Digital Inc. Revolver                                                                                           | CUSIP: 29279UAC0<br>LEI: 549300UTQC2651SB0W88 | Long             | LON              | CORP              | US        |   1060000 | PA      | $906300.00    | 0.18%             | 2026-02-10      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                           | Long: BONIRS388 IRS GBP R V 00MSONIA SONIRS388_FLO CCPOIS / Short: BONIRS388 IRS GBP P F  3.88500 SONIRS388_FIX CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1561000 | OU      | $-22857.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QYQ9<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |      5000 | PA      | $3500.00      | 0.00%             | 2025-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACProducts, Inc.                                                      | ACProducts, Inc. 2021 Term Loan B                                                                                      | CUSIP: 00488YAB2<br>LEI: 254900KTNXVUUHWHBF39 | Long             | LON              | CORP              | US        |   2886756 | PA      | $2349588.07   | 0.47%             | 2028-05-17      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                                     | Elevation Clo 2021-15 Ltd                                                                                              | CUSIP: 28623VAJ8<br>LEI: 5493005VN5WX000OV470 | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $471387.50    | 0.09%             | 2035-01-25      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                                       | Golub Capital Partners CLO 50B-R Ltd                                                                                   | CUSIP: 38178DAG2<br>LEI: 254900N3E7Y6I5DRGW52 | Long             | ABS-CBDO         | CORP              | JE        |    310000 | PA      | $294566.65    | 0.06%             | 2035-04-20      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| Avalara, Inc                                                          | Avalara, Inc Term Loan                                                                                                 | CUSIP: 000000000<br>LEI: 549300Q16CMW239SS315 | Long             | LON              | CORP              | US        |   4653487 | PA      | $4546456.80   | 0.90%             | 2028-10-19      | Floating      | 11.83%                | No            |                  3 | On Loan: No      |
| Benefit Street Partners CLO Ltd                                       | Benefit Street Partners CLO II Ltd                                                                                     | CUSIP: 08179XAU9<br>LEI: 549300PVYNJC7QL0GC48 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $245002.50    | 0.05%             | 2029-07-15      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| Avoca CLO                                                             | Avoca CLO XXIII DAC                                                                                                    | CUSIP: 000000000<br>LEI: 549300JQ57GOFHS3VT07 | Long             | ABS-CBDO         | CORP              | IE        |    455000 | PA      | $468838.92    | 0.09%             | 2034-04-15      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                            | GAM RE-REMIC TRUST 2021-FRR2                                                                                           | CUSIP: 36459TBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35000 | PA      | $28343.11     | 0.01%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Hexion Holdings Corporation                                           | Hexion Holdings Corporation 2022 USD Term Loan                                                                         | CUSIP: 00217XAB2<br>LEI: 54930030FZF8HYAEHM46 | Long             | LON              | CORP              | US        |   3771050 | PA      | $3417514.10   | 0.68%             | 2029-03-15      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECS XXVI                                              | Preferred Term Securities XXVI Ltd / Preferred Term Securities XXVI Inc                                                | CUSIP: 74042QAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | XX        |    268999 | PA      | $221137.79    | 0.04%             | 2037-09-22      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                         | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | XX        |         1 | NC      | $21184.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                                               | Talen Energy Supply LLC                                                                                                | CUSIP: 87422VAG3<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $1356813.25   | 0.27%             | 2028-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DirecTV Financing, LLC                                                | DirecTV Financing, LLC Term Loan                                                                                       | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1167004 | PA      | $1150292.49   | 0.23%             | 2027-08-02      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Through Certificates                         | TBW Mortgage-Backed Trust 2006-6                                                                                       | CUSIP: 87222PAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50947 | PA      | $43782.91     | 0.01%             | 2037-01-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital Europe CLO                                          | Anchorage Capital Europe CLO 2 DAC                                                                                     | CUSIP: 000000000<br>LEI: 635400HYNZWTWNENDW97 | Long             | ABS-CBDO         | CORP              | IE        |    410000 | PA      | $423994.19    | 0.08%             | 2034-04-15      | Floating      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| TCI-Symphony CLO                                                      | TCI-Symphony CLO 2017-1 Ltd                                                                                            | CUSIP: 87232BAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $382147.20    | 0.08%             | 2030-07-15      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| TORRID LLC                                                            | Torrid LLC 2021 Term Loan B                                                                                            | CUSIP: 89142DAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2601562 | PA      | $2108566.41   | 0.42%             | 2028-06-14      | Floating      | 10.31%                | No            |                  2 | On Loan: No      |
| LCH Limited                                                           | Long: B31625SOF IRS USD R V 00MSOFR 331625SOF_FLO CCPOIS / Short: B31625SOF IRS USD P F  3.31625 331625SOF_FIX CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2597000 | OU      | $-3289.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACADEMY LTD                                                           | Academy Ltd                                                                                                            | CUSIP: 00401YAA8<br>LEI: 549300BN53IR80C35Z14 | Long             | DBT              | CORP              | US        |   1988000 | PA      | $1936302.06   | 0.38%             | 2027-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                              | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-48478.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                                  | LifePoint Health Inc                                                                                                   | CUSIP: 53219LAU3<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |    825000 | PA      | $552102.92    | 0.11%             | 2029-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                     | NatWest Group PLC                                                                                                      | CUSIP: 780099CK1<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1065000 | PA      | $1078264.58   | 0.21%             | 2025-08-10      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GAM DEPO SRS H                                                        | GAM DEPO SRS H                                                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         1 | NS      | $553141.36    | 0.11%             |  |  |  | No            |                  3 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QLL4<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     15000 | PA      | $10087.50     | 0.00%             | 2018-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AHP HEALTH PARTN                                                      | AHP Health Partners Inc                                                                                                | CUSIP: 00150LAB7<br>LEI: 549300QMM8MQ6SM5KX05 | Long             | DBT              | CORP              | US        |   2611000 | PA      | $2151218.57   | 0.43%             | 2029-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Babson Euro CLO B.V.                                                  | Barings Euro CLO 2019-1 DAC                                                                                            | CUSIP: 000000000<br>LEI: 549300EGZCEL8MUE5F06 | Long             | ABS-CBDO         | CORP              | IE        |    245000 | PA      | $255634.36    | 0.05%             | 2034-10-15      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Ozlme                                                                 | Sculptor European CLO I DAC                                                                                            | CUSIP: 000000000<br>LEI: 635400VVYCGBQEIQI426 | Long             | ABS-CBDO         | CORP              | IE        |    300000 | PA      | $308302.68    | 0.06%             | 2034-04-18      | Floating      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| NCL CORPORATION LIMITED                                               | NCL Corporation Limited 2020 Term Loan A1                                                                              | CUSIP: 000000000<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | LON              | CORP              | BM        |   2289372 | PA      | $2186350.11   | 0.43%             | 2024-01-02      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| MKS CLO Ltd                                                           | MKS CLO 2017-2 Ltd                                                                                                     | CUSIP: 12662CAG2<br>LEI: 549300JCIKT6NT8T1275 | Long             | ABS-CBDO         | CORP              | US        |    535000 | PA      | $487901.81    | 0.10%             | 2031-01-20      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Grosvenor Place CLO BV                                                | Grosvenor Place CLO 2015-1 BV                                                                                          | CUSIP: 000000000<br>LEI: 724500G7ZEOURW7OQI29 | Long             | ABS-CBDO         | CORP              | NL        |    575000 | PA      | $581948.42    | 0.12%             | 2029-10-30      | Floating      | 7.87%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                 | Argentine Republic Government International Bond                                                                       | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    443086 | PA      | $159081.46    | 0.03%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                              | Fox Corp                                                                                                               | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |   3378000 | PA      | $3282961.56   | 0.65%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                                        | CarVal CLO VC Ltd                                                                                                      | CUSIP: 14687MAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    355000 | PA      | $338378.55    | 0.07%             | 2034-10-15      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| Providus CLO                                                          | Providus CLO IV DAC                                                                                                    | CUSIP: 000000000<br>LEI: 635400JHNUBVSY8RBH70 | Long             | ABS-CBDO         | CORP              | IE        |    420000 | PA      | $414338.12    | 0.08%             | 2034-04-20      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QZG0<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |      5000 | PA      | $3362.50      | 0.00%             | 2022-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                   | Intesa Sanpaolo SpA                                                                                                    | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    813000 | PA      | $647645.04    | 0.13%             | 2032-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| JMP Credit Advisors CLO Ltd                                           | JMP Credit Advisors Clo IV Ltd                                                                                         | CUSIP: 46647YAG2<br>LEI: 54930013XSXE4PJVBQ28 | Long             | ABS-CBDO         | CORP              | US        |    610000 | PA      | $585851.32    | 0.12%             | 2029-07-17      | Floating      | 8.94%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LIMITED                                               | NCL CORPORATION LIMITED 2021 DELAYED DRAW TERM LOAN                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | BM        |     70679 | PA      | $67498.71     | 0.01%             | 2024-01-02      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| JMP Credit Advisors CLO Ltd                                           | JMP Credit Advisors Clo IV Ltd                                                                                         | CUSIP: 46647YAE7<br>LEI: 54930013XSXE4PJVBQ28 | Long             | ABS-CBDO         | CORP              | US        |    355000 | PA      | $347463.35    | 0.07%             | 2029-07-17      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Providus CLO                                                          | Providus CLO IV DAC                                                                                                    | CUSIP: 000000000<br>LEI: 635400JHNUBVSY8RBH70 | Long             | ABS-CBDO         | CORP              | IE        |    355000 | PA      | $365541.52    | 0.07%             | 2034-04-20      | Floating      | 3.97%                 | Yes           |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                                    | Ford Motor Co                                                                                                          | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    951000 | PA      | $934317.89    | 0.19%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS PRIME BROKER                                              | BNP PARIBAS PRIME BROKER                                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | DE        |     67854 | NS      | $73767.39     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                               | Frontier Communications Holdings LLC                                                                                   | CUSIP: 35906ABF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    378000 | PA      | $344206.80    | 0.07%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                              | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    181000 | PA      | $178330.49    | 0.04%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                      | Altice France SA/France                                                                                                | CUSIP: 02156LAE1<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    573000 | PA      | $449807.87    | 0.09%             | 2029-01-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QXT4<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |    195000 | PA      | $136012.50    | 0.03%             | 2040-07-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                              | Targa Resources Partners LP / Targa Resources Partners Finance Corp                                                    | CUSIP: 87612BBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    192000 | PA      | $197399.04    | 0.04%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                 | Bausch Health Cos Inc                                                                                                  | CUSIP: 071734AP2<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |   3061000 | PA      | $2092698.57   | 0.42%             | 2027-02-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                                                 | Long: 796265TR4 TRS USD R F  5.80000 SANMFH 5.8 / Short: 796265TR4 TRS USD P V 01MSIFMA SIFMA + 130BP                  | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    700223 | OU      | $-14402.13    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| Houghton Mifflin Harcourt Publishing