# EDGAR Filing Document

**Accession Number:** 0001317146
**File Stem:** 0001398344-23-004857
**Filing Date:** 2023-2
**Character Count:** 182327
**Document Hash:** 1c636ccae7a995a710e41d6f63a9f4f7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001398344-23-004857.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001398344-23-004857

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MML Series Investment Fund II
- **CENTRAL INDEX KEY:** 0001317146
- **IRS NUMBER:** 043557005
- **STATE OF INCORPORATION:** MA

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21714
- **FILM NUMBER:** 23672034

**BUSINESS ADDRESS:**
- **STREET 1:** 1295 STATE STREET
- **CITY:** SPRINGFIELD
- **STATE:** MA
- **ZIP:** 01111
- **BUSINESS PHONE:** 413-744-1000

**MAIL ADDRESS:**
- **STREET 1:** 1295 STATE STREET
- **CITY:** SPRINGFIELD
- **STATE:** MA
- **ZIP:** 01111

## Series and Classes Contracts Data

### MML Managed Bond Fund (Series ID: S000003834)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000010690 | Initial Class |  |
| C000067855 | Service Class |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MML Series Investment Fund II

- **b. Investment Company Act file number:** 811-21714

- **c. CIK number of Registrant:** 0001317146

- **d. LEI of Registrant:** XSZQMOMB2JPNHA01JH98

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

  - **Street Address 1:** 1295 State Street

  - **City:** Springfield

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 01111-0001

  - **Telephone number:** 4137441000

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

- **a. Name of Series:** MML Managed Bond Fund

- **b. EDGAR series identifier (if any):** S000003834

- **c. LEI of Series:** P1YXM1SSOECE52ITGE86

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

- **a. Date of fiscal year-end:** 2022-12-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $852910926.40

**Total Liabilities:** $99817404.48

**Net Assets:** $753093521.92

**Delayed Delivery Securities:** $96741936.13

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 244.94 | **1-Year:** 13312.34 | **5-Year:** 74797.89 | **10-Year:** 143796 | **30-Year:** 113002.9

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

- **3-Month:** 143.5 | **1-Year:** 1516.18 | **5-Year:** 3203.43 | **10-Year:** 3563 | **30-Year:** 1200.66

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000010690 | -0.14%               | 3.66%                | -1.74%               |
| Class ID C000067855 | -0.17%               | 3.64%                | -1.76%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3665692.63              | $-6660059.90                               |
| Month 2  | $-4399856.86             | $26660382.87                               |
| Month 3  | $-5213902.59             | $-7914054.89                               |