Company                          | Houghton Mifflin Harcourt Publishing Company 2022 Term Loan                                                            | CUSIP: 44157YAE4<br>LEI: 549300L3IA0HX4NLPQ61 | Long             | LON              | CORP              | US        |   6331255 | PA      | $5789141.02   | 1.15%             | 2029-04-09      | Floating      | 9.91%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                                              | Ford Motor Credit Co LLC                                                                                               | CUSIP: 345397ZR7<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1907000 | PA      | $1809928.93   | 0.36%             | 2029-05-03      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works Inc                                                 | Bath & Body Works Inc                                                                                                  | CUSIP: 501797AL8<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |   2192000 | PA      | $2000512.43   | 0.40%             | 2035-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Cairn CLO BV                                                          | Cairn CLO VII DAC                                                                                                      | CUSIP: 000000000<br>LEI: 549300TJNM6WMNNV4384 | Long             | ABS-CBDO         | CORP              | IE        |    440000 | PA      | $437194.40    | 0.09%             | 2030-01-31      | Floating      | 8.84%                 | Yes           |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                                | Rockford Tower CLO 2021-2 Ltd                                                                                          | CUSIP: 77341LAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    625000 | PA      | $610081.25    | 0.12%             | 2034-07-20      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM PARTNER                                              | EnLink Midstream Partners LP                                                                                           | CUSIP: 29336UAC1<br>LEI: 88CPW63VL7KHJWS0NY83 | Long             | DBT              | CORP              | US        |    286000 | PA      | $239842.46    | 0.05%             | 2044-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Ellington CLO LTD                                                     | Ellington Clo I Ltd                                                                                                    | CUSIP: 28851QAL7<br>LEI: 254900TQC62LFRK4R517 | Long             | ABS-CBDO         | CORP              | US        |    410000 | PA      | $386846.89    | 0.08%             | 2029-10-15      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Capital Four CLO                                                      | Capital Four CLO II DAC                                                                                                | CUSIP: 000000000<br>LEI: 549300MUYIMW1VRJ5K26 | Long             | ABS-CBDO         | CORP              | IE        |    290000 | PA      | $301273.24    | 0.06%             | 2034-01-15      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                               | Long: BRSEST192 IRS EUR R V 01MESTRO / Short: BRSEST192 IRS EUR P F  1.90250                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | ER        |    345000 | OU      | $16686.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUPA SOFTWARE INC                                                    | Coupa Software Inc                                                                                                     | CUSIP: 22266LAF3<br>LEI: 549300Q95ICR2GFL2K37 | Long             | DBT              | CORP              | US        |    919000 | PA      | $898322.50    | 0.18%             | 2026-06-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Solocal Group                                                         | Solocal Group                                                                                                          | CUSIP: 000000000<br>LEI: 9695005U38X1SF184325 | Long             | DBT              | CORP              | FR        |    421017 | PA      | $400495.12    | 0.08%             | 2025-03-15      | Floating      | 9.05%                 | No            |                  2 | On Loan: No      |
| AHP Health Partners, Inc.                                             | AHP Health Partners, Inc. 2021 Term Loan B                                                                             | CUSIP: 00130MAJ3<br>LEI: 549300QMM8MQ6SM5KX05 | Long             | LON              | CORP              | US        |   1034331 | PA      | $1027220.41   | 0.20%             | 2028-08-24      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| Valaris Ltd                                                           | Valaris Ltd                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | BM        |       135 | NS      | $9806.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                                           | Long: B346IRCLO IRS USD R V 12MSOFR 2346IRCLO_FLO CCPOIS / Short: B346IRCLO IRS USD P F  2.34600 2346IRCLO_FIX CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     27000 | OU      | $3403.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro                                 | Carlyle Global Market Strategies Euro CLO 2016-2 DAC                                                                   | CUSIP: 000000000<br>LEI: 635400EAUJUSP1LZTU42 | Long             | ABS-CBDO         | CORP              | IE        |    525000 | PA      | $539050.82    | 0.11%             | 2034-04-15      | Floating      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| St Pauls CLO                                                          | St Paul's CLO III-R DAC                                                                                                | CUSIP: 000000000<br>LEI: 549300IKOW2IAQAUBN56 | Long             | ABS-CBDO         | CORP              | IE        |    330000 | PA      | $343377.07    | 0.07%             | 2032-01-15      | Floating      | 3.44%                 | Yes           |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                                                  | Steele Creek Clo 2017-1 Ltd                                                                                            | CUSIP: 85816VAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $235103.50    | 0.05%             | 2030-10-15      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| LIBERTY INTERACTIVE LLC                                               | Liberty Interactive LLC                                                                                                | CUSIP: 530715AG6<br>LEI: 549300SZUIU7Z32Q0664 | Long             | DBT              | CORP              | US        |   3707000 | PA      | $1297450.00   | 0.26%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO                                                     | Mountain View CLO 2017-1 LLC                                                                                           | CUSIP: 62432HAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $240281.00    | 0.05%             | 2029-10-16      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                               | Long: EUJP00323 CYS USD R V 03MLIBOR US0003M+0 BPS / Short: EUJP00323 CYS EUR P V 03MEURIB EUR003M -8.5BPS             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |         1 | NC      | $147490.45    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                          | Ares XXXVII CLO Ltd                                                                                                    | CUSIP: 04015NAL8<br>LEI: 635400YF4AHA6NB2CU53 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $229004.25    | 0.05%             | 2030-10-15      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                                    | Ford Motor Co                                                                                                          | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |   1263000 | PA      | $1004030.80   | 0.20%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                | United States Treasury Note/Bond                                                                                       | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |   -191000 | PA      | $-163364.69   | -0.03%            | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                              | Builders FirstSource Inc                                                                                               | CUSIP: 12008RAN7<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    671000 | PA      | $626606.44    | 0.12%             | 2030-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TUI CRUISES GMBH                                                      | TUI Cruises GmbH                                                                                                       | CUSIP: 000000000<br>LEI: 529900SVD83QUUIZYY18 | Long             | DBT              | CORP              | DE        |   2772000 | PA      | $2730219.71   | 0.54%             | 2026-05-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                         | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | XX        |         1 | NC      | $37591.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PLAYTIKA HOLDING CORP                                                 | Playtika Holding Corp                                                                                                  | CUSIP: 72815LAA5<br>LEI: 254900E35Z4TKA4UFG64 | Long             | DBT              | CORP              | US        |   1944000 | PA      | $1616669.28   | 0.32%             | 2029-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ADVANTAGE SALES & MARKET                                              | Advantage Sales & Marketing Inc                                                                                        | CUSIP: 00775PAA5<br>LEI: 549300T4O24KQDED1182 | Long             | DBT              | CORP              | US        |   2968000 | PA      | $2259761.00   | 0.45%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| City of Detroit MI                                                    | DETROIT MI RETIREMENT SYS FUNDING TRUST 2005 COPS                                                                      | CUSIP: 25113PAM7<br>LEI: 549300BQRJP7MKKHOY28 | Long             | DBT              | MUN               | US        |    203362 | PA      | $203362.49    | 0.04%             | 2020-06-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| OCP Euro CLO                                                          | OCP Euro CLO 2017-2 DAC                                                                                                | CUSIP: 000000000<br>LEI: 635400KNK84TMOLEE581 | Long             | ABS-CBDO         | CORP              | IE        |    355000 | PA      | $356952.85    | 0.07%             | 2032-01-15      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                               | Dryden 61 Clo Ltd                                                                                                      | CUSIP: 26251CAW4<br>LEI: 549300JHVVT1NJ057H42 | Long             | ABS-CBDO         | CORP              | US        |    410000 | PA      | $391308.51    | 0.08%             | 2032-01-17      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QA28<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     10000 | PA      | $7000.00      | 0.00%             | 2042-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                               | Carmax Auto Owner Trust 2022-4                                                                                         | CUSIP: 14318UAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    660000 | PA      | $700757.81    | 0.14%             | 2029-04-16      | Fixed         | 8.08%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                              | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-1245.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bilbao CLO                                                            | Bilbao CLO I DAC                                                                                                       | CUSIP: 000000000<br>LEI: 635400HO2KGIJXCZSO48 | Long             | ABS-CBDO         | CORP              | IE        |    515000 | PA      | $524119.20    | 0.10%             | 2031-07-20      | Floating      | 4.04%                 | Yes           |                  2 | On Loan: No      |
| ACCOR SA                                                              | Accor SA                                                                                                               | CUSIP: 000000000<br>LEI: 969500QZC2Q0TK11NV07 | Long             | DBT              | CORP              | FR        |   2300000 | PA      | $2200157.20   | 0.44%             | 2028-11-29      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QD74<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     69427 | PA      | $50855.28     | 0.01%             | 2021-07-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                                                   | Station Casinos LLC                                                                                                    | CUSIP: 857691AH2<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |   1930000 | PA      | $1628979.83   | 0.32%             | 2031-12-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QC75<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     20000 | PA      | $13775.00     | 0.00%             | 2018-07-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CTP NV                                                                | CTP NV                                                                                                                 | CUSIP: 000000000<br>LEI: 3157000YTVO4TN65UM14 | Long             | DBT              | CORP              | NL        |   1452000 | PA      | $1080354.32   | 0.21%             | 2031-09-27      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Jack Ohio Finance LLC                                                 | Jack Ohio Finance LLC Term Loan                                                                                        | CUSIP: 46647KAG2<br>LEI: 5493002ERZW63JFJI167 | Long             | LON              | CORP              | US        |   1291596 | PA      | $1283523.90   | 0.25%             | 2028-10-04      | Floating      | 9.32%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                                           | Continental Finance Credit Card ABS Master Trust                                                                       | CUSIP: 66981PAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    253000 | PA      | $252668.49    | 0.05%             | 2030-10-15      | Fixed         | 8.14%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                | VICI Properties LP / VICI Note Co Inc                                                                                  | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              |  | US        |    787000 | PA      | $704999.94    | 0.14%             | 2030-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                | CCO Holdings LLC / CCO Holdings Capital Corp                                                                           | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    269000 | PA      | $230163.13    | 0.05%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lightstone Holdco LLC                                                 | Lightstone Holdco LLC 2022 Extended Term Loan B                                                                        | CUSIP: 53226GAK7<br>LEI: 549300VXK6UGDG7H3G98 | Long             | LON              | CORP              | US        |   4028564 | PA      | $3588443.05   | 0.71%             | 2027-01-29      | Floating      | 10.31%                | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                              | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-11938.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro                                 | Carlyle Euro CLO 2017-3 DAC                                                                                            | CUSIP: 000000000<br>LEI: 6354002X9OAWDIJSMW67 | Long             | ABS-CBDO         | CORP              | IE        |    160000 | PA      | $153077.81    | 0.03%             | 2031-01-15      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Wind River CLO Ltd                                                    | Wind River 2021-4 CLO Ltd                                                                                              | CUSIP: 97316UAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    330000 | PA      | $319692.12    | 0.06%             | 2035-01-20      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                                        | Galaxy XV CLO Ltd                                                                                                      | CUSIP: 36318WAM2<br>LEI: 549300MJK1HWQWCLYA68 | Long             | ABS-CBDO         | CORP              | US        |    925000 | PA      | $883116.00    | 0.18%             | 2030-10-15      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                              | Madison Park Funding XXXI Ltd                                                                                          | CUSIP: 55819DAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    495000 | PA      | $473163.57    | 0.09%             | 2031-01-23      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                                     | Cedar Funding VII Clo Ltd                                                                                              | CUSIP: 15032FAG1<br>LEI: 549300G87EGFMLOYN341 | Long             | ABS-CBDO         | CORP              | US        |    395000 | PA      | $377839.62    | 0.07%             | 2031-01-20      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                      | Connecticut Avenue Securities Trust 2022-R02                                                                           | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1155000 | PA      | $1123024.63   | 0.22%             | 2042-01-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QZK1<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     10000 | PA      | $6875.00      | 0.00%             | 2019-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHARLOTTE BUYER, INC.                                                 | Charlotte Buyer, Inc. 2nd Lien Term Loan                                                                               | CUSIP: 12568YAF1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   6400000 | PA      | $6112000.00   | 1.21%             | 2028-08-11      | Floating      | 12.68%                | No            |                  2 | On Loan: No      |
| RINGCENTRAL INC                                                       | RingCentral Inc                                                                                                        | CUSIP: 76680RAF4<br>LEI: 549300C8EH0H1614VE84 | Long             | DBT              | CORP              | US        |   1194000 | PA      | $1049973.75   | 0.21%             | 2025-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CIFC European Funding CLO                                             | CIFC European Funding CLO V DAC                                                                                        | CUSIP: 000000000<br>LEI: 5493004XSET4KDEYQK74 | Long             | ABS-CBDO         | CORP              | IE        |    400000 | PA      | $398336.66    | 0.08%             | 2034-11-23      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Pacira BioSciences Inc                                                | Pacira BioSciences Inc Term Loan                                                                                       | CUSIP: 69512TAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    577917 | PA      | $575027.09    | 0.11%             | 2026-12-07      | Floating      | 11.50%                | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                      | Connecticut Avenue Securities Trust 2021-R03                                                                           | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    183710 | PA      | $177050.88    | 0.04%             | 2041-12-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                                                 | Long: 13079PTR2 TRS USD R F  5.85000 13079PTR2 / Short: 13079PTR2 TRS USD P V 01MSIFMA MUNIPSA + 145 BPS               | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    273079 | OU      | $-17328.20    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| CSC Holdings LLC                                                      | CSC Holdings LLC                                                                                                       | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   2012000 | PA      | $1743076.08   | 0.35%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                              | Ford Motor Credit Co LLC                                                                                               | CUSIP: 345397C68<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1429196.80   | 0.28%             | 2030-03-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| MOSS CREEK RESOURCES HLD                                              | Moss Creek Resources Holdings Inc                                                                                      | CUSIP: 61965RAB1<br>LEI: 54930037SLMSPWKYIX36 | Long             | DBT              | CORP              | US        |    848000 | PA      | $819990.21    | 0.16%             | 2027-05-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Magenta Buyer LLC                                                     | Magenta Buyer LLC 2021 USD 2nd Lien Term Loan                                                                          | CUSIP: 55910RAE3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1110000 | PA      | $891701.85    | 0.18%             | 2029-07-27      | Floating      | 13.08%                | No            |                  2 | On Loan: No      |
| VISTRA CORP                                                           | Vistra Operations Co LLC                                                                                               | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    650000 | PA      | $612618.50    | 0.12%             | 2027-07-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Monroe Capital MML CLO                                                | Monroe Capital MML CLO 2016-1 Ltd                                                                                      | CUSIP: 61033QAE5<br>LEI: 549300W3QI3IUCCWZY56 | Long             | ABS-CBDO         | CORP              | US        |    485000 | PA      | $455982.64    | 0.09%             | 2028-07-22      | Floating      | 12.07%                | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                                                 | Bank of Ireland Group PLC                                                                                              | CUSIP: 000000000<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    965000 | PA      | $1049278.40   | 0.21%             | 2025-05-19      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                 | Mineral Resources Ltd                                                                                                  | CUSIP: 603051AD5<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |   2296000 | PA      | $2375120.16   | 0.47%             | 2030-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Covenant Credit Partners CLO Ltd                                      | Covenant Credit Partners CLO III Ltd                                                                                   | CUSIP: 22284HAG8<br>LEI: 549300T7MAWQDFU61E82 | Long             | ABS-CBDO         | CORP              | US        |   1710000 | PA      | $1595308.59   | 0.32%             | 2029-10-15      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| TI AUTOMOTIVE FINANCE                                                 | TI Automotive Finance PLC                                                                                              | CUSIP: 000000000<br>LEI: 549300MZ54ZRN8UFQS35 | Long             | DBT              | CORP              | GB        |   1355000 | PA      | $1145326.45   | 0.23%             | 2029-04-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Jubilee CDO BV                                                        | Jubilee CLO 2021-XXV DAC                                                                                               | CUSIP: 000000000<br>LEI: 635400APBYBGXMTWEE61 | Long             | ABS-CBDO         | CORP              | IE        |    305000 | PA      | $298197.29    | 0.06%             | 2035-10-15      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Talen Energy Supply, LLC                                              | Talen Energy Supply, LLC 2022 DIP Term Loan                                                                            | CUSIP: 000000000<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |   2120000 | PA      | $2144910.00   | 0.43%             | 2023-11-10      | Floating      | 9.27%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                                   | Spectrum Brands Inc                                                                                                    | CUSIP: 84762LAW5<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |   1446000 | PA      | $1314934.56   | 0.26%             | 2030-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Digicel International Finance Limited                                 | Digicel International Finance Limited 2017 Term Loan B                                                                 | CUSIP: 000000000<br>LEI: 5493007V023VOEW4FK27 | Long             | LON              | CORP              | LC        |   3252607 | PA      | $2765740.42   | 0.55%             | 2024-05-28      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                                                    | Shackleton 2015-VIII CLO Ltd                                                                                           | CUSIP: 81882FAG4<br>LEI: 549300VJPG28RMYCYW83 | Long             | ABS-CBDO         | CORP              | US        |    440000 | PA      | $399787.96    | 0.08%             | 2027-10-20      | Floating      | 10.15%                | No            |                  2 | On Loan: No      |
| LIBERTY INTERACTIVE LLC                                               | Liberty Interactive LLC                                                                                                | CUSIP: 530715AL5<br>LEI: 549300SZUIU7Z32Q0664 | Long             | DBT              | CORP              | US        |   1162000 | PA      | $400890.00    | 0.08%             | 2030-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro                                 | Carlyle Global Market Strategies Euro CLO 2020-1 DAC                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $223236.37    | 0.04%             | 2033-04-15      | Floating      | 7.73%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                         | PURCHASED CHF / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CH        |         1 | NC      | $4229.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                                       | Venture XXIV CLO Ltd                                                                                                   | CUSIP: 92330WAW7<br>LEI: 549300EDZDHKTKE7JV77 | Long             | ABS-CBDO         | CORP              | US        |    530000 | PA      | $498735.83    | 0.10%             | 2028-10-20      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                                              | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                                                                    | CUSIP: 74841CAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1060000 | PA      | $864769.20    | 0.17%             | 2031-03-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Talen Energy Supply LLC                                               | Talen Energy Supply LLC                                                                                                | CUSIP: 87422VAF5<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |     59000 | PA      | $61480.04     | 0.01%             | 2027-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FRONTIER NORTH INC                                                    | Frontier North Inc                                                                                                     | CUSIP: 362337AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5029000 | PA      | $4648254.41   | 0.92%             | 2028-02-15      | Fixed         | 6.73%                 | No            |                  2 | On Loan: No      |
| GoTo Group, Inc.                                                      | GoTo Group, Inc. Term Loan B                                                                                           | CUSIP: 54142KAD3<br>LEI: 549300D12V5KRBV00592 | Long             | LON              | CORP              | US        |    262640 | PA      | $147406.70    | 0.03%             | 2027-08-31      | Floating      | 9.30%                 | No            |                  2 | On Loan: No      |
| DUFRY ONE BV                                                          | Dufry One BV                                                                                                           | CUSIP: 000000000<br>LEI: 7245003K5MN9U7XW0808 | Long             | DBT              | CORP              | NL        |   3823000 | PA      | $3615872.83   | 0.72%             | 2028-04-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| IMA INDUSTRIA MACCHINE                                                | IMA Industria Macchine Automatiche SpA                                                                                 | CUSIP: 000000000<br>LEI: 815600D86992FDA7B908 | Long             | DBT              | CORP              | IT        |   2410000 | PA      | $2304344.58   | 0.46%             | 2028-01-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| AHEAD DB HOLDINGS LLC                                                 | Ahead DB Holdings LLC                                                                                                  | CUSIP: 00867FAA6<br>LEI: 254900L07WFL833JX193 | Long             | DBT              | CORP              | US        |    890000 | PA      | $753211.45    | 0.15%             | 2028-05-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QXV9<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     55000 | PA      | $37950.00     | 0.01%             | 2022-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ROCKCLIFF ENERGY II LLC                                               | Rockcliff Energy II LLC                                                                                                | CUSIP: 77289KAA3<br>LEI: 5493007AZNVKZ5HEMT23 | Long             | DBT              | CORP              | US        |    302000 | PA      | $287695.82    | 0.06%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cairn CLO BV                                                          | Cairn Clo IX DAC                                                                                                       | CUSIP: 000000000<br>LEI: 54930016G03QMPTEMV89 | Long             | ABS-CBDO         | CORP              | IE        |    415000 | PA      | $423269.45    | 0.08%             | 2032-04-25      | Floating      | 3.95%                 | Yes           |                  2 | On Loan: No      |
| MACY'S RETAIL HLDGS LLC                                               | Macy's Retail Holdings LLC                                                                                             | CUSIP: 55616XAM9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2155000 | PA      | $1585616.68   | 0.31%             | 2034-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Toro European CLO                                                     | Toro European CLO 6 DAC                                                                                                | CUSIP: 000000000<br>LEI: 635400SBMZDOVHEFNA56 | Long             | ABS-CBDO         | CORP              | IE        |    400000 | PA      | $415041.96    | 0.08%             | 2032-01-12      | Floating      | 4.73%                 | Yes           |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                                              | Provincia de Buenos Aires/Government Bonds                                                                             | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |     30749 | PA      | $8899.75      | 0.00%             | 2037-09-01      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CHESAPEAKE ENERGY CORP                                                | Chesapeake Energy Corp                                                                                                 | CUSIP: 165167DG9<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |   1532000 | PA      | $1468896.92   | 0.29%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                                           | Harvest CLO XXIII DAC                                                                                                  | CUSIP: 000000000<br>LEI: 635400H4BIBT9YC1IC52 | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $253447.68    | 0.05%             | 2032-10-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                                            | Apidos CLO XII                                                                                                         | CUSIP: 03764DAJ0<br>LEI: 549300M5NMLBQJXUO195 | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $488404.00    | 0.10%             | 2031-04-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Avoca CLO                                                             | Avoca CLO XVIII DAC                                                                                                    | CUSIP: 000000000<br>LEI: 549300K6K5XESJRIKM24 | Long             | ABS-CBDO         | CORP              | IE        |    195000 | PA      | $180181.77    | 0.04%             | 2031-04-15      | Floating      | 6.89%                 | Yes           |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QKP6<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |      5000 | PA      | $3437.50      | 0.00%             | 2021-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENDO LUX FIN CO I SARL                                                | Endo Luxembourg Finance Co I Sarl / Endo US Inc                                                                        | CUSIP: 29280BAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   3440000 | PA      | $2704184.00   | 0.54%             | 2029-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | PURCHASED CHF / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CH        |         1 | NC      | $929.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QKV3<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     35000 | PA      | $24500.00     | 0.00%             | 2027-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                              | Occidental Petroleum Corp                                                                                              | CUSIP: 674599EA9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    152000 | PA      | $179183.68    | 0.04%             | 2030-07-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                                  | Signal Peak CLO 7 Ltd                                                                                                  | CUSIP: 56844AAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    565000 | PA      | $558690.65    | 0.11%             | 2032-04-30      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| RRE Loan Management                                                   | RRE 5 Loan Management DAC                                                                                              | CUSIP: 000000000<br>LEI: 549300D6UNTEPRSJ6X22 | Long             | ABS-CBDO         | CORP              | IE        |    620000 | PA      | $638245.40    | 0.13%             | 2037-01-15      | Floating      | 4.04%                 | Yes           |                  2 | On Loan: No      |