**Designated Index Information**

- **Index Name:** Barclays US Aggregate

- **Index Identifier:** LEHM50

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| 522 FUNDING CLO LTD                             | MORGN 2018 3A CR 144A          | CUSIP: 33835NAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    950000 | PA      | $891614.90    | 0.12%             | 2031-10-20      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| AASET 2021 2 TRUST                              | AASET 2021 2A B 144A           | CUSIP: 00258BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1014054 | PA      | $739759.12    | 0.10%             | 2047-01-15      | Fixed         | 3.54%                 | Yes           |                  2 | On Loan: No      |
| ABBVIE INC                                      | SR UNSECURED 05/45 4.7         | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    860000 | PA      | $770529.77    | 0.10%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                | SUBORDINATED 144A 07/25 4.75   | CUSIP: 00080QAF2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   1875000 | PA      | $1818393.75   | 0.24%             | 2025-07-28      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| ADAMS OUTDOOR ADVERTISING                       | ADMSO 2018 1 A 144A            | CUSIP: 006346AS9<br>LEI: 549300BTFXNHDCUHER30 | Long             | ABS-O            | CORP              | US        |   1727784 | PA      | $1639168.13   | 0.22%             | 2048-11-15      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                        | COMPANY GUAR 01/32 3.3         | CUSIP: 00774MAX3<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |   4115000 | PA      | $3228925.53   | 0.43%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                      | JR SUBORDINA 144A 12/99 VAR    | CUSIP: 018820AA8<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |   4200000 | PA      | $3518245.16   | 0.47%             | 2099-12-31      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| ALLSTATE CORP                                   | SUBORDINATED 08/53 VAR         | CUSIP: 020002BB6<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |   2885000 | PA      | $2711900.00   | 0.36%             | 2053-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                | COMPANY GUAR 02/39 5.8         | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1262618.29   | 0.17%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AMER                      | SHORT TERMS                    | CUSIP: 02343CN50<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | STIV             | CORP              | US        |   6000000 | PA      | $5995419.00   | 0.80%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AMER                      | SHORT TERMS                    | CUSIP: 02343CN68<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | STIV             | CORP              | US        |   3000000 | PA      | $2997322.50   | 0.40%             | 2023-01-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                             | JR SUBORDINA 04/48 VAR         | CUSIP: 026874DM6<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |   2177000 | PA      | $2079419.02   | 0.28%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AMTRUST FINANCIAL SERVIC                        | SR UNSECURED 08/23 6.125       | CUSIP: 032359AE1<br>LEI: 549300SNNS1GRWBTGA28 | Long             | DBT              | CORP              | US        |   3370000 | PA      | $3250394.99   | 0.43%             | 2023-08-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO LTD                       | ANCHC 2021 19A A 144A          | CUSIP: 03328JAA5<br>LEI: 549300ZNOS7Q8W8H3S38 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1947926.00   | 0.26%             | 2034-10-15      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| ANHEUSER BUSCH CO/INBEV                         | COMPANY GUAR 02/46 4.9         | CUSIP: 03522AAJ9<br>LEI: 5493002J2SVENP0PVK27 | Long             | DBT              | CORP              | US        |   2050000 | PA      | $1878896.98   | 0.25%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                | SR UNSECURED 144A 08/23 6      | CUSIP: 03666HAA9<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1311030.34   | 0.17%             | 2023-08-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                | SR UNSECURED 144A 05/25 8.5    | CUSIP: 03666HAB7<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |    720000 | PA      | $735558.74    | 0.10%             | 2025-05-18      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                | SR UNSECURED 144A 07/26 3.95   | CUSIP: 03666HAC5<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   2555000 | PA      | $2212296.90   | 0.29%             | 2026-07-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                | SR UNSECURED 144A 01/27 2.75   | CUSIP: 03666HAD3<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1022762.94   | 0.14%             | 2027-01-15      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| AON CORPORATION                                 | SHORT TERMS                    | CUSIP: 03739PN51<br>LEI: VVT2B79I2Z4U3R6BY589 | Long             | STIV             | CORP              | US        |  10000000 | PA      | $9992448.30   | 1.33%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION                  | AASET 2020 1A A 144A           | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    795087 | PA      | $636890.15    | 0.08%             | 2040-01-16      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| APOLLO MANAGEMENT HOLDIN                        | COMPANY GUAR 144A 01/50 VAR    | CUSIP: 03765HAE1<br>LEI: 5493006XQW0V5K38YM64 | Long             | DBT              | CORP              | US        |   1505000 | PA      | $1277352.96   | 0.17%             | 2050-01-14      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| ARES CAPITAL CORP                               | SR UNSECURED 07/26 2.15        | CUSIP: 04010LBA0<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   1850000 | PA      | $1568883.23   | 0.21%             | 2026-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| ARES FINANCE CO                                 | COMPANY GUAR 144A 06/51 VAR    | CUSIP: 04018VAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1585000 | PA      | $1196675.00   | 0.16%             | 2051-06-30      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| ARES FINANCE CO LLC                             | COMPANY GUAR 144A 10/24 4      | CUSIP: 04015CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2080000 | PA      | $1986221.81   | 0.26%             | 2024-10-08      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| ASCOT GROUP LTD                                 | SR UNSECURED 144A 12/30 4.25   | CUSIP: 04365XAA6<br>LEI: 213800DJV7WRJBE2II28 | Long             | DBT              | CORP              | BM        |   1990000 | PA      | $1715857.96   | 0.23%             | 2030-12-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| AT+T INC                                        | SR UNSECURED 09/55 3.55        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   5153000 | PA      | $3453765.89   | 0.46%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                           | SECURED 144A 06/31 2.673       | CUSIP: 04685A2Y6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   2505000 | PA      | $1939475.03   | 0.26%             | 2031-06-07      | Fixed         | 2.67%                 | Yes           |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                        | COMPANY GUAR 144A 02/27 3.25   | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1610000 | PA      | $1379655.24   | 0.18%             | 2027-02-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                        | SR UNSECURED 144A 01/26 5.5    | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    190000 | PA      | $180817.04    | 0.02%             | 2026-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                        | COMPANY GUAR 144A 04/26 4.25   | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2976000 | PA      | $2702402.63   | 0.36%             | 2026-04-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                        | COMPANY GUAR 144A 11/27 2.528  | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2755000 | PA      | $2205546.08   | 0.29%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| AXIS SPECIALTY FINANCE                          | COMPANY GUAR 01/40 VAR         | CUSIP: 05463HAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1315000 | PA      | $1078300.00   | 0.14%             | 2040-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BACARDI LTD                                     | COMPANY GUAR 144A 05/38 5.15   | CUSIP: 067316AG4<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |    450000 | PA      | $408593.68    | 0.05%             | 2038-05-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| BALLYROCK LTD                                   | BALLY 2019 2A CR 144A          | CUSIP: 05875MAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $376610.80    | 0.05%             | 2030-11-20      | Floating      | 7.83%                 | Yes           |                  2 | On Loan: No      |
| BANC OF AMERICA MERRILL LYNCH                   | BAMLL 2018 DSNY C 144A         | CUSIP: 054967AJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    670000 | PA      | $641577.66    | 0.09%             | 2034-09-15      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECUR                  | BOAMS 2004 G 2A7               | CUSIP: 05949ALH1<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |      6221 | PA      | $5853.00      | 0.00%             | 2034-08-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| BANK                                            | BANK 2020 BN30 MCDF            | CUSIP: 06541UBG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2100000 | PA      | $1329294.33   | 0.18%             | 2053-12-15      | Floating      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| BANK HAPOALIM                                   | SUBORDINATED 144A REGS 01/32 V | CUSIP: ACI2155Q6<br>LEI: B6ARUI4946ST4S7WOU88 | Long             | DBT              | CORP              | IL        |   2600000 | PA      | $2237248.00   | 0.30%             | 2032-01-21      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                            | SR UNSECURED 04/38 VAR         | CUSIP: 06051GGM5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $981496.92    | 0.13%             | 2038-04-24      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                            | SR UNSECURED 07/29 VAR         | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    475000 | PA      | $443742.28    | 0.06%             | 2029-07-23      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                            | SR UNSECURED 07/32 VAR         | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1355000 | PA      | $1047301.48   | 0.14%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                            | SUBORDINATED 09/36 VAR         | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2635000 | PA      | $1942682.16   | 0.26%             | 2036-09-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                            | SUBORDINATED 03/37 VAR         | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2145000 | PA      | $1781776.06   | 0.24%             | 2037-03-08      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                            | SUBORDINATED 01/37 6.11        | CUSIP: 59022CAJ2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1571814.73   | 0.21%             | 2037-01-29      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                            | SUBORDINATED 05/38 7.75        | CUSIP: 59023VAA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    400000 | PA      | $467086.96    | 0.06%             | 2038-05-14      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                             | JR SUBORDINA 12/99 VAR         | CUSIP: 064159KJ4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   3575000 | PA      | $3323030.64   | 0.44%             | 2099-12-31      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE S                  | BBCMS 2018 CHRS B 144A         | CUSIP: 05491VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $1878130.35   | 0.25%             | 2038-08-05      | Floating      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE S                  | BBCMS 2018 CHRS C 144A         | CUSIP: 05491VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1610000 | PA      | $1361204.12   | 0.18%             | 2038-08-05      | Floating      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE S                  | BBCMS 2018 CHRS D 144A         | CUSIP: 05491VAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1370000 | PA      | $1088409.24   | 0.14%             | 2038-08-05      | Floating      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| BARCLAYS PLC                                    | SUBORDINATED 05/26 5.2         | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1320000 | PA      | $1284818.85   | 0.17%             | 2026-05-12      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                    | SR UNSECURED 01/28 4.337       | CUSIP: 06738EAU9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    920000 | PA      | $856201.55    | 0.11%             | 2028-01-10      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                    | JR SUBORDINA 12/99 8           | CUSIP: 06738EBX2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1382000 | PA      | $1292170.00   | 0.17%             | 2099-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                | COMPANY GUAR 09/49 4.758       | CUSIP: 05526DBK0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    540000 | PA      | $393842.93    | 0.05%             | 2049-09-06      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                | COMPANY GUAR 04/27 4.7         | CUSIP: 05526DBP9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1065000 | PA      | $1022305.32   | 0.14%             | 2027-04-02      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                | COMPANY GUAR 03/28 2.259       | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    725000 | PA      | $603586.70    | 0.08%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                | COMPANY GUAR 09/29 3.462       | CUSIP: 05526DBH7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1075000 | PA      | $923348.56    | 0.12%             | 2029-09-06      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| BELL CANADA                                     | SHORT TERMS                    | CUSIP: 07787QNT9<br>LEI: 549300O5ZKB2MUUSKB97 | Long             | STIV             | CORP              | US        |   9000000 | PA      | $8968926.96   | 1.19%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                        | BMARK 2021 B23 360A 144A       | CUSIP: 08162RBK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $1617352.88   | 0.21%             | 2054-02-15      | Floating      | 2.76%                 | Yes           |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                        | BMARK 2021 B23 360B 144A       | CUSIP: 08162RBM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3587000 | PA      | $2434509.45   | 0.32%             | 2054-02-15      | Floating      | 2.76%                 | Yes           |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                        | BMARK 2021 B25 300C 144A       | CUSIP: 08163DBV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $1770517.75   | 0.24%             | 2054-04-15      | Floating      | 2.99%                 | Yes           |                  2 | On Loan: No      |