| OZLM Ltd                                                              | OZLM VII Ltd                                                                                                           | CUSIP: 67108WBL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $241365.75    | 0.05%             | 2029-07-17      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                              | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    381000 | PA      | $267757.03    | 0.05%             | 2061-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UTEX INDUSTRIES COMMON                                                | UTEX INDUSTRIES COMMON                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      8041 | NS      | $530706.00    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| JERROLD FINCO PLC                                                     | Jerrold Finco PLC                                                                                                      | CUSIP: 000000000<br>LEI: 213800F7AYNHLL1BPR31 | Long             | DBT              | CORP              | GB        |    831000 | PA      | $902425.95    | 0.18%             | 2026-01-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                                              | Hess Midstream Operations LP                                                                                           | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    892000 | PA      | $841099.47    | 0.17%             | 2028-06-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                           | Long: BO2407AFF IRS USD R V 12MSOFR SO2407AFF_FLO CCPOIS / Short: BO2407AFF IRS USD P F  2.40700 SO2407AFF_FIX CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    174000 | OU      | $5021.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.                                         | Anchorage Credit Funding 3 Ltd                                                                                         | CUSIP: 03330EAS3<br>LEI: 5493003NNQWXMTSTMF21 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $221500.00    | 0.04%             | 2039-01-28      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QZT2<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |      5000 | PA      | $3487.50      | 0.00%             | 2040-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Ozlme                                                                 | Sculptor European CLO I DAC                                                                                            | CUSIP: 000000000<br>LEI: 635400VVYCGBQEIQI426 | Long             | ABS-CBDO         | CORP              | IE        |    475000 | PA      | $481652.69    | 0.10%             | 2034-04-18      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                                                 | Long: 88275ATR2 TRS USD R F  5.80000 88275ATR2 / Short: 88275ATR2 TRS USD P V 01MSIFMA MUNIPSA + 145 BPS               | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    619265 | OU      | $-9241.55     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| Sculptor European CLO                                                 | Sculptor European CLO VI DAC                                                                                           | CUSIP: 000000000<br>LEI: 635400LLV8UFATLHHM75 | Long             | ABS-CBDO         | CORP              | IE        |    590000 | PA      | $602183.75    | 0.12%             | 2034-10-15      | Floating      | 4.59%                 | Yes           |                  2 | On Loan: No      |
| Z CAPITAL CREDIT PARTNERS CLO                                         | Z Capital Credit Partners CLO 2019-1 Ltd                                                                               | CUSIP: 98877GAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    455000 | PA      | $445081.46    | 0.09%             | 2031-07-16      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                         | PURCHASED USD / SOLD CHF                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-9821.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                         | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-220755.03   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| NEXSTAR BROADCASTING INC                                              | Nexstar Media Inc                                                                                                      | CUSIP: 65336YAN3<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |    996000 | PA      | $900339.18    | 0.18%             | 2028-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Regatta VIII Funding Ltd                                              | Regatta VIII Funding Ltd                                                                                               | CUSIP: 75888KAG9<br>LEI: 2549002R0TTC87W9EH67 | Long             | ABS-CBDO         | CORP              | US        |    425000 | PA      | $408521.90    | 0.08%             | 2030-10-17      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                | United States Treasury Note/Bond                                                                                       | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    121000 | PA      | $90201.72     | 0.02%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| COTY/HFC PRESTIGE/INT US                                              | Coty Inc/HFC Prestige Products Inc/HFC Prestige International US LLC                                                   | CUSIP: 222070AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    144000 | PA      | $130847.76    | 0.03%             | 2029-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Erna Srl                                                              | Erna Srl                                                                                                               | CUSIP: 000000000<br>LEI: 8156000268F284900524 | Long             | ABS-MBS          | CORP              | IT        |    206485 | PA      | $220815.79    | 0.04%             | 2031-07-25      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| Speed Midco 3 S.a r.l.                                                | Speed Midco 3 S.a r.l. EUR Term Loan B1                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   3920000 | PA      | $4197704.81   | 0.83%             | 2029-04-26      | Floating      | 9.20%                 | No            |                  3 | On Loan: No      |
| CATALYST HEALTH (MAN) FI                                              | Catalyst Healthcare Manchester Financing PLC                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    241223 | PA      | $579807.85    | 0.12%             | 2040-09-30      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Avoca CLO                                                             | Avoca CLO XV DAC                                                                                                       | CUSIP: 000000000<br>LEI: 63540019ZRWR9Z7GEY65 | Long             | ABS-CBDO         | CORP              | IE        |    360000 | PA      | $324076.01    | 0.06%             | 2031-04-15      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| DAVITA INC                                                            | DaVita Inc                                                                                                             | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |   2742000 | PA      | $2313068.94   | 0.46%             | 2030-06-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                     | Post Holdings Inc                                                                                                      | CUSIP: 737446AP9<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |   1399000 | PA      | $1298955.34   | 0.26%             | 2029-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                                     | Elevation CLO 2021-14 Ltd                                                                                              | CUSIP: 28623RAY4<br>LEI: 549300JPI8D017HI2768 | Long             | ABS-CBDO         | CORP              | US        |    630000 | PA      | $576813.51    | 0.11%             | 2034-10-20      | Floating      | 9.83%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                              | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |         1 | NC      | $397919.60    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                                      | Bain Capital Credit CLO 2021-1 Ltd                                                                                     | CUSIP: 05684LAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    220000 | PA      | $210430.22    | 0.04%             | 2034-04-18      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QYE6<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |    120000 | PA      | $84300.00     | 0.02%             | 2031-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| RRE Loan Management                                                   | RRE 6 Loan Management DAC                                                                                              | CUSIP: 000000000<br>LEI: 549300O0YBOSZ3WUET98 | Long             | ABS-CBDO         | CORP              | IE        |    505000 | PA      | $519428.01    | 0.10%             | 2035-04-15      | Floating      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QC67<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     30000 | PA      | $20662.50     | 0.00%             | 2018-01-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| American Money Management Corporation                                 | Ammc Clo 19 Ltd                                                                                                        | CUSIP: 00176PAG7<br>LEI: 549300MYS7FLQJZMYD18 | Long             | ABS-CBDO         | CORP              | US        |    205000 | PA      | $202417.62    | 0.04%             | 2028-10-15      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| SMERALDA SPV SRL                                                      | SMERALDA SPV SRL                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |   2133686 | PA      | $2321956.94   | 0.46%             | 2034-12-22      | Variable      | 5.25%                 | No            |                  3 | On Loan: No      |
| Voya Euro CLO                                                         | Voya Euro CLO IV DAC                                                                                                   | CUSIP: 000000000<br>LEI: 549300H0DM0Z0GCEKC77 | Long             | ABS-CBDO         | CORP              | IE        |    115000 | PA      | $110461.19    | 0.02%             | 2034-10-15      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Saranac CLO V Ltd.                                                    | Saranac CLO I Ltd                                                                                                      | CUSIP: 803165AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    575000 | PA      | $559572.18    | 0.11%             | 2029-07-26      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                                                 | Long: 25477PTR2 TRS USD R F  5.87500 25477PTR2 / Short: 25477PTR2 TRS USD P V 01MSIFMA MUNIPSA + 145 BPS               | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    368845 | OU      | $-13856.43    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QYY2<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |    145000 | PA      | $101862.50    | 0.02%             | 2027-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advisers CLO                                | Park Avenue Institutional Advisers CLO Ltd 2019-2                                                                      | CUSIP: 70018AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    565000 | PA      | $537840.45    | 0.11%             | 2034-10-15      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Vantage Drilling International                                        | Vantage Drilling International                                                                                         | CUSIP: 92210KAC2<br>LEI: 549300T9QN1134QR7185 | Long             | DBT              | CORP              | KY        |   1195000 | PA      | $1179662.18   | 0.23%             | 2023-11-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                           | OCP CLO 2014-5 Ltd                                                                                                     | CUSIP: 67102SAQ7<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | US        |    385000 | PA      | $363612.87    | 0.07%             | 2031-04-26      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                                                      | DT Midstream Inc                                                                                                       | CUSIP: 23345MAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    963000 | PA      | $843691.04    | 0.17%             | 2031-06-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                                              | Hess Midstream Operations LP                                                                                           | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    946000 | PA      | $829819.38    | 0.16%             | 2030-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                 | Tenet Healthcare Corp                                                                                                  | CUSIP: 88033GDP2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    923000 | PA      | $897040.63    | 0.18%             | 2030-06-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                                                           | Vistra Operations Co LLC                                                                                               | CUSIP: 92840VAA0<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     21000 | PA      | $20478.63     | 0.00%             | 2026-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Providus CLO                                                          | Providus CLO I DAC                                                                                                     | CUSIP: 000000000<br>LEI: 635400UJJ9PICJZIAS86 | Long             | ABS-CBDO         | CORP              | IE        |    225000 | PA      | $230142.91    | 0.05%             | 2031-05-14      | Floating      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                                                | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC                                                  | CUSIP: 013092AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1637000 | PA      | $1554347.87   | 0.31%             | 2027-01-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                | CCO Holdings LLC / CCO Holdings Capital Corp                                                                           | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1142000 | PA      | $952713.50    | 0.19%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NCL Corporation Limited                                               | NCL Corporation Limited 2021 Term Loan A2                                                                              | CUSIP: 000000000<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | LON              | CORP              | BM        |    808086 | PA      | $771722.34    | 0.15%             | 2024-01-02      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                             | Anchorage Capital CLO 5-R Ltd                                                                                          | CUSIP: 03329YAA1<br>LEI: 549300687XYK5L55VX28 | Long             | ABS-CBDO         | CORP              | US        |    255000 | PA      | $228152.84    | 0.05%             | 2030-01-15      | Floating      | 10.19%                | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                                              | Provincia de Buenos Aires/Government Bonds                                                                             | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |    527522 | PA      | $210461.46    | 0.04%             | 2037-09-01      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Long Point Park CLO Ltd                                               | Long Point Park CLO Ltd                                                                                                | CUSIP: 542798AJ2<br>LEI: 549300639DPKTBUSCC77 | Long             | ABS-CBDO         | CORP              | US        |    305000 | PA      | $270718.00    | 0.05%             | 2030-01-17      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                                      | CVC Cordatus Loan Fund VII DAC                                                                                         | CUSIP: 000000000<br>LEI: 635400CLBI5JM6YQBR92 | Long             | ABS-CBDO         | CORP              | IE        |    285000 | PA      | $277540.75    | 0.06%             | 2031-09-15      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Bausch Health Cos Inc                                                 | Bausch Health Cos Inc                                                                                                  | CUSIP: 071734AC1<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    472000 | PA      | $320344.04    | 0.06%             | 2027-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                                      | Deutsche Bank AG/New York NY                                                                                           | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1140000 | PA      | $917223.70    | 0.18%             | 2032-01-14      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                              | Plains All American Pipeline LP / PAA Finance Corp                                                                     | CUSIP: 72650RBC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    189000 | PA      | $146491.25    | 0.03%             | 2043-01-31      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro                                 | Carlyle Global Market Strategies Euro CLO 2015-3 DAC                                                                   | CUSIP: 000000000<br>LEI: 635400MW8WPPOFDY2736 | Long             | ABS-CBDO         | CORP              | IE        |    275000 | PA      | $269603.96    | 0.05%             | 2030-07-15      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| CANO HEALTH LLC                                                       | Cano Health LLC                                                                                                        | CUSIP: 13782CAA8<br>LEI: 254900OGI2T8V1NXN639 | Long             | DBT              | CORP              | US        |    898000 | PA      | $576965.00    | 0.11%             | 2028-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UNIQUE PUB FINANCE CO                                                 | Unique Pub Finance Co PLC/The                                                                                          | CUSIP: 000000000<br>LEI: 213800FOMWLKHQTI5562 | Long             | DBT              | CORP              | GB        |   1033031 | PA      | $1258912.64   | 0.25%             | 2027-06-30      | Fixed         | 5.66%                 | Yes           |                  2 | On Loan: No      |
| Omni Intermediate Holdings, LLC                                       | Omni Intermediate Holdings, LLC 2020 2nd Lien Term Loan                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1711000 | PA      | $1663092.00   | 0.33%             | 2027-12-30      | Floating      | 13.69%                | No            |                  3 | On Loan: No      |
| JPMorgan Securities LLC                                               | Long: EUJP00823 CYS USD R V 03MLIBOR US0003M +0BPS / Short: EUJP00823 CYS EUR P V 03MEURIB EUR003M -7.5 BPS            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |         1 | NC      | $103942.06    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Harvest CLO                                                           | Harvest CLO XIX DAC                                                                                                    | CUSIP: 000000000<br>LEI: 6354002INGXPTMEXNQ59 | Long             | ABS-CBDO         | CORP              | IE        |    450000 | PA      | $434878.40    | 0.09%             | 2031-04-14      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Advantage Sales & Marketing, Inc.                                     | Advantage Sales & Marketing, Inc. 2021 Term Loan                                                                       | CUSIP: 00769EAZ3<br>LEI: 549300T4O24KQDED1182 | Long             | LON              | CORP              | US        |     77406 | PA      | $65027.17     | 0.01%             | 2027-10-28      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                          | Ares XLIX CLO Ltd                                                                                                      | CUSIP: 04017JAJ0<br>LEI: 549300FI9E5EZIMPA581 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $233076.00    | 0.05%             | 2030-07-22      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                               | Frontier Communications Holdings LLC                                                                                   | CUSIP: 35906ABG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1763000 | PA      | $1514029.14   | 0.30%             | 2029-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VENTURE CDO LTD                                                       | Venture 44 CLO Ltd                                                                                                     | CUSIP: 92332QAA6<br>LEI: 5493005RF0X3GB54HH60 | Long             | ABS-CBDO         | CORP              | US        |    630000 | PA      | $577505.25    | 0.11%             | 2034-10-20      | Floating      | 9.78%                 | No            |                  2 | On Loan: No      |
| Man GLG Euro CLO                                                      | Man GLG Euro CLO I DAC                                                                                                 | CUSIP: 000000000<br>LEI: 635400NDD1WGPZLEAH44 | Long             | ABS-CBDO         | CORP              | IE        |    315000 | PA      | $295556.95    | 0.06%             | 2030-10-15      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| VOYA EURO CLO                                                         | Voya Euro CLO II DAC                                                                                                   | CUSIP: 000000000<br>LEI: 635400URG3IUW6R6W254 | Long             | ABS-CBDO         | CORP              | IE        |    330000 | PA      | $325640.35    | 0.06%             | 2035-07-15      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QXH0<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     10000 | PA      | $6900.00      | 0.00%             | 2019-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                       | Lehman XS Trust 2007-6                                                                                                 | CUSIP: 52524PAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60295 | PA      | $58928.32     | 0.01%             | 2037-05-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| RIVERBED TECH 12/21 CONV PREF                                         | RIVERBED TECH 12/21 CONV PREF                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      4494 | NS      | $2269.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                                              | Provincia de Buenos Aires/Government Bonds                                                                             | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |     10359 | PA      | $3285.79      | 0.00%             | 2037-09-01      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| American Money Management Corporation                                 | Ammc Clo 20 Ltd                                                                                                        | CUSIP: 00177CAA8<br>LEI: 549300LDRXVT7PCHV066 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $242638.50    | 0.05%             | 2029-04-17      | Floating      | 10.60%                | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                  | WR Grace Holdings LLC                                                                                                  | CUSIP: 92943GAA9<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    632000 | PA      | $528352.00    | 0.10%             | 2029-08-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                              | Madison Park Funding XXII Ltd                                                                                          | CUSIP: 55819XBE1<br>LEI: 254900YXXBTCF4NGD347 | Long             | ABS-CBDO         | CORP              | US        |    830000 | PA      | $793104.84    | 0.16%             | 2033-01-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                                                 | Long: 79626TRS3 TRS USD R F  6.10000 79626TRS3 / Short: 79626TRS3 TRS USD P V 01MSIFMA MUNIPSA + 145 BPS               | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    600631 | OU      | $-31536.35    | -0.01%            |  |  |  | No            |                  3 | On Loan: No      |
| JPMorgan Securities LLC                                               | Long: EUJP1225  CYS USD R V 00MSOFR SOFRRATE +0 BPS / Short: EUJP1225  CYS EUR P V 03MESTR ESTRON -25.5 BPS            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |         1 | NC      | $-419126.31   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| QVC Inc                                                               | QVC Inc                                                                                                                | CUSIP: 747262AW3<br>LEI: 549300WBLU5NKPX5X472 | Long             | DBT              | CORP              | US        |    622000 | PA      | $366227.38    | 0.07%             | 2034-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QXS6<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     15000 | PA      | $10312.50     | 0.00%             | 2017-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MACY'S RETAIL HLDGS LLC                                               | Macy's Retail Holdings LLC                                                                                             | CUSIP: 55617LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    689000 | PA      | $617719.51    | 0.12%             | 2032-03-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                                              | Bundesrepublik Deutschland Bundesanleihe                                                                               | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Short            | DBT              | NUSS              | DE        |    -23000 | PA      | $-21458.88    | -0.00%            | 2030-02-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| OLA Netherlands B.V.                                                  | OLA Netherlands B.V. Term Loan                                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | NL        |    452375 | PA      | $438804.16    | 0.09%             | 2026-12-15      | Floating      | 10.83%                | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                      | Altice France SA/France                                                                                                | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    466000 | PA      | $369051.38    | 0.07%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sculptor CLO Ltd                                                      | Sculptor CLO XXIX Ltd                                                                                                  | CUSIP: 81124GAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    350000 | PA      | $308268.45    | 0.06%             | 2034-10-22      | Floating      | 9.69%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                               | Sensata Technologies BV                                                                                                | CUSIP: 81725WAK9<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |    764000 | PA      | $686893.30    | 0.14%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AIG CLO Ltd                                                           | AIG CLO 2021-2 LLC                                                                                                     | CUSIP: 00142DAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    625000 | PA      | $595846.88    | 0.12%             | 2034-07-20      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Neptune Bidco US Inc                                                  | Neptune Bidco US Inc 2022 USD Term Loan B                                                                              | CUSIP: 64069JAC6<br>LEI: 549300VG15T3VCYZ4531 | Long             | LON              | CORP              | US        |   2320000 | PA      | $2128600.00   | 0.42%             | 2029-04-11      | Floating      | 9.74%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-73014.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Parallel Ltd                                                          | Parallel 2015-1 Ltd                                                                                                    | CUSIP: 69915WAA6<br>LEI: 549300IVH7GEF68EFD31 | Long             | ABS-CBDO         | CORP              | US        |    755000 | PA      | $719254.53    | 0.14%             | 2027-07-20      | Floating      | 9.96%                 | No            |                  2 | On Loan: No      |
| LBM Acquisition LLC                                                   | LBM Acquisition LLC Term Loan B                                                                                        | CUSIP: 50179JAB4<br>LEI: 549300FAEB3VWZL4NI86 | Long             | LON              | CORP              | US        |   2513791 | PA      | $2279958.36   | 0.45%             | 2027-12-17      | Floating      | 8.85%                 | No            |                  2 | On Loan: No      |