| BGME TRUST                                      | BGME 2021 VR C 144A            | CUSIP: 05551XAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12518000 | PA      | $9818082.71   | 1.30%             | 2043-01-10      | Floating      | 2.99%                 | Yes           |                  2 | On Loan: No      |
| BGME TRUST                                      | BGME 2021 VR D 144A            | CUSIP: 05551XAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2126942.16   | 0.28%             | 2043-01-10      | Floating      | 2.99%                 | Yes           |                  2 | On Loan: No      |
| BLACKROCK TCP CAP CORP                          | SR UNSECURED 08/24 3.9         | CUSIP: 09259EAA6<br>LEI: 549300JU1XG1HF56J989 | Long             | DBT              | CORP              | US        |   1316000 | PA      | $1257312.74   | 0.17%             | 2024-08-23      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                          | SR UNSECURED 12/26 2.625       | CUSIP: 09261HAD9<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |   3425000 | PA      | $2838774.60   | 0.38%             | 2026-12-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                          | SR UNSECURED 09/24 1.75        | CUSIP: 09261HAB3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    335000 | PA      | $308105.49    | 0.04%             | 2024-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                            | COMPANY GUAR 144A 06/31 3.125  | CUSIP: 09581JAA4<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |   3120000 | PA      | $2324689.04   | 0.31%             | 2031-06-10      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                            | COMPANY GUAR 144A 10/51 4.125  | CUSIP: 09581JAC0<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |   1675000 | PA      | $991700.72    | 0.13%             | 2051-10-07      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| BOEING CO                                       | SR UNSECURED 05/60 5.93        | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    605000 | PA      | $554664.01    | 0.07%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                       | SR UNSECURED 05/30 5.15        | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2152280.26   | 0.29%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                          | COMPANY GUAR 12/99 VAR         | CUSIP: 05565QDU9<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |   2400000 | PA      | $2292000.00   | 0.30%             | 2099-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                          | COMPANY GUAR 12/99 VAR         | CUSIP: 05565QDV7<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |   1475000 | PA      | $1290625.00   | 0.17%             | 2099-12-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                         | SUBORDINATED 144A 10/32 VAR    | CUSIP: 05578QAF0<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1860000 | PA      | $1362907.84   | 0.18%             | 2032-10-19      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| BRE GRAND ISLANDER TIMESHARE I                  | HGVGI 2017 1A A 144A           | CUSIP: 05584AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237526 | PA      | $230935.43    | 0.03%             | 2029-05-25      | Fixed         | 2.94%                 | Yes           |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL IN                        | SR UNSECURED 06/47 4.7         | CUSIP: 10922NAF0<br>LEI: 5493003T8SZSHOGGAW52 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $829536.44    | 0.11%             | 2047-06-22      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL IN                        | SR UNSECURED 05/30 5.625       | CUSIP: 10922NAG8<br>LEI: 5493003T8SZSHOGGAW52 | Long             | DBT              | CORP              | US        |   1461000 | PA      | $1393270.03   | 0.19%             | 2030-05-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BRITISH TELECOMMUNICATIO                        | SR UNSECURED 12/30 9.625       | CUSIP: 111021AE1<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $840468.34    | 0.11%             | 2030-12-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| BROADSTONE NET LEASE LLC                        | COMPANY GUAR 09/31 2.6         | CUSIP: 11135EAA2<br>LEI: 54930089IBT6J4WBTI50 | Long             | DBT              | CORP              | US        |   1835000 | PA      | $1379729.84   | 0.18%             | 2031-09-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BUSINESS JET SECURITIES, LLC                    | BJETS 2021 1A C 144A           | CUSIP: 12327BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    745451 | PA      | $654162.73    | 0.09%             | 2036-04-15      | Fixed         | 5.07%                 | Yes           |                  2 | On Loan: No      |
| BUSINESS JET SECURITIES, LLC                    | BJETS 2020 1A A 144A           | CUSIP: 12327FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    333553 | PA      | $303813.08    | 0.04%             | 2035-11-15      | Fixed         | 2.98%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2                  | BX 2019 XL E 144A              | CUSIP: 056054AH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1469650 | PA      | $1418767.48   | 0.19%             | 2036-10-15      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                        | BX 2021 SOAR E 144A            | CUSIP: 05608WAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1885715 | PA      | $1775043.82   | 0.24%             | 2038-06-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST                                        | BX 2021 VOLT E 144A            | CUSIP: 05609VAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4999000 | PA      | $4650612.19   | 0.62%             | 2036-09-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| CANYON CAPITAL CLO LTD                          | CANYC 2019 2A CR 144A          | CUSIP: 13887WAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $649208.70    | 0.09%             | 2034-10-15      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| CAPITAL AUTOMOTIVE REIT                         | CAUTO 2020 1A A3 144A          | CUSIP: 12510HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    455504 | PA      | $398644.46    | 0.05%             | 2050-02-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| CAPITAL AUTOMOTIVE REIT                         | CAUTO 2020 1A A6 144A          | CUSIP: 12510HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394932 | PA      | $344459.52    | 0.05%             | 2050-02-15      | Fixed         | 3.81%                 | Yes           |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZA                  | CLAST 2019 1A A 144A           | CUSIP: 14855MAA6<br>LEI: 5493003ADMTNWVTVWM43 | Long             | ABS-O            | CORP              | US        |    395330 | PA      | $334106.82    | 0.04%             | 2039-04-15      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| CBAM CLO MANAGEMENT                             | CBAM 2018 6A B1R 144A          | CUSIP: 12481XAS9<br>LEI: 254900FSYLEH1VUJJF28 | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $879917.40    | 0.12%             | 2031-01-15      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| CEDAR FUNDING LTD                               | CEDF 2018 9A A1 144A           | CUSIP: 15033EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $738660.00    | 0.10%             | 2031-04-20      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                        | COMPANY GUAR 03/25 6.05        | CUSIP: 15089QAL8<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   2025000 | PA      | $2019620.93   | 0.27%             | 2025-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                              | SR UNSECURED 11/39 6.75        | CUSIP: 15135UAF6<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |    765000 | PA      | $796444.43    | 0.11%             | 2039-11-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RESOU                        | SR UNSECURED 11/37 6.625       | CUSIP: 15189WAD2<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1297504.86   | 0.17%             | 2037-11-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                        | SR SECURED 10/45 6.484         | CUSIP: 161175BA1<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |   1485000 | PA      | $1344864.80   | 0.18%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                        | SR SECURED 06/52 3.9           | CUSIP: 161175CA0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    765000 | PA      | $482879.67    | 0.06%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                      | COMPANY GUAR 07/46 4.8         | CUSIP: 125523CF5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    880000 | PA      | $794531.17    | 0.11%             | 2046-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                   | SUBORDINATED 06/32 6.625       | CUSIP: 172967BL4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1611350.06   | 0.21%             | 2032-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                   | JR SUBORDINA 07/49 VAR         | CUSIP: 172967GD7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    890000 | PA      | $881322.50    | 0.12%             | 2049-07-29      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CITY OF HOPE/THE                                | SR UNSECURED 08/48 4.378       | CUSIP: 17858PAB7<br>LEI: 549300QIQJNNQEIXBL15 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $860956.08    | 0.11%             | 2048-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                                 | SR UNSECURED 03/44 4.875       | CUSIP: 125896BN9<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    780000 | PA      | $712814.79    | 0.09%             | 2044-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CNO FINANCIAL GROUP INC                         | SR UNSECURED 05/29 5.25        | CUSIP: 12621EAL7<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |   2619000 | PA      | $2502956.61   | 0.33%             | 2029-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COLEM 2021   HLNE MORTGAGE                      | 04/42 1                        | CUSIP: 12659JAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1204485.28   | 0.16%             | 2042-04-12      | Floating      | 2.46%                 | Yes           |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS                       | CASL 2019 A B 144A             | CUSIP: 19421UAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1393735 | PA      | $1289415.55   | 0.17%             | 2048-12-28      | Fixed         | 3.81%                 | Yes           |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS                       | CASL 2019 A C 144A             | CUSIP: 19421UAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    929392 | PA      | $867235.14    | 0.12%             | 2048-12-28      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 11/47 3.969       | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    630000 | PA      | $503644.64    | 0.07%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 11/51 2.887       | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    350000 | PA      | $226101.50    | 0.03%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                    | COMPANY GUAR 11/56 2.937       | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1184000 | PA      | $737843.01    | 0.10%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                             | COMM 2014 UBS2 AM              | CUSIP: 12591UAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1375000 | PA      | $1327891.68   | 0.18%             | 2047-03-10      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                             | COMM 2014 LC17 C               | CUSIP: 12592MBQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2908000 | PA      | $2699756.96   | 0.36%             | 2047-10-10      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                             | COMM 2015 CR23 C               | CUSIP: 12593ABE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $923281.50    | 0.12%             | 2048-05-10      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                             | COMM 2012 CR4 B 144A           | CUSIP: 12624QBA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1060000 | PA      | $773097.54    | 0.10%             | 2045-10-15      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                        | JR SUBORDINA 144A 12/52 VAR    | CUSIP: 21871XAN9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   2041000 | PA      | $1897425.67   | 0.25%             | 2052-12-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE AG                                | SUBORDINATED 144A 08/23 6.5    | CUSIP: 22546DAA4<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |   1630000 | PA      | $1576210.00   | 0.21%             | 2023-08-08      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                          | SR UNSECURED 144A 02/27 VAR    | CUSIP: 225401AT5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2500000 | PA      | $1996708.58   | 0.27%             | 2027-02-02      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                          | SR UNSECURED 144A 07/26 VAR    | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    892000 | PA      | $838104.66    | 0.11%             | 2026-07-15      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST                    | CSMC 2021 NQM3 M1 144A         | CUSIP: 12660LAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1330000 | PA      | $733895.73    | 0.10%             | 2066-04-25      | Floating      | 2.32%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST                    | CSMC 2019 ICE4 E 144A          | CUSIP: 12653VAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    570000 | PA      | $551508.17    | 0.07%             | 2036-05-15      | Floating      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| CROWN CASTLE TOWERS LLC                         | ASSET BACKED 144A 07/48 4.241  | CUSIP: 22822RBH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2502371.30   | 0.33%             | 2048-07-15      | Fixed         | 4.24%                 | Yes           |                  2 | On Loan: No      |