| Ellington CLO LTD                                                     | Ellington CLO IV Ltd                                                                                                   | CUSIP: 28853RAG4<br>LEI: 25490064KF1PM0300Z69 | Long             | ABS-CBDO         | CORP              | US        |    585000 | PA      | $575384.36    | 0.11%             | 2029-04-15      | Floating      | 10.29%                | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                                   | LCM XX LP                                                                                                              | CUSIP: 50188WAH1<br>LEI: 549300VQTTD2PAP2Y421 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $246021.25    | 0.05%             | 2027-10-20      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management LLC                                               | CBAM 2017-1 Ltd                                                                                                        | CUSIP: 12480VAJ4<br>LEI: 254900JWJFDB3KD6V066 | Long             | ABS-CBDO         | CORP              | US        |    535000 | PA      | $516379.33    | 0.10%             | 2030-07-20      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QVD1<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |    465000 | PA      | $326662.50    | 0.06%             | 2033-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                                                         | Methanex Corp                                                                                                          | CUSIP: 59151KAL2<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |   2032000 | PA      | $1870943.68   | 0.37%             | 2029-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                                                 | Long: 13079PTR3 TRS USD R F  5.75000 CASMFH 5.75 / Short: 13079PTR3 TRS USD P V 01MSIFMA SIFMA + 130BP                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    223179 | OU      | $-11905.53    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| Highbridge Loan Management Ltd                                        | Highbridge Loan Management 12-2018 Ltd                                                                                 | CUSIP: 44330QAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    435000 | PA      | $412468.74    | 0.08%             | 2031-07-18      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Accunia European CLO                                                  | Accunia European CLO III DAC                                                                                           | CUSIP: 000000000<br>LEI: 549300OJ7ZYTOOMRGP60 | Long             | ABS-CBDO         | CORP              | IE        |    240000 | PA      | $241656.50    | 0.05%             | 2031-01-20      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| QUORUM LITIGATION TRUST                                               | QUORUM LITIGATION TRUST                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2399 | NS      | $2398.93      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                              | Western Midstream Operating LP                                                                                         | CUSIP: 958254AL8<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    185000 | PA      | $160923.18    | 0.03%             | 2048-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                           | Viatris Inc                                                                                                            | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   2374000 | PA      | $1648076.29   | 0.33%             | 2050-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                 | Argentine Republic Government International Bond                                                                       | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   1903534 | PA      | $610210.05    | 0.12%             | 2030-07-09      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Talen Energy Supply, LLC                                              | Talen Energy Supply, LLC 2021 Commodity Accordion Revolver Facility                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2210000 | PA      | $2670420.35   | 0.53%             | 2024-09-30      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                                  | Birch Grove CLO 2 Ltd                                                                                                  | CUSIP: 09077MAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    605000 | PA      | $550874.89    | 0.11%             | 2034-10-19      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                   | JPMorgan Chase & Co                                                                                                    | CUSIP: 48128BAF8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3114000 | PA      | $3030311.25   | 0.60%             | 2024-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO II, Ltd.                                              | Halseypoint CLO II Ltd                                                                                                 | CUSIP: 40638TAJ1<br>LEI: 549300PIQILNPH8UJT31 | Long             | ABS-CBDO         | CORP              | US        |    680000 | PA      | $645745.00    | 0.13%             | 2031-07-20      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| SEAWORLD PARKS & ENTERTA                                              | SeaWorld Parks & Entertainment Inc                                                                                     | CUSIP: 81282UAG7<br>LEI: 549300UZV72O3371JJ53 | Long             | DBT              | CORP              | US        |   1675000 | PA      | $1516122.11   | 0.30%             | 2029-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QPG1<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     15000 | PA      | $10406.25     | 0.00%             | 2020-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                              | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $5065.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bilbao CLO                                                            | Bilbao CLO II DAC                                                                                                      | CUSIP: 000000000<br>LEI: 6354005WQLZBA5LJUW27 | Long             | ABS-CBDO         | CORP              | IE        |    465000 | PA      | $484125.53    | 0.10%             | 2035-08-20      | Floating      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| ALME Loan Funding BV                                                  | Alme Loan Funding V DAC                                                                                                | CUSIP: 000000000<br>LEI: 5493007Y7TGLM40XAY97 | Long             | ABS-CBDO         | CORP              | IE        |    220000 | PA      | $209951.52    | 0.04%             | 2031-07-15      | Floating      | 7.70%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                              | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-124827.16   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Spirit RR Holdings, Inc                                               | Spirit RR Holdings, Inc Term Loan                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1686055 | PA      | $1643903.63   | 0.33%             | 2028-09-13      | Floating      | 11.18%                | No            |                  3 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                              | Ford Motor Credit Co LLC                                                                                               | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1719000 | PA      | $1807098.75   | 0.36%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QKX9<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |    150000 | PA      | $105000.00    | 0.02%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SHELF DRILL HOLD LTD                                                  | Shelf Drilling Holdings Ltd                                                                                            | CUSIP: 822538AG9<br>LEI: 54930078ZJ3XP4MRYB68 | Long             | DBT              | CORP              | KY        |   4537000 | PA      | $4554308.66   | 0.90%             | 2024-11-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| OCP Euro CLO                                                          | OCP Euro CLO 2022-5 DAC                                                                                                | CUSIP: 000000000<br>LEI: 635400MXEDIKLCXQGA14 | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $240566.50    | 0.05%             | 2035-04-20      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| ANTERO RESOURCES CORP                                                 | Antero Resources Corp                                                                                                  | CUSIP: 03674XAQ9<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |    109000 | PA      | $111617.66    | 0.02%             | 2029-02-01      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| ANTERO RESOURCES CORP                                                 | Antero Resources Corp                                                                                                  | CUSIP: 03674XAS5<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |   1192000 | PA      | $1113107.48   | 0.22%             | 2030-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SCIENTIFIC GAMES INTERNA                                              | Scientific Games International Inc                                                                                     | CUSIP: 80874YBC3<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |    589000 | PA      | $583904.24    | 0.12%             | 2028-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GROUPON INC                                                           | Groupon Inc                                                                                                            | CUSIP: 399473AF4<br>LEI: 5299005W5W1R5POQJL03 | Long             | DBT              | CORP              | US        |   6209000 | PA      | $3624814.20   | 0.72%             | 2026-03-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                                                       | Atrium IX                                                                                                              | CUSIP: 55821CAE4<br>LEI: 549300UTF8S11AHH4P70 | Long             | ABS-CBDO         | CORP              | US        |   1560000 | PA      | $1494130.56   | 0.30%             | 2030-05-28      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                                    | Wind River 2016-1K CLO Ltd                                                                                             | CUSIP: 97314DAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    915000 | PA      | $829094.31    | 0.16%             | 2034-10-15      | Floating      | 9.91%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                       | Lehman XS Trust 2007-6                                                                                                 | CUSIP: 52524PAK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170319 | PA      | $138950.12    | 0.03%             | 2037-05-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                                   | Sound Point Clo XV Ltd                                                                                                 | CUSIP: 83609RAQ4<br>LEI: 549300YVZ0M0XDDYS744 | Long             | ABS-CBDO         | CORP              | US        |    365000 | PA      | $351570.56    | 0.07%             | 2029-01-23      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Penta CLO S.A.                                                        | Penta CLO 7 DAC                                                                                                        | CUSIP: 000000000<br>LEI: 635400DZLHIMDJLTKF78 | Long             | ABS-CBDO         | CORP              | IE        |    205000 | PA      | $213029.19    | 0.04%             | 2033-01-25      | Floating      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| Webster Park CLO Ltd                                                  | Webster Park CLO Ltd                                                                                                   | CUSIP: 948214AU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    320000 | PA      | $300055.36    | 0.06%             | 2030-07-20      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| City of Detroit MI                                                    | DETROIT MI RETIREMENT SYS FUNDING TRUST 2005 COPS                                                                      | CUSIP: 25113PAN5<br>LEI: 549300BQRJP7MKKHOY28 | Long             | DBT              | MUN               | US        |    711167 | PA      | $711167.05    | 0.14%             | 2025-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BELLRING BRANDS INC                                                   | BellRing Brands Inc                                                                                                    | CUSIP: 07831CAA1<br>LEI: 549300S3BOK5CMTS8054 | Long             | DBT              | CORP              | US        |   2998000 | PA      | $2979778.88   | 0.59%             | 2030-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG 2006                                                | FMG Resources August 2006 Pty Ltd                                                                                      | CUSIP: 30251GBC0<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |   2962000 | PA      | $2610499.46   | 0.52%             | 2031-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                         | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-256172.94   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                           | Long: BOF254CLO IRS USD R V 12MSOFR SOF254CLO_FLO CCPOIS / Short: BOF254CLO IRS USD P F  2.54500 SOF254CLO_FIX CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    122000 | OU      | $4795.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SIGNAL PARENT INC                                                     | Signal Parent Inc                                                                                                      | CUSIP: 82666QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1136000 | PA      | $434439.08    | 0.09%             | 2029-04-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                           | Long: BRSES0571 IRS EUR R V 12MESTRO LCH CCP ESTRON / Short: BRSES0571 IRS EUR P F   .57100                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | DE        |   3502000 | OU      | $117952.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QYZ9<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |     30000 | PA      | $21075.00     | 0.00%             | 2028-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| RBC Capital Markets LLC                                               | REVERSE REPO ROYAL BANK OF CAN                                                                                         | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | Short            | RA               | CORP              | US        |  -3049905 | PA      | $-3049905.00  | -0.60%            |  |  |  | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QKN1<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |      5000 | PA      | $3437.50      | 0.00%             | 2020-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                               | Long: EURZS1223 CYS USD R V 03MLIBOR US0003M + 0 BPS / Short: EURZS1223 CYS EUR P V 03MEURIB EUR003M -14.35BP          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |         1 | NC      | $102069.02    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Euro Funding                                             | Madison Park Euro Funding X DAC                                                                                        | CUSIP: 000000000<br>LEI: 635400JUSH8DJJMKPH69 | Long             | ABS-CBDO         | CORP              | IE        |    115000 | PA      | $117624.22    | 0.02%             | 2030-10-25      | Floating      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| Barings Euro CLO 2018-3 BV                                            | Barings Euro CLO 2018-3 DAC                                                                                            | CUSIP: 000000000<br>LEI: 635400CANTVBJVDMUG70 | Long             | ABS-CBDO         | CORP              | IE        |    480000 | PA      | $483482.76    | 0.10%             | 2031-07-27      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Sirius XM Radio Inc                                                   | Sirius XM Radio Inc                                                                                                    | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    245000 | PA      | $232174.25    | 0.05%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                                            | GAM RE-REMIC TRUST 2021-FRR2                                                                                           | CUSIP: 36459TAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34000 | PA      | $26216.20     | 0.01%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                                 | KKR Clo 32 Ltd                                                                                                         | CUSIP: 48254HAD6<br>LEI: 5493004Y6G18HN4CQ515 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $242206.00    | 0.05%             | 2032-01-15      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                                              | Provincia de Buenos Aires/Government Bonds                                                                             | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |   1750138 | PA      | $590273.33    | 0.12%             | 2037-09-01      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                         | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-10411.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERSCEND INTER HOLDING CORP                                           | VERSCEND INTER HOLDING CORP                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       200 | NS      | $199764.00    | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| TRANSDIGM INC                                                         | TransDigm Inc                                                                                                          | CUSIP: 893647BL0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    946000 | PA      | $904461.93    | 0.18%             | 2027-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VOC Escrow Ltd                                                        | VOC Escrow Ltd                                                                                                         | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3701000 | PA      | $3259933.33   | 0.65%             | 2028-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                                   | Midocean Credit Clo VIII                                                                                               | CUSIP: 59801MAJ7<br>LEI: 549300T32RO3I7BJ4V26 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $222276.75    | 0.04%             | 2031-02-20      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| PETERBORO PROGRES HEALTH                                              | Peterborough Progress Health PLC                                                                                       | CUSIP: 000000000<br>LEI: 213800QDQMAUJLZ6A181 | Long             | DBT              | CORP              | GB        |    579075 | PA      | $678643.88    | 0.13%             | 2042-10-02      | Fixed         | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Bombardier Inc                                                        | Bombardier Inc                                                                                                         | CUSIP: 097751BT7<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    327000 | PA      | $327156.23    | 0.06%             | 2027-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                                              | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                                                                    | CUSIP: 74841CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    248000 | PA      | $209552.56    | 0.04%             | 2029-03-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                | United States Treasury Note/Bond                                                                                       | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |    -89000 | PA      | $-83833.83    | -0.02%            | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MOSS CREEK RESOURCES HLD                                              | Moss Creek Resources Holdings Inc                                                                                      | CUSIP: 61965RAA3<br>LEI: 54930037SLMSPWKYIX36 | Long             | DBT              | CORP              | US        |   1006000 | PA      | $930721.02    | 0.18%             | 2026-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                         | PURCHASED CHF / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CH        |         1 | NC      | $952.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Whitehorse Ltd                                                        | WhiteHorse X Ltd                                                                                                       | CUSIP: 96525XAA9<br>LEI: 549300UT33WDDDZEYN84 | Long             | ABS-CBDO         | CORP              | US        |   1383892 | PA      | $1354762.26   | 0.27%             | 2027-04-17      | Floating      | 10.09%                | No            |                  2 | On Loan: No      |
| MONROE CAPITAL CLO LTD                                                | Monroe Capital CLO 2014-1 Ltd                                                                                          | CUSIP: 000000000<br>LEI: 549300P18F17MYF55L44 | Long             | ABS-CBDO         | CORP              | US        |    207044 | PA      | $201858.67    | 0.04%             | 2026-10-22      | Floating      | 10.22%                | Yes           |                  2 | On Loan: No      |
| EC FINANCE PLC                                                        | EC Finance PLC                                                                                                         | CUSIP: 000000000<br>LEI: 213800NKPB53RHYDQE45 | Long             | DBT              | CORP              | GB        |    882000 | PA      | $874366.46    | 0.17%             | 2026-10-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Providus CLO                                                          | Providus CLO II DAC                                                                                                    | CUSIP: 000000000<br>LEI: 635400JFBYET5G2XFP83 | Long             | ABS-CBDO         | CORP              | IE        |    540000 | PA      | $558511.80    | 0.11%             | 2031-07-15      | Floating      | 4.64%                 | Yes           |                  2 | On Loan: No      |
| OZLM Ltd                                                              | OZLM XIV Ltd                                                                                                           | CUSIP: 67110HBW7<br>LEI: 549300Y1XB6AVMQY8652 | Long             | ABS-CBDO         | CORP              | US        |    465000 | PA      | $422046.09    | 0.08%             | 2034-07-15      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTL                                                      | MGM Resorts International                                                                                              | CUSIP: 552953CF6<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |    387000 | PA      | $373734.10    | 0.07%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                      | CIFC Funding 2015-IV Ltd                                                                                               | CUSIP: 12550TBE4<br>LEI: 549300ZXX0SJBZWIWI81 | Long             | ABS-CBDO         | CORP              | US        |    270000 | PA      | $257091.30    | 0.05%             | 2034-04-20      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| VALARIS LTD                                                           | Valaris Ltd                                                                                                            | CUSIP: 91889FAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      3000 | PA      | $3039.59      | 0.00%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Gallatin Funding Ltd                                                  | Gallatin CLO IX 2018-1 Ltd                                                                                             | CUSIP: 36361XAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1160000 | PA      | $1100815.64   | 0.22%             | 2028-01-21      | Floating      | 10.29%                | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                                              | CHS/Community Health Systems Inc                                                                                       | CUSIP: 12543DBM1<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |   1128000 | PA      | $911638.32    | 0.18%             | 2030-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                              | Occidental Petroleum Corp                                                                                              | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    185000 | PA      | $209752.08    | 0.04%             | 2031-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                      | Altice France SA/France                                                                                                | CUSIP: 000000000<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    399000 | PA      | $336260.81    | 0.07%             | 2029-10-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                                               | Standard Industries Inc/NJ                                                                                             | CUSIP: 000000000<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    535000 | PA      | $506930.18    | 0.10%             | 2026-11-21      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| BOMBARDIER INC                                                        | Bombardier Inc                                                                                                         | CUSIP: 097751BX8<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    740000 | PA      | $702791.61    | 0.14%             | 2028-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                           | Long: B526SOAFF IRS USD R V 12MSOFR 2526SOAFF_FLO CCPOIS / Short: B526SOAFF IRS USD P F  2.52600 2526SOAFF_FIX CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     53000 | OU      | $2450.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                                       | Venture XVII CLO Ltd                                                                                                   | CUSIP: 92329YAQ9<br>LEI: 549300SNYYGJ2M6QEK53 | Long             | ABS-CBDO         | CORP              | US        |    160000 | PA      | $153556.32    | 0.03%             | 2027-04-15      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| BRACKEN MIDCO ONE                                                     | Bracken MidCo1 PLC                                                                                                     | CUSIP: 000000000<br>LEI: 213800AFGHKES7J58805 | Long             | DBT              | CORP              | GB        |   1116000 | PA      | $1133708.69   | 0.22%             | 2027-11-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                                 | KKR CLO 12 Ltd                                                                                                         | CUSIP: 48250RBN5<br>LEI: 2549007YUM7PQ7NZ5U34 | Long             | ABS-CBDO         | CORP              | US        |    520000 | PA      | $512407.48    | 0.10%             | 2030-10-15      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Discovery Purchaser Corporation                                       | Discovery Purchaser Corporation Term Loan                                                                              | CUSIP: 000000000<br>LEI: 2549001LSO1ZBIPA5D65 | Long             | LON              | CORP              | US        |   1933986 | PA      | $1856230.50   | 0.37%             | 2029-10-04      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| Oak Hill European Credit Partners PLC                                 | Oak Hill European Credit Partners IV Designated Activity Co                                                            | CUSIP: 000000000<br>LEI: 635400IYJPIPZAGCXJ49 | Long             | ABS-CBDO         | CORP              | IE        |    540000 | PA      | $533259.71    | 0.11%             | 2032-01-20      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| 610 Funding CLO 1 Ltd                                                 | 610 Funding CLO 1 Ltd                                                                                                  | CUSIP: 36655QAM6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    425000 | PA      | $421500.98    | 0.08%             | 2029-09-21      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                  | OneMain Finance Corp                                                                                                   | CUSIP: 85172FAR0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    660000 | PA      | $578770.50    | 0.11%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                           | Long: BOF254AFF IRS USD R V 12MSOFR SOF254AFF_FLO CCPOIS / Short: BOF254AFF IRS USD P F  2.54500 SOF254AFF_FIX CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     75000 | OU      | $2948.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                      | Altice France SA/France                                                                                                | CUSIP: 000000000<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    832000 | PA      | $713297.65    | 0.14%             | 2029-01-15      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                                | Canyon Capital CLO 2016-2 Ltd                                                                                          | CUSIP: 13876VAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    285000 | PA      | $273069.62    | 0.05%             | 2031-10-15      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| RANGE RESOURCES CORP                                                  | Range Resources Corp                                                                                                   | CUSIP: 75281ABK4<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |   1149000 | PA      | $1030715.41   | 0.20%             | 2030-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Hanger, Inc.                                                          | Hanger, Inc. 2022 Term Loan                                                                                            | CUSIP: 000000000<br>LEI: 254900ZJJJYVLHJXSZ60 | Long             | LON              | CORP              | US        |   2881624 | PA      | $2809583.33   | 0.56%             | 2028-10-03      | Floating      | 10.61%                | No            |                  3 | On Loan: No      |
| Spirit RR Holdings, Inc                                               | Spirit RR Holdings, Inc Revolver                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    168605 | PA      | $164389.88    | 0.03%             | 2028-09-13      | Fixed         | 0.50%                 | No            |                  3 | On Loan: No      |
| ALTICE FRANCE SA                                                      | Altice France SA/France                                                                                                | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    566000 | PA      | $444994.86    | 0.09%             | 2029-07-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                                     | Cedar Funding VII Clo Ltd                                                                                              | CUSIP: 15032FAJ5<br>LEI: 549300G87EGFMLOYN341 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $235565.00    | 0.05%             | 2031-01-20      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Marathon CLO LTD                                                      | Marathon CLO V Ltd                                                                                                     | CUSIP: 56576QAU2<br>LEI: 635400LRBGQZIPTCBI09 | Long             | ABS-CBDO         | CORP              | US        |   1210000 | PA      | $1154813.11   | 0.23%             | 2027-11-21      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                   | Sirius XM Radio Inc                                                                                                    | CUSIP: 82967NBC1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   1068000 | PA      | $1002275.28   | 0.20%             | 2029-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                              | Occidental Petroleum Corp                                                                                              | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1087508.70   | 0.22%             | 2046-03-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Euro Galaxy CLO BV                                                    | Euro-Galaxy VII CLO DAC                                                                                                | CUSIP: 000000000<br>LEI: 5493000DO5029DBEJL19 | Long             | ABS-CBDO         | CORP              | IE        |    285000 | PA      | $293396.92    | 0.06%             | 2035-07-25      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Barings 2018-2 B.V.                                                   | Barings Euro CLO 2018-2 DAC                                                                                            | CUSIP: 000000000<br>LEI: 635400PYOXL9KBJMGY89 | Long             | ABS-CBDO         | CORP              | IE        |    920000 | PA      | $896754.30    | 0.18%             | 2031-10-15      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| ARETEC ESCROW ISSUER INC                                              | Aretec Escrow Issuer Inc                                                                                               | CUSIP: 040133AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1207000 | PA      | $1072793.67   | 0.21%             | 2029-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARM FNC NL II                                                  | Teva Pharmaceutical Finance Netherlands II BV                                                                          | CUSIP: 000000000<br>LEI: 549300HSQCIKJAOYIT23 | Long             | DBT              | CORP              | NL        |   3288000 | PA      | $3089644.63   | 0.61%             | 2030-05-09      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| 37 Capital CLO Ltd                                                    | 37 Capital CLO I                                                                                                       | CUSIP: 88430TAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    655000 | PA      | $600730.63    | 0.12%             | 2034-10-15      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| Monroe Capital MML CLO                                                | Monroe Capital Mml Clo 2017-1 Ltd                                                                                      | CUSIP: 61033TAA7<br>LEI: 5493006UQZL8BZLQCE22 | Long             | ABS-CBDO         | CORP              | US        |    525000 | PA      | $477329.53    | 0.09%             | 2029-04-22      | Floating      | 12.17%                | No            |                  2 | On Loan: No      |
| United States Treasury                                                | United States Treasury Note/Bond                                                                                       | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |   -228000 | PA      | $-169966.88   | -0.03%            | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Avalara, Inc                                                          | Avalara, Inc Revolver                                                                                                  | CUSIP: 000000000<br>LEI: 549300Q16CMW239SS315 | Long             | LON              | CORP              | US        |    465348 | PA      | $454645.00    | 0.09%             | 2028-10-19      | Fixed         | 0.50%                 | No            |                  3 | On Loan: No      |
| QUORUM HEALTH CORP                                                    | QUORUM HEALTH CORP                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     48950 | NS      | $186989.34    | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| Man GLG Euro CLO                                                      | Man GLG Euro Clo III DAC                                                                                               | CUSIP: 000000000<br>LEI: 635400MYXY3VFWZIIW08 | Long             | ABS-CBDO         | CORP              | IE        |    635000 | PA      | $629983.78    | 0.12%             | 2030-10-15      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| CIFC European Funding CLO                                             | CIFC European Funding CLO IV DAC                                                                                       | CUSIP: 000000000<br>LEI: 6354004PQUAJERUBIO61 | Long             | ABS-CBDO         | CORP              | IE        |    280000 | PA      | $277426.28    | 0.06%             | 2035-08-18      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| LCPR SR SECURED FIN DAC                                               | LCPR Senior Secured Financing DAC                                                                                      | CUSIP: 50201DAD5<br>LEI: 549300LE5FM8IKMXSP90 | Long             | DBT              | CORP              | IE        |   1681000 | PA      | $1481356.04   | 0.29%             | 2029-07-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| DUMMY BROKER                                                          | Long: DUMP1225  CYS GBP R V 03MSONIO SONIO/N -18.3 BPS / Short: DUMP1225  CYS USD P F   .00000                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                              | Ford Motor Credit Co LLC                                                                                               | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $190100.00    | 0.04%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                              | Western Midstream Operating LP                                                                                         | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    123000 | PA      | $106842.11    | 0.02%             | 2050-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                                                    | Shackleton 2021-XVI Clo Ltd                                                                                            | CUSIP: 81883KAE7<br>LEI: 549300OH4RL7RZQLLL91 | Long             | ABS-CBDO         | CORP              | US        |   1220000 | PA      | $1116112.12   | 0.22%             | 2034-10-20      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING                                                | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    988000 | PA      | $839154.89    | 0.17%             | 2029-09-01      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Lightstone Holdco LLC                                                 | Lightstone Holdco LLC 2018 Term Loan C                                                                                 | CUSIP: 53226GAH4<br>LEI: 549300VXK6UGDG7H3G98 | Long             | LON              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2024-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bridgepoint CLO                                                       | Bridgepoint CLO 2 DAC                                                                                                  | CUSIP: 000000000<br>LEI: 549300718PL321JS4E33 | Long             | ABS-CBDO         | CORP              | IE        |    300000 | PA      | $302461.42    | 0.06%             | 2035-04-15      | Floating      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                                       | Benefit Street Partners Clo XII Ltd                                                                                    | CUSIP: 08179HAC4<br>LEI: 549300CIOPBDYOSN3T91 | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $382154.80    | 0.08%             | 2030-10-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                                       | Oaktree CLO 2019-4 Ltd                                                                                                 | CUSIP: 67402CAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    650000 | PA      | $616165.55    | 0.12%             | 2032-10-20      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Magenta Buyer LLC                                                     | Magenta Buyer LLC 2021 USD 1st Lien Term Loan                                                                          | CUSIP: 55910RAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2581107 | PA      | $2272290.30   | 0.45%             | 2028-07-27      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| Euro Galaxy CLO BV                                                    | Euro-Galaxy V CLO DAC                                                                                                  | CUSIP: 000000000<br>LEI: 635400BJZBIZBMK5FC74 | Long             | ABS-CBDO         | CORP              | IE        |    345000 | PA      | $353626.17    | 0.07%             | 2034-02-15      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Tikehau                                                               | Tikehau CLO III DAC                                                                                                    | CUSIP: 000000000<br>LEI: 54930064VZT4XX1Q1F93 | Long             | ABS-CBDO         | CORP              | IE        |    220000 | PA      | $219903.46    | 0.04%             | 2030-12-01      | Floating      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| MACY'S RETAIL HLDGS LLC                                               | Macy's Retail Holdings LLC                                                                                             | CUSIP: 55616XAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    264000 | PA      | $164049.60    | 0.03%             | 2043-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                | CCO Holdings LLC / CCO Holdings Capital Corp                                                                           | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    990000 | PA      | $916853.85    | 0.18%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| St Pauls CLO                                                          | St Paul's CLO VI DAC                                                                                                   | CUSIP: 000000000<br>LEI: 635400REBCMBKKLQ8M86 | Long             | ABS-CBDO         | CORP              | IE        |    520000 | PA      | $502181.14    | 0.10%             | 2034-05-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                           | Long: B346IRAFF IRS USD R V 12MSOFR 2346IRAFF_FLO CCPOIS / Short: B346IRAFF IRS USD P F  2.34600 2346IRAFF_FIX CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     17000 | OU      | $2142.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QYA4<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |    355000 | PA      | $249387.50    | 0.05%             | 2027-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Thryv, Inc.                                                           | Thryv, Inc. Term Loan B                                                                                                | CUSIP: 000000000<br>LEI: 254900W0Q0EQ1QHCLN20 | Long             | LON              | CORP              | US        |   9840647 | PA      | $9779192.40   | 1.94%             | 2026-03-01      | Floating      | 13.07%                | No            |                  2 | On Loan: No      |
| United States Treasury                                                | United States Treasury Note/Bond                                                                                       | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |   -526000 | PA      | $-493577.03   | -0.10%            | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Puerto Rico Electric Power Authority                                  | PUERTO RICO ELEC PWR AUTH PWR REVENUE                                                                                  | CUSIP: 74526QLZ3<br>LEI: 5493003BRB67HF8ST418 | Long             | DBT              | MUN               | US        |    110000 | PA      | $74800.00     | 0.01%             | 2031-07-01      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                              | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    705000 | PA      | $603061.99    | 0.12%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Par Pharmaceutical Inc                                                | Par Pharmaceutical Inc                                                                                                 | CUSIP: 69888XAA7<br>LEI: 549300KK5WR4MGN4YT97 | Long             | DBT              | CORP              | US        |   1377000 | PA      | $1079071.81   | 0.21%             | 2027-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Betony CLO 2, Ltd.                                                    | Betony CLO 2 Ltd                                                                                                       | CUSIP: 08763QAG7<br>LEI: 5493000QRX4XEMRJZO43 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $232925.00    | 0.05%             | 2031-04-30      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                       | Lehman XS Trust 2007-14H                                                                                               | CUSIP: 52525LAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244166 | PA      | $227466.85    | 0.05%             | 2047-07-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                  | OneMain Finance Corp                                                                                                   | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     99000 | PA      | $79073.28     | 0.02%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Avoca CLO                                                             | Avoca CLO XIII DAC                                                                                                     | CUSIP: 000000000<br>LEI: 635400WLVIIUQEHXT317 | Long             | ABS-CBDO         | CORP              | IE        |    240000 | PA      | $230146.05    | 0.05%             | 2034-04-15      | Floating      | 8.51%                 | Yes           |                  2 | On Loan: No      |
| SILGAN HOLDINGS INC                                                   | Silgan Holdings Inc                                                                                                    | CUSIP: 000000000<br>LEI: KAF673KJXD92C8KSLU49 | Long             | DBT              | CORP              | US        |    377000 | PA      | $355084.61    | 0.07%             | 2028-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| TICP CLO LTD                                                          | TICP CLO XII Ltd                                                                                                       | CUSIP: 87250FAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    470000 | PA      | $459268.96    | 0.09%             | 2034-07-15      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                              | Targa Resources Partners LP / Targa Resources Partners Finance Corp                                                    | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1679000 | PA      | $1640356.15   | 0.33%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DUMMY BROKER                                                          | Long: DUMIRS126 CYS EUR R V 00MESTR ESTRON -19.75 BPS / Short: DUMIRS126 CYS USD P F   .00000                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DE        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNIQUE PUB FINANCE CO                                                 | Unique Pub Finance Co PLC/The                                                                                          | CUSIP: 000000000<br>LEI: 213800FOMWLKHQTI5562 | Long             | DBT              | CORP              | GB        |   1036000 | PA      | $1329318.69   | 0.26%             | 2032-03-30      | Fixed         | 6.46%                 | Yes           |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd                                        | HPS Loan Management 13-2018 Ltd                                                                                        | CUSIP: 40437LAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1015000 | PA      | $958897.91    | 0.19%             | 2030-10-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                               | Long: EUJP11232 CYS USD R V 03MLIBOR US0003M+0BPS / Short: EUJP11232 CYS EUR P V 03MEURIB EUR003M - 9.25 BPS           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | US        |         1 | NC      | $316653.01    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Quorum Health Corporation                                             | Quorum Health Corporation 2020 Term Loan                                                                               | CUSIP: 74909HAE9<br>LEI: 549300PO3E4YREFT1I57 | Long             | LON              | CORP              | US        |    986082 | PA      | $698062.05    | 0.14%             | 2025-04-29      | Floating      | 12.98%                | No            |                  2 | On Loan: No      |
| JERROLD FINCO PLC                                                     | Jerrold Finco PLC                                                                                                      | CUSIP: 000000000<br>LEI: 213800F7AYNHLL1BPR31 | Long             | DBT              | CORP              | GB        |   1170000 | PA      | $1232339.11   | 0.24%             | 2027-01-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Black Diamond CLO Ltd                                                 | Black Diamond Clo 2017-1 Ltd                                                                                           | CUSIP: 09202VAN8<br>LEI: 54930069GUF2V1O4MD77 | Long             | ABS-CBDO         | CORP              | US        |    590000 | PA      | $548200.86    | 0.11%             | 2029-04-24      | Floating      | 8.77%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                                    | THL Credit Wind River 2017-4 Clo Ltd                                                                                   | CUSIP: 87249LAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    305000 | PA      | $284973.09    | 0.06%             | 2030-11-20      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                                                  | Chart Industries Inc                                                                                                   | CUSIP: 000000000<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |   1686000 | PA      | $1726042.50   | 0.34%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ATD New Holdings Inc                                                  | ATD New Holdings Inc                                                                                                   | CUSIP: 04683P100<br>LEI: 5493001F45YR8KICVO87 | Long             | EC               | CORP              | US        |      1964 | NS      | $128445.60    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BofA Securities, Inc.                                                 | Long: 57584DTR2 TRS USD R F  5.90000 57584DTR2 / Short: 57584DTR2 TRS USD P V 01MSIFMA MUNIPSA + 145 BPS               | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    587247 | OU      | $-33294.75    | -0.01%            |  |  |  | No            |                  3 | On Loan: No      |
| PROSUS NV                                                             | Prosus NV                                                                                                              | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    880000 | PA      | $728978.71    | 0.14%             | 2034-01-19      | Fixed         | 2.78%                 | Yes           |                  2 | On Loan: No      |
| Brookside Mill CLO Ltd                                                | Brookside Mill CLO Ltd 2013-1                                                                                          | CUSIP: 114520AF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    720000 | PA      | $714137.04    | 0.14%             | 2028-01-17      | Floating      | 10.29%                | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                          | Ares XL CLO Ltd                                                                                                        | CUSIP: 04016GBH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    350000 | PA      | $339481.45    | 0.07%             | 2029-01-15      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| TEREX CORP                                                            | Terex Corp                                                                                                             | CUSIP: 880779BA0<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |   1963000 | PA      | $1835512.97   | 0.36%             | 2029-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-02

**Name of Applicant:** FS Credit Income Fund

**Signature:** Edward T Gallivan Jr

**Name of Signer:** Edward T Gallivan Jr

**Title:** Chief Financial Officer