| CVS HEALTH CORP                                 | SR UNSECURED 09/39 6.125       | CUSIP: 126650BR0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    560000 | PA      | $577785.46    | 0.08%             | 2039-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                 | SR UNSECURED 03/48 5.05        | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    455000 | PA      | $410451.57    | 0.05%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CVS PASS THROUGH TRUST                          | PASS THRU CE 144A 01/32 7.507  | CUSIP: 126650BS8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    769146 | PA      | $801698.47    | 0.11%             | 2032-01-10      | Fixed         | 7.51%                 | Yes           |                  2 | On Loan: No      |
| CVS PASS THROUGH TRUST                          | PASS THRU CE 144A 01/34 5.926  | CUSIP: 126650BY5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    924396 | PA      | $904242.87    | 0.12%             | 2034-01-10      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                         | SR UNSECURED 07/36 8.1         | CUSIP: 24703TAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    325000 | PA      | $365575.89    | 0.05%             | 2036-07-15      | Fixed         | 8.10%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                | SR UNSECURED 01/28 VAR         | CUSIP: 25160PAH0<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |   2580000 | PA      | $2199622.06   | 0.29%             | 2028-01-07      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO                            | DCLO 2021 2A A1 144A           | CUSIP: 25255LAA0<br>LEI: 2549008BUJNKS7JJUU65 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1932854.00   | 0.26%             | 2036-10-15      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| DISCOVER BANK                                   | SUBORDINATED 08/28 VAR         | CUSIP: 25466AAN1<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |   1955000 | PA      | $1876668.10   | 0.25%             | 2028-08-09      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                        | COMPANY GUAR 05/50 4.65        | CUSIP: 25470DBH1<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    490000 | PA      | $337911.07    | 0.04%             | 2050-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                        | COMPANY GUAR 09/55 4           | CUSIP: 25470DBL2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   1210000 | PA      | $730472.20    | 0.10%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DOVER CORPORATION                               | SHORT TERMS                    | CUSIP: 26000MN69<br>LEI: 549300FMC2ALGA7N9E80 | Long             | STIV             | CORP              | US        |   9000000 | PA      | $8992002.51   | 1.19%             | 2023-01-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DRB PRIME STUDENT LOAN TRUST                    | DRB 2017 B BFX 144A            | CUSIP: 518887AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    547785 | PA      | $444171.19    | 0.06%             | 2042-08-25      | Fixed         | 3.02%                 | Yes           |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021 FILE                   | DROP 2021 FILE C 144A          | CUSIP: 26210YAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2629000 | PA      | $2379376.19   | 0.32%             | 2043-10-15      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021 FILE                   | DROP 2021 FILE D 144A          | CUSIP: 26210YAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    908000 | PA      | $803499.37    | 0.11%             | 2043-10-15      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                | SR UNSECURED 09/46 3.75        | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1120348.17   | 0.15%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMOURS INC                           | SR UNSECURED 11/38 5.319       | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1157051.81   | 0.15%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CDO LTD                             | EATON 2020 2A BR 144A          | CUSIP: 27829PAN6<br>LEI: 549300FU3GAH1NNHOO94 | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1330653.80   | 0.18%             | 2035-01-15      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| EATON VANCE CDO LTD                             | EATON 2020 1A CR 144A          | CUSIP: 278300AN8<br>LEI: 5493004NKU3QU5G6QW39 | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $313835.90    | 0.04%             | 2034-10-15      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| EATON VANCE CDO LTD                             | EATON 2018 1A B 144A           | CUSIP: 27831BAE3<br>LEI: 549300R0C8KS2AMEHL81 | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1641601.60   | 0.22%             | 2030-10-15      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| EDUCATIONAL FUNDING OF THE SOU                  | EFOTS 2011 1 B                 | CUSIP: 28148WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625000 | PA      | $651274.00    | 0.09%             | 2046-04-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| EDUCATIONAL SERVICES OF AMERIC                  | EDUSA 2014 4 B 144A            | CUSIP: 28090AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1192430.28   | 0.16%             | 2048-06-25      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| EDUCATIONAL SERVICES OF AMERIC                  | EDUSA 2015 1 B 144A            | CUSIP: 281378AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1095667.43   | 0.15%             | 2056-10-25      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| EDVESTINU PRIVATE EDUCATION LO                  | EDVES 2019 A A 144A            | CUSIP: 28166GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    624986 | PA      | $585854.54    | 0.08%             | 2038-11-25      | Fixed         | 3.58%                 | Yes           |                  2 | On Loan: No      |
| ELECTRONIC ARTS INC                             | SR UNSECURED 02/51 2.95        | CUSIP: 285512AF6<br>LEI: 549300O7A67PUEYKDL45 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $715186.91    | 0.09%             | 2051-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO II LTD.                             | ELMW2 2019 2A AR 144A          | CUSIP: 29001LAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2800000 | PA      | $2733763.20   | 0.36%             | 2034-04-20      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| ELMWOOD CLO III LTD                             | ELMW3 2019 3A BR 144A          | CUSIP: 29002HAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $335763.40    | 0.04%             | 2034-10-20      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                            | SR UNSECURED 144A 06/32 5      | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1700000 | PA      | $1528712.91   | 0.20%             | 2032-06-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                              | SR UNSECURED 12/45 6.125       | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $930825.20    | 0.12%             | 2045-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                              | SR UNSECURED 04/27 4.2         | CUSIP: 29273RBK4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    885000 | PA      | $836377.71    | 0.11%             | 2027-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                              | JR SUBORDINA VAR               | CUSIP: 29273VAH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2370000 | PA      | $2014500.00   | 0.27%             | 2099-12-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| ENLINK MIDSTREAM PARTNER                        | SR UNSECURED 07/26 4.85        | CUSIP: 29336UAF4<br>LEI: 88CPW63VL7KHJWS0NY83 | Long             | DBT              | CORP              | US        |    951000 | PA      | $893966.56    | 0.12%             | 2026-07-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ENSTAR FINANCE LLC                              | COMPANY GUAR 09/40 VAR         | CUSIP: 29360AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2200000 | PA      | $1991000.00   | 0.26%             | 2040-09-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENSTAR GROUP LTD                                | SR UNSECURED 06/29 4.95        | CUSIP: 29359UAB5<br>LEI: 213800AMAL5QFXVUCN04 | Long             | DBT              | CORP              | BM        |   2480000 | PA      | $2278285.48   | 0.30%             | 2029-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                        | COMPANY GUAR 08/77 VAR         | CUSIP: 29379VBN2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   2475000 | PA      | $1994234.67   | 0.26%             | 2077-08-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                        | SR UNSECURED 10/27 3.9         | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   2160000 | PA      | $1994625.06   | 0.26%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                        | SR UNSECURED 02/30 7           | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   1795000 | PA      | $1861630.40   | 0.25%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                               | COMPANY GUAR 08/27 4.625       | CUSIP: 30212PBK0<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1277867.02   | 0.17%             | 2027-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST                     | ESA 2021 ESH D 144A            | CUSIP: 30227FAJ9<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |   1952384 | PA      | $1869492.44   | 0.25%             | 2038-07-15      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| FCI FUNDING, LLC                                | FCITL 2019 1A A 144A           | CUSIP: 30259MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18696 | PA      | $18677.96     | 0.00%             | 2031-02-18      | Fixed         | 3.63%                 | Yes           |                  2 | On Loan: No      |
| FED HM LN PC POOL C90939                        | FG 12/25 FIXED 5.5             | CUSIP: 3128P7BG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5793 | PA      | $5781.85      | 0.00%             | 2025-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL C91026                        | FG 04/27 FIXED 5.5             | CUSIP: 3128P7D75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11481 | PA      | $11738.73     | 0.00%             | 2027-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL C91074                        | FG 08/27 FIXED 5.5             | CUSIP: 3128P7FP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1224 | PA      | $1251.93      | 0.00%             | 2027-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL C91128                        | FG 12/27 FIXED 5.5             | CUSIP: 3128P7HD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       812 | PA      | $830.04       | 0.00%             | 2027-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL C91148                        | FG 01/28 FIXED 5.5             | CUSIP: 3128P7HZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27419 | PA      | $28034.43     | 0.00%             | 2028-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL C91176                        | FG 05/28 FIXED 5.5             | CUSIP: 3128P7JV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10488 | PA      | $10723.69     | 0.00%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL C91217                        | FG 11/28 FIXED 5.5             | CUSIP: 3128P7K69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3712 | PA      | $3795.61      | 0.00%             | 2028-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL C91239                        | FG 03/29 FIXED 4.5             | CUSIP: 3128P7LU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2069 | PA      | $2061.33      | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL C91251                        | FG 06/29 FIXED 4.5             | CUSIP: 3128P7L84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13514 | PA      | $13463.00     | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL C91344                        | FG 11/30 FIXED 3.5             | CUSIP: 3128P7P56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41478 | PA      | $39833.51     | 0.01%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL C91424                        | FG 01/32 FIXED 3.5             | CUSIP: 3128P7SM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24237 | PA      | $23276.32     | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL D97258                        | FG 04/27 FIXED 5.5             | CUSIP: 3128E4B35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2878 | PA      | $2942.43      | 0.00%             | 2027-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL D97417                        | FG 10/27 FIXED 5.5             | CUSIP: 3128E4G22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6817 | PA      | $6969.54      | 0.00%             | 2027-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL J13972                        | FG 01/26 FIXED 3.5             | CUSIP: 3128PTMV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7766 | PA      | $7593.68      | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL RA2483                        | FR 06/50 FIXED 3.5             | CUSIP: 3133KHXL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3972610 | PA      | $3664026.19   | 0.49%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL RA4245                        | FR 12/50 FIXED 2               | CUSIP: 3133KKWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2171787 | PA      | $1794785.54   | 0.24%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL RA4255                        | FR 01/51 FIXED 2               | CUSIP: 3133KKWQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4525999 | PA      | $3741743.20   | 0.50%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL RA5576                        | FR 07/51 FIXED 2.5             | CUSIP: 3133KMFR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8019550 | PA      | $6878726.42   | 0.91%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL SD0905                        | FR 03/52 FIXED 3               | CUSIP: 3132DNAE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3513801 | PA      | $3119333.53   | 0.41%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL SD1523                        | FR 08/52 FIXED 4               | CUSIP: 3132DNVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5303634 | PA      | $5023499.53   | 0.67%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FED HM LN PC POOL SD1603                        | 09/52 4                        | CUSIP: 3132DNX81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3318409 | PA      | $3124466.79   | 0.41%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST REPUBLIC BANK                             | SUBORDINATED 08/46 4.375       | CUSIP: 33616CAB6<br>LEI: YWC0TIKBQM2JV8L4IV08 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1297248.21   | 0.17%             | 2046-08-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST                         | FSMT 2021 6INV A18 144A        | CUSIP: 33851GAU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3804486 | PA      | $2932723.63   | 0.39%             | 2051-08-25      | Floating      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FLEXENTIAL ISSUER, LLC                          | FLX 2021 1A B 144A             | CUSIP: 33938MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3430100.40   | 0.46%             | 2051-11-27      | Fixed         | 3.72%                 | Yes           |                  2 | On Loan: No      |
| FLEXENTIAL ISSUER, LLC                          | FLX 2021 1A C 144A             | CUSIP: 33938MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3282829.60   | 0.44%             | 2051-11-27      | Fixed         | 6.93%                 | Yes           |                  2 | On Loan: No      |
| FLORIDA PWR + LGT CO                            | SHORT TERMS                    | CUSIP: 34108BN35<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | STIV             | CORP              | US        |   2000000 | PA      | $1999017.56   | 0.27%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL 775539                                | FN 05/34 FLOATING VAR          | CUSIP: 31404QS42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11618 | PA      | $11682.46     | 0.00%             | 2034-05-01      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AA3980                                | FN 04/28 FIXED 4.5             | CUSIP: 31416MM68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23278 | PA      | $22969.64     | 0.00%             | 2028-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AB7397                                | FN 12/42 FIXED 3               | CUSIP: 31417EGF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65709 | PA      | $59583.69     | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AB7401                                | FN 12/42 FIXED 3               | CUSIP: 31417EGK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53420 | PA      | $48467.57     | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AB8809                                | FN 03/43 FIXED 3               | CUSIP: 31417FYF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27176 | PA      | $24717.31     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AD0836                                | FN 11/28 FIXED VAR             | CUSIP: 31418M4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22726 | PA      | $23216.71     | 0.00%             | 2028-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AD6437                                | FN 06/40 FIXED 5               | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190058 | PA      | $192504.26    | 0.03%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AD6996                                | FN 07/40 FIXED 5               | CUSIP: 31418UX25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1199567 | PA      | $1215677.75   | 0.16%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AL3215                                | FN 02/43 FIXED VAR             | CUSIP: 3138EKSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51287 | PA      | $46647.12     | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AL8173                                | FN 02/44 FIXED VAR             | CUSIP: 3138ETCK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422140 | PA      | $429935.95    | 0.06%             | 2044-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AO8180                                | FN 09/42 FIXED 3               | CUSIP: 3138M0CS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10143 | PA      | $9199.90      | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AP8668                                | FN 12/42 FIXED 3               | CUSIP: 3138MCT20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81731 | PA      | $74337.24     | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AR0306                                | FN 01/43 FIXED 3               | CUSIP: 3138NWKU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4396 | PA      | $3998.36      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AR1975                                | FN 12/42 FIXED 3               | CUSIP: 3138NYFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15372 | PA      | $13981.33     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AR2174                                | FN 04/43 FIXED 3               | CUSIP: 3138NYMY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99539 | PA      | $90533.94     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AR4109                                | FN 02/43 FIXED 3               | CUSIP: 3138W1R74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55185 | PA      | $50192.28     | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AR4432                                | FN 03/43 FIXED 3               | CUSIP: 3138W14S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24085 | PA      | $21906.29     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AR5391                                | FN 01/43 FIXED 3               | CUSIP: 3138W27D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16040 | PA      | $14609.25     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AS1304                                | FN 12/28 FIXED 3.5             | CUSIP: 3138WANW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446746 | PA      | $433780.91    | 0.06%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA POOL AT0169                                | FN 03/43 FIXED 3               | CUSIP: 3138WMFK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121725 | PA      | $110865.29    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL CA1909                                | FN 06/48 FIXED 4.5             | CUSIP: 3140Q9DP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1974021 | PA      | $1935909.44   | 0.26%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA POOL CA6096                                | FN 06/50 FIXED 3.5             | CUSIP: 3140QDX25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4275124 | PA      | $3927010.04   | 0.52%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA POOL CB3304                                | FN 04/52 FIXED 3               | CUSIP: 3140QNU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5413449 | PA      | $4807415.38   | 0.64%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL CB3305                                | FN 04/52 FIXED 3               | CUSIP: 3140QNU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6432792 | PA      | $5704602.18   | 0.76%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL CB3842                                | FN 06/52 FIXED 3.5             | CUSIP: 3140QPHU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10456320 | PA      | $9590997.45   | 1.27%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA POOL CB3866                                | FN 06/52 FIXED 4.5             | CUSIP: 3140QPJL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6127187 | PA      | $5959588.60   | 0.79%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA POOL CB4129                                | FN 07/52 FIXED 4.5             | CUSIP: 3140QPST5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5395576 | PA      | $5227755.54   | 0.69%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA POOL FM4017                                | FN 08/50 FIXED VAR             | CUSIP: 3140X7PB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291051 | PA      | $268261.31    | 0.04%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA POOL FM8596                                | FN 09/51 FIXED VAR             | CUSIP: 3140XCRS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2161132 | PA      | $1851673.28   | 0.25%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA POOL FM9104                                | FN 10/51 FIXED VAR             | CUSIP: 3140XDDJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6139920 | PA      | $5256890.07   | 0.70%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA POOL FM9227                                | FN 10/51 FIXED VAR             | CUSIP: 3140XDHD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4539669 | PA      | $3871178.47   | 0.51%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA POOL FS1075                                | FN 03/52 FIXED VAR             | CUSIP: 3140XGFR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3573257 | PA      | $3173231.60   | 0.42%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL FS3035                                | FN 04/52 FIXED VAR             | CUSIP: 3140XJLR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9375844 | PA      | $8055264.83   | 1.07%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA POOL MA1356                                | FN 02/43 FIXED 3.5             | CUSIP: 31418AQJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3767334 | PA      | $3508837.14   | 0.47%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA POOL MA1368                                | FN 03/43 FIXED 3               | CUSIP: 31418AQW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102372 | PA      | $93111.21     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL MA3029                                | FN 06/32 FIXED 3               | CUSIP: 31418CLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1184139 | PA      | $1127789.25   | 0.15%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA POOL MA3090                                | FN 08/32 FIXED 3               | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479578 | PA      | $456157.36    | 0.06%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 2                                | SINGLE FAMILY MORTGAGE         | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8925000 | PA      | $7298976.56   | 0.97%             | 2053-01-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 2.5                              | SINGLE FAMILY MORTGAGE         | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8050000 | PA      | $6839984.38   | 0.91%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 3                                | SINGLE FAMILY MORTGAGE         | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15525000 | PA      | $13668064.07  | 1.81%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 3.5                              | SINGLE FAMILY MORTGAGE         | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1822031.20   | 0.24%             | 2049-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 4                                | SINGLE FAMILY MORTGAGE         | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18350000 | PA      | $17254734.38  | 2.29%             | 2053-01-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 4.5                              | SINGLE FAMILY MORTGAGE         | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15875000 | PA      | $15321854.68  | 2.03%             | 2053-01-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 5                                | SINGLE FAMILY MORTGAGE         | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6500000 | PA      | $6415702.80   | 0.85%             | 2053-01-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                     | FHR 2178 PB                    | CUSIP: 3133TLUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     16125 | PA      | $16563.06     | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC DISCOUNT NT                         | DISCOUNT NOT 01/23 0.00000     | CUSIP: 313396AD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   1100000 | PA      | $1099869.32   | 0.15%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                               | SR UNSECURED 10/27 6.8         | CUSIP: 37045VAU4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1964586.96   | 0.26%             | 2027-10-01      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                               | SR UNSECURED 04/38 5.15        | CUSIP: 37045VAP5<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    800000 | PA      | $693212.79    | 0.09%             | 2038-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                          | SR UNSECURED 01/32 3.1         | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1376082.24   | 0.18%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| GLENCORE FINANCE CANADA                         | COMPANY GUAR 144A 10/42 5.3    | CUSIP: 98417EAR1<br>LEI: 5493005TTO0UJ33KCK70 | Long             | DBT              | CORP              | CA        |    894000 | PA      | $807156.97    | 0.11%             | 2042-10-25      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| GLOBAL AIR LEASE CO LTD                         | SR UNSECURED 144A 09/24 6.5    | CUSIP: 37960JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1502197 | PA      | $1276867.45   | 0.17%             | 2024-09-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| GLOBAL ATLANTIC                                 | COMPANY GUAR 144A 10/51 VAR    | CUSIP: 37959GAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3060000 | PA      | $2330703.44   | 0.31%             | 2051-10-15      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| GLOBAL ATLANTIC FIN CO                          | COMPANY GUAR 144A 06/31 3.125  | CUSIP: 37959GAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4487000 | PA      | $3302658.28   | 0.44%             | 2031-06-15      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| GLOBAL NET LEASE/GLOBAL                         | COMPANY GUAR 144A 12/27 3.75   | CUSIP: 37892AAA8<br>LEI: 549300NUYANCT5SU8Z65 | Long             | DBT              | CORP              | US        |   2625000 | PA      | $2182289.45   | 0.29%             | 2027-12-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA II POOL 008746                             | G2 11/25 FLOATING VAR          | CUSIP: 36202KWF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       950 | PA      | $924.46       | 0.00%             | 2025-11-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA II POOL 080136                             | G2 11/27 FLOATING VAR          | CUSIP: 36225CEJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       315 | PA      | $304.93       | 0.00%             | 2027-11-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA II POOL MA4321                             | G2 03/47 FIXED 3.5             | CUSIP: 36179SYS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2407476 | PA      | $2252060.92   | 0.30%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II POOL MA6038                             | G2 07/49 FIXED 3               | CUSIP: 36179UV74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2177771 | PA      | $1968614.24   | 0.26%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II POOL MA6283                             | G2 11/49 FIXED 3               | CUSIP: 36179U6U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3899978 | PA      | $3522980.17   | 0.47%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II POOL MA6409                             | G2 01/50 FIXED 3               | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4016530 | PA      | $3625755.48   | 0.48%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA 30 YR 2.5                           | JUMBOS                         | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9150000 | PA      | $7941914.52   | 1.05%             | 2053-01-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA 30 YR 3                             | JUMBOS                         | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13125000 | PA      | $11713037.44  | 1.56%             | 2053-01-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA 30 YR 3.5                           | JUMBOS                         | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5770000 | PA      | $5309752.49   | 0.71%             | 2053-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA 30 YR 4.5                           | JUMBOS                         | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $1942968.80   | 0.26%             | 2053-01-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA POOL 352022                                | GN 11/23 FIXED 7               | CUSIP: 36203LAX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       304 | PA      | $304.70       | 0.00%             | 2023-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA POOL 374440                                | GN 11/23 FIXED 7               | CUSIP: 36204M4Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        23 | PA      | $23.43        | 0.00%             | 2023-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA POOL 480539                                | GN 04/29 FIXED 7               | CUSIP: 36209SZC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        63 | PA      | $65.42        | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA POOL 488634                                | GN 05/29 FIXED 7               | CUSIP: 36210CY72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1454 | PA      | $1499.06      | 0.00%             | 2029-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA POOL 491089                                | GN 12/28 FIXED 7               | CUSIP: 36210FRJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3300 | PA      | $3333.76      | 0.00%             | 2028-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA POOL 493723                                | GN 08/29 FIXED 7               | CUSIP: 36210JPG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1810 | PA      | $1879.75      | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA POOL 500928                                | GN 05/29 FIXED 7               | CUSIP: 36210SPM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2436 | PA      | $2524.16      | 0.00%             | 2029-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA POOL 510083                                | GN 07/29 FIXED 7               | CUSIP: 36211DUG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       256 | PA      | $264.47       | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA POOL 581417                                | GN 07/32 FIXED 7               | CUSIP: 36201E4A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3371 | PA      | $3477.25      | 0.00%             | 2032-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US                   | GLM 2019 5A CR 144A            | CUSIP: 38138DAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $945150.00    | 0.13%             | 2032-10-20      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | SUBORDINATED 10/37 6.75        | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1795000 | PA      | $1909618.95   | 0.25%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | SR UNSECURED 02/33 VAR         | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1222217.60   | 0.16%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL BDC                               | SR UNSECURED 04/24 3.375       | CUSIP: 38173MAA0<br>LEI: 2549005WE0QLGK9APF78 | Long             | DBT              | CORP              | US        |   2438000 | PA      | $2345405.00   | 0.31%             | 2024-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL BDC                               | SR UNSECURED 08/26 2.5         | CUSIP: 38173MAB8<br>LEI: 2549005WE0QLGK9APF78 | Long             | DBT              | CORP              | US        |    880000 | PA      | $748053.40    | 0.10%             | 2026-08-24      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOODGREEN TRUST                                 | GOODG 2016 1A A 144A           | CUSIP: 38217KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    923061 | PA      | $838461.38    | 0.11%             | 2052-10-15      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| GOODGREEN TRUST                                 | GOODG 2017 1A A 144A           | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    443579 | PA      | $411385.95    | 0.05%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  2 | On Loan: No      |
| GOODGREEN TRUST                                 | GOODG 2019 1A A 144A           | CUSIP: 38218DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    752475 | PA      | $699056.47    | 0.09%             | 2054-10-15      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| GOODGREEN TRUST                                 | GOODG 2019 2A A 144A           | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1678036 | PA      | $1444895.68   | 0.19%             | 2055-04-15      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| GS MORTGAGE BACKED SECURITIES                   | GSMBS 2021 GR2 A2 144A         | CUSIP: 36262JAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2101206 | PA      | $1693276.38   | 0.22%             | 2052-02-25      | Floating      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| GS MORTGAGE BACKED SECURITIES                   | GSMBS 2021 GR2 A4 144A         | CUSIP: 36262JAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1395551 | PA      | $1081878.99   | 0.14%             | 2052-02-25      | Floating      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| GULF STREAM MERIDIAN 1 LTD.                     | GSM 2021 6A A2 144A            | CUSIP: 40256GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $471492.00    | 0.06%             | 2037-01-15      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| HANWHA LIFE INSURANCE                           | SUBORDINATED 144A 02/32 VAR    | CUSIP: 41135UAB1<br>LEI: 988400ZKCI3R9DQHR320 | Long             | DBT              | CORP              | KR        |   2485000 | PA      | $2071959.50   | 0.28%             | 2032-02-04      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| HARBOR PARK CLO LTD                             | HARB 2018 1A B1 144A           | CUSIP: 41154XAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1290000 | PA      | $1250149.32   | 0.17%             | 2031-01-20      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| HELIOS ISSUER, LLC                              | SNVA 2018 1A A 144A            | CUSIP: 86745JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    403147 | PA      | $356563.20    | 0.05%             | 2048-07-20      | Fixed         | 4.87%                 | Yes           |                  2 | On Loan: No      |
| HERCULES CAPITAL INC                            | SR UNSECURED 01/27 3.375       | CUSIP: 427096AJ1<br>LEI: 549300UJ5OC256GR2B73 | Long             | DBT              | CORP              | US        |   1745000 | PA      | $1498095.17   | 0.20%             | 2027-01-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HERCULES CAPITAL INC                            | SR UNSECURED 09/26 2.625       | CUSIP: 427096AH5<br>LEI: 549300UJ5OC256GR2B73 | Long             | DBT              | CORP              | US        |   3284000 | PA      | $2773133.08   | 0.37%             | 2026-09-16      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| HERO FUNDING TRUST                              | HERO 2016 4A A1 144A           | CUSIP: 40417QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    512169 | PA      | $484964.93    | 0.06%             | 2047-09-20      | Fixed         | 3.57%                 | Yes           |                  2 | On Loan: No      |
| HERO FUNDING TRUST                              | HERO 2016 3A A1 144A           | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    395055 | PA      | $369630.16    | 0.05%             | 2042-09-20      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| HERO FUNDING TRUST                              | HERO 2017 3A A1 144A           | CUSIP: 42771AAA4<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    445920 | PA      | $406751.47    | 0.05%             | 2048-09-20      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| HERO FUNDING TRUST                              | HERO 2017 2A A1 144A           | CUSIP: 42771LAB8<br>LEI: 549300P141LFKW37WX94 | Long             | ABS-O            | CORP              | US        |    128198 | PA      | $118680.96    | 0.02%             | 2048-09-20      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| HERO FUNDING TRUST                              | HERO 2017 2A A2 144A           | CUSIP: 42771LAC6<br>LEI: 549300P141LFKW37WX94 | Long             | ABS-O            | CORP              | US        |    103061 | PA      | $96038.23     | 0.01%             | 2048-09-20      | Fixed         | 4.07%                 | Yes           |                  2 | On Loan: No      |
| HERO FUNDING TRUST                              | HERO 2018 1A A2 144A           | CUSIP: 42772GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    784027 | PA      | $744875.08    | 0.10%             | 2048-09-20      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| HIGHER EDUCATION FUNDING                        | HEF 2004 1 B1 144A             | CUSIP: 429827AR9<br>LEI: 635400EWI7RHQRLFJW85 | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $405310.05    | 0.05%             | 2044-01-01      | Floating      | 4.16%                 | Yes           |                  2 | On Loan: No      |
| HIGHER EDUCATION FUNDING                        | HEF 2004 1 B2 144A             | CUSIP: 429827AS7<br>LEI: 635400EWI7RHQRLFJW85 | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $392946.30    | 0.05%             | 2044-01-01      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| HILL CITY FUNDING TRUST                         | SR UNSECURED 144A 08/41 4.046  | CUSIP: 43137PAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $2769744.84   | 0.37%             | 2041-08-15      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| HORIZON AIRCRAFT FINANCE I LIM                  | HORZN 2018 1 A 144A            | CUSIP: 440405AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    837662 | PA      | $686044.67    | 0.09%             | 2038-12-15      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| HORIZON AIRCRAFT FINANCE II LL                  | HORZN 2019 1 A 144A            | CUSIP: 44040HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1108448 | PA      | $871937.59    | 0.12%             | 2039-07-15      | Fixed         | 3.72%                 | Yes           |                  2 | On Loan: No      |
| HORIZON AIRCRAFT FINANCE III L                  | HORZN 2019 2 A 144A            | CUSIP: 44040JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2637358 | PA      | $2034966.40   | 0.27%             | 2039-11-15      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| HOST HOTELS + RESORTS LP                        | SR UNSECURED 09/30 3.5         | CUSIP: 44107TAZ9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |   2120000 | PA      | $1754742.30   | 0.23%             | 2030-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS + RESORTS LP                        | SR UNSECURED 12/31 2.9         | CUSIP: 44107TBA3<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    580000 | PA      | $445199.51    | 0.06%             | 2031-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| HP INC                                          | SHORT TERMS                    | CUSIP: 44331CNP2<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | STIV             | CORP              | US        |  10000000 | PA      | $9969040.00   | 1.32%             | 2023-01-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                               | SR UNSECURED 05/27 VAR         | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    699000 | PA      | $603568.05    | 0.08%             | 2027-05-24      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                               | SR UNSECURED 08/29 VAR         | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1203000 | PA      | $976631.41    | 0.13%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                               | SR UNSECURED 11/28 VAR         | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2225000 | PA      | $2335036.53   | 0.31%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                         | COMPANY GUAR 144A 07/29 3.875  | CUSIP: 45262BAC7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   1739000 | PA      | $1486814.15   | 0.20%             | 2029-07-26      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| INVITATION HOMES OP                             | COMPANY GUAR 04/32 4.15        | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    505000 | PA      | $443316.63    | 0.06%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                           | SR UNSECURED 11/31 3.125       | CUSIP: 46817MAL1<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |   1024000 | PA      | $787518.62    | 0.10%             | 2031-11-23      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                            | COMPANY GUAR 144A 01/32 3.625  | CUSIP: 46590XAT3<br>LEI: P77IMDGVZE8EFBTF2M92 | Long             | DBT              | CORP              | LU        |   5300000 | PA      | $4293000.00   | 0.57%             | 2032-01-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MOR                  | JPMCC 2022 OPO C 144A          | CUSIP: 46655AAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $1944504.75   | 0.26%             | 2039-01-05      | Floating      | 3.45%                 | Yes           |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST                        | JPMMT 2017 1 A11 144A          | CUSIP: 46648CAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    542272 | PA      | $465685.93    | 0.06%             | 2047-01-25      | Floating      | 3.45%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE + CO                             | SR UNSECURED 07/41 5.6         | CUSIP: 46625HJB7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1130700.88   | 0.15%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE + CO                             | SUBORDINATED 05/31 VAR         | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $826352.43    | 0.11%             | 2031-05-13      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL CLO LTD                           | KKR 28A A 144A                 | CUSIP: 48253WAA0<br>LEI: 549300OP87QBZ6KR1406 | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $887725.80    | 0.12%             | 2031-03-15      | Floating      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| KKR FINANCIAL CLO LTD                           | KKR 36A C 144A                 | CUSIP: 48255AAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $463386.00    | 0.06%             | 2034-10-15      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| KKR GROUP FIN CO X LLC                          | COMPANY GUAR 144A 12/51 3.25   | CUSIP: 48255BAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1035000 | PA      | $660313.67    | 0.09%             | 2051-12-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| KKR GROUP FINAN CO VIII                         | COMPANY GUAR 144A 08/50 3.5    | CUSIP: 48252MAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    710000 | PA      | $478276.85    | 0.06%             | 2050-08-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| KNDL MORTGAGE TRUST                             | KNDL 2019 KNSQ E 144A          | CUSIP: 482598AN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1505000 | PA      | $1464625.52   | 0.19%             | 2036-05-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| KNDR TRUST 2021 KIND                            | KNDR 2021 KIND C 144A          | CUSIP: 482606AL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2581344 | PA      | $2379167.22   | 0.32%             | 2038-08-15      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| KRC INTERIM CORP                                | SR UNSECURED 12/46 4.125       | CUSIP: 49446RAQ2<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |    710000 | PA      | $523643.37    | 0.07%             | 2046-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| KRC INTERIM CORP                                | SR UNSECURED 09/47 4.45        | CUSIP: 49446RAT6<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |    800000 | PA      | $620344.53    | 0.08%             | 2047-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| KREF 2021 FL2 LTD                               | KREF 2021 FL2 B 144A           | CUSIP: 48275RAE7<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |   2900000 | PA      | $2701889.98   | 0.36%             | 2039-02-15      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| KREF 2021 FL2 LTD                               | KREF 2021 FL2 C 144A           | CUSIP: 48275RAG2<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4608898.00   | 0.61%             | 2039-02-15      | Floating      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| KREF 2021 FL2 LTD                               | KREF 2021 FL2 D 144A           | CUSIP: 48275RAJ6<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |   4100000 | PA      | $3778097.11   | 0.50%             | 2039-02-15      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| LABRADOR AVIATION FINANCE LIMI                  | LAFL 2016 1A A1 144A           | CUSIP: 50543LAA0<br>LEI: 549300FTBC83WH0X4750 | Long             | ABS-O            | CORP              | US        |   1824951 | PA      | $1437222.26   | 0.19%             | 2042-01-15      | Floating      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                            | SR UNSECURED 08/24 3.2         | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   2070000 | PA      | $1966920.75   | 0.26%             | 2024-08-08      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| LAZARD GROUP LLC                                | SR UNSECURED 03/27 3.625       | CUSIP: 52107QAH8<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |   1253000 | PA      | $1158473.22   | 0.15%             | 2027-03-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| LEAR CORP                                       | SR UNSECURED 01/52 3.55        | CUSIP: 521865BD6<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $809483.63    | 0.11%             | 2052-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                      | COMPANY GUAR 02/31 2.3         | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $968356.56    | 0.13%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                        | COMPANY GUAR 144A 12/51 VAR    | CUSIP: 53079EBM5<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $993812.02    | 0.13%             | 2051-12-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST                   | LIFE 2021 BMR E 144A           | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1902047 | PA      | $1799925.94   | 0.24%             | 2038-03-15      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| LOUISIANA ST LOCAL GOVT ENVRNM                  | LASGOV 08/39 FIXED 4.475       | CUSIP: 54627RAP5<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |   2200000 | PA      | $2047000.34   | 0.27%             | 2039-08-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| MACH I                                          | MAACH 2019 1 A 144A            | CUSIP: 55446MAA5<br>LEI: 549300ODEK8HY3445C77 | Long             | ABS-O            | CORP              | KY        |   1505064 | PA      | $1216556.27   | 0.16%             | 2039-10-15      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| MACQUARIE BANK LTD                              | SUBORDINATED 144A 03/36 VAR    | CUSIP: 556079AD3<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |   1324000 | PA      | $960585.75    | 0.13%             | 2036-03-03      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                             | SR UNSECURED 144A 01/27 VAR    | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    950000 | PA      | $828865.50    | 0.11%             | 2027-01-12      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| MADISON PARK FUNDING LTD                        | MDPK 2018 28A B 144A           | CUSIP: 55821AAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1665000 | PA      | $1620604.44   | 0.22%             | 2030-07-15      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| MADISON PARK FUNDING LTD                        | MDPK 2018 32A CR 144A          | CUSIP: 55817AAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $939044.00    | 0.12%             | 2031-01-22      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| MADISON PARK FUNDING LTD                        | MDPK 2018 29A C 144A           | CUSIP: 55820CAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    620000 | PA      | $588291.96    | 0.08%             | 2030-10-18      | Floating      | 6.39%                 | Yes           |                  2 | On Loan: No      |
| MADISON PARK XLIV                               | ATRM 15A B 144A                | CUSIP: 04965FAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1190000 | PA      | $1158706.57   | 0.15%             | 2031-01-23      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST                  | MFIT 2021 AA B 144A            | CUSIP: 56848DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1336000 | PA      | $1096143.64   | 0.15%             | 2036-03-20      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST                  | MFIT 2021 AA C 144A            | CUSIP: 56848DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    637000 | PA      | $521764.47    | 0.07%             | 2036-03-20      | Fixed         | 2.96%                 | Yes           |                  2 | On Loan: No      |
| METLIFE CAPITAL TRUST IV                        | JR SUBORDINA 144A 12/67 7.875  | CUSIP: 591560AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    725000 | PA      | $783078.19    | 0.10%             | 2067-12-15      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| MFT TRUST                                       | MOFT 2020 ABC A 144A           | CUSIP: 55317BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    919000 | PA      | $711449.92    | 0.09%             | 2042-02-10      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| MFT TRUST                                       | MOFT 2020 ABC B 144A           | CUSIP: 55317BAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2253000 | PA      | $1673307.38   | 0.22%             | 2042-02-10      | Floating      | 3.48%                 | Yes           |                  2 | On Loan: No      |
| MHC COMMERCIAL MORTGAGE TRUST                   | MHC 2021 MHC D 144A            | CUSIP: 55316VAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1516091.36   | 0.20%             | 2038-04-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| MICROSOFT CORP                                  | SR UNSECURED 03/52 2.921       | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |   2064000 | PA      | $1474355.28   | 0.20%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| MIZRAHI TEFAHOT BANK LTD                        | SUBORDINATED 144A REGS 04/31 V | CUSIP: ACI1WQR19<br>LEI: YZO9YEGEO4VYDZMDWF93 | Long             | DBT              | CORP              | IL        |   2780000 | PA      | $2435975.00   | 0.32%             | 2031-04-07      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| MKT 2020 525M MORTGAGE TRUST                    | MKT 2020 525M D 144A           | CUSIP: 55316PAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    475000 | PA      | $296647.52    | 0.04%             | 2040-02-12      | Floating      | 2.94%                 | Yes           |                  2 | On Loan: No      |
| MKT 2020 525M MORTGAGE TRUST                    | MKT 2020 525M E 144A           | CUSIP: 55316PAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    976000 | PA      | $557746.23    | 0.07%             | 2040-02-12      | Floating      | 2.94%                 | Yes           |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE                           | COMPANY GUAR 05/42 5           | CUSIP: 60871RAD2<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |    360000 | PA      | $321132.37    | 0.04%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE                           | COMPANY GUAR 07/46 4.2         | CUSIP: 60871RAH3<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   1859000 | PA      | $1451120.03   | 0.19%             | 2046-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                  | SUBORDINATED 09/26 4.35        | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $3109686.53   | 0.41%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                  | SUBORDINATED 09/36 VAR         | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $924039.77    | 0.12%             | 2036-09-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                  | SUBORDINATED 04/37 VAR         | CUSIP: 61747YES0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2320000 | PA      | $2128199.27   | 0.28%             | 2037-04-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOANS LLC                          | MSAIC 2017 1A A 144A           | CUSIP: 61946EAA6<br>LEI: 549300ZLA8SW2SVJMN33 | Long             | ABS-O            | CORP              | US        |    160909 | PA      | $154064.69    | 0.02%             | 2042-06-20      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| MOSAIC SOLAR LOANS LLC                          | MSAIC 2018 1A A 144A           | CUSIP: 61946FAA3<br>LEI: 549300ZLA8SW2SVJMN33 | Long             | ABS-O            | CORP              | US        |    171904 | PA      | $156704.13    | 0.02%             | 2043-06-22      | Fixed         | 4.01%                 | Yes           |                  2 | On Loan: No      |
| MPLX LP                                         | JR SUBORDINA VAR               | CUSIP: 55336VAU4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1775000 | PA      | $1748375.00   | 0.23%             | 2099-12-31      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK                         | SUBORDINATED 144A 01/37 VAR    | CUSIP: 632525BB6<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |   2960000 | PA      | $2259147.01   | 0.30%             | 2037-01-12      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST                      | NAVSL 2015 3 B                 | CUSIP: 63939LAC1<br>LEI: 5493007OOYUHTF8GSL63 | Long             | ABS-O            | CORP              | US        |    940000 | PA      | $816120.60    | 0.11%             | 2058-10-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST                      | NAVSL 2016 2A A3 144A          | CUSIP: 63940FAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2109259 | PA      | $2056295.65   | 0.27%             | 2065-06-25      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST                      | NAVSL 2021 2A B 144A           | CUSIP: 63942QAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2330000 | PA      | $2294091.21   | 0.30%             | 2070-02-25      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST                       | NSLT 2006 3 B                  | CUSIP: 64031AAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    374481 | PA      | $339519.04    | 0.05%             | 2041-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST                       | NSLT 2005 4 A4R1               | CUSIP: 64031QCK5<br>LEI: 549300T6B0Q52I6OM558 | Long             | ABS-O            | CORP              | US        |    160000 | PA      | $158207.52    | 0.02%             | 2032-03-22      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST                       | NSLT 2019 1A B 144A            | CUSIP: 64034CAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3133735.48   | 0.42%             | 2067-04-25      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST                       | NSLT 2019 5 B 144A             | CUSIP: 64034EAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2150000 | PA      | $1699594.57   | 0.23%             | 2067-10-25      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| NEUBERGER BERMAN CLO LTD                        | NEUB 2015 20A BRR 144A         | CUSIP: 64130TBC8<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $1732663.80   | 0.23%             | 2034-07-15      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| NEUBERGER BERMAN CLO LTD                        | NEUB 2021 45A B 144A           | CUSIP: 64134MAC0<br>LEI: 549300BQ0WQMX5H5TS32 | Long             | ABS-CBDO         | CORP              | KY        |   1350000 | PA      | $1298498.85   | 0.17%             | 2035-10-14      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN                   | NRZT 2021 INV1 A4 144A         | CUSIP: 64829WAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2458358 | PA      | $1899657.47   | 0.25%             | 2051-06-25      | Floating      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| NEWREZ WAREHOUSE SECURITIZATIO                  | NEWZ 2021 1 D 144A             | CUSIP: 65246PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2606000 | PA      | $2517775.95   | 0.33%             | 2055-05-25      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                          | COMPANY GUAR 03/82 VAR         | CUSIP: 65339KCB4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1019965.18   | 0.14%             | 2082-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                    | SR UNSECURED 02/42 5.8         | CUSIP: 65473QAZ6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    950000 | PA      | $891917.80    | 0.12%             | 2042-02-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                    | SR UNSECURED 02/44 4.8         | CUSIP: 65473QBC6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1035000 | PA      | $919152.65    | 0.12%             | 2044-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                 | SR UNSECURED 144A 09/27 4.345  | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   1063000 | PA      | $964915.63    | 0.13%             | 2027-09-17      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| NMLT TRUST                                      | NLT 2021 INV1 M1 144A          | CUSIP: 62923JAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5400000 | PA      | $3304902.60   | 0.44%             | 2056-05-25      | Floating      | 2.71%                 | Yes           |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                           | SR UNSECURED 08/52 4.05        | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    860000 | PA      | $694341.36    | 0.09%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| NOV INC                                         | SR UNSECURED 12/42 3.95        | CUSIP: 637071AK7<br>LEI: 549300EHF3IW1AR6U008 | Long             | DBT              | CORP              | US        |   1506000 | PA      | $1056093.31   | 0.14%             | 2042-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NOV INC                                         | SR UNSECURED 12/29 3.6         | CUSIP: 637071AM3<br>LEI: 549300EHF3IW1AR6U008 | Long             | DBT              | CORP              | US        |   3123000 | PA      | $2750753.02   | 0.37%             | 2029-12-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NP SPE LP                                       | NPRL 2017 1A A2 144A           | CUSIP: 62946AAD6<br>LEI: 549300M4DFCB4G0UM882 | Long             | ABS-O            | CORP              | US        |   2260000 | PA      | $2041360.82   | 0.27%             | 2047-10-21      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| OAK STREET INVESTMENT GRADE NE                  | OAKIG 2020 1A A5 144A          | CUSIP: 67181DAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1063243.32   | 0.14%             | 2050-11-20      | Fixed         | 3.39%                 | Yes           |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                        | SR UNSECURED 03/46 6.6         | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1258000 | PA      | $1294469.42   | 0.17%             | 2046-03-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| OCP CLO LTD                                     | OCP 2018 15A A1 144A           | CUSIP: 67112KAA7<br>LEI: 254900WK4JKXAXOKTL68 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245964.25    | 0.03%             | 2031-07-20      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                        | COMPANY GUAR 02/31 3.375       | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   1625000 | PA      | $1254467.65   | 0.17%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                     | SR UNSECURED 11/52 6.9         | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    712000 | PA      | $768480.18    | 0.10%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                     | COMPANY GUAR 08/34 6.5         | CUSIP: 292505AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1060815.81   | 0.14%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                     | COMPANY GUAR 02/38 6.5         | CUSIP: 292505AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    545000 | PA      | $542658.22    | 0.07%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR                        | SR UNSECURED 02/27 4.7         | CUSIP: 69120VAF8<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |   1945000 | PA      | $1756186.50   | 0.23%             | 2027-02-08      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| OXFORD FINANCE FUNDING TRUST                    | OXFIN 2020 1A A2 144A          | CUSIP: 69144AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    689818 | PA      | $682005.66    | 0.09%             | 2028-02-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| PACIFIC GAS + ELECTRIC                          | 1ST MORTGAGE 02/31 2.5         | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    775000 | PA      | $605575.19    | 0.08%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PARALLEL LTD                                    | PARL 2021 2A A2 144A           | CUSIP: 69916KAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $425936.25    | 0.06%             | 2034-10-20      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| PARKER HANNIFIN CORP                            | SHORT TERMS                    | CUSIP: 70109MQV9<br>LEI: 5493002CONDB4N2HKI23 | Long             | STIV             | CORP              | US        |   6000000 | PA      | $5925655.32   | 0.79%             | 2023-03-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PATTERSON UTI ENERGY INC                        | SR UNSECURED 02/28 3.95        | CUSIP: 703481AB7<br>LEI: 254900XGFBKIXD6G0697 | Long             | DBT              | CORP              | US        |   2435000 | PA      | $2151686.53   | 0.29%             | 2028-02-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| PATTERSON UTI ENERGY INC                        | SR UNSECURED 11/29 5.15        | CUSIP: 703481AC5<br>LEI: 254900XGFBKIXD6G0697 | Long             | DBT              | CORP              | US        |   1225000 | PA      | $1100287.37   | 0.15%             | 2029-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                             | COMPANY GUAR 06/35 6.625       | CUSIP: 706451BG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    140000 | PA      | $101626.10    | 0.01%             | 2035-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                             | COMPANY GUAR 01/45 6.375       | CUSIP: 71654QBR2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    595000 | PA      | $368678.07    | 0.05%             | 2045-01-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                             | COMPANY GUAR 03/27 6.5         | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    585000 | PA      | $533765.23    | 0.07%             | 2027-03-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                             | COMPANY GUAR 02/28 5.35        | CUSIP: 71654QCK6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    665000 | PA      | $559630.55    | 0.07%             | 2028-02-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PG+E WILDFIRE RECOVERY                          | SR SECURED 12/53 4.674         | CUSIP: 693342AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1070267.05   | 0.14%             | 2053-12-01      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTN                        | COMPANY GUAR 04/32 2.75        | CUSIP: 720198AF7<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |   1035000 | PA      | $726957.21    | 0.10%             | 2032-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PIONEER AIRCRAFT FINANCE LIMIT                  | PION 2019 1 A 144A             | CUSIP: 72353PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1267014 | PA      | $1006822.08   | 0.13%             | 2044-06-15      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                        | SR UNSECURED 01/37 6.65        | CUSIP: 72650RAR3<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |    375000 | PA      | $370812.02    | 0.05%             | 2037-01-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                        | SR UNSECURED 06/44 4.7         | CUSIP: 72650RBE1<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |   1195000 | PA      | $911545.31    | 0.12%             | 2044-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                        | SR UNSECURED 09/30 3.8         | CUSIP: 72650RBN1<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1002231.98   | 0.13%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERICAN PIPE                        | JR SUBORDINA 12/99 VAR         | CUSIP: 726503AE5<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |   2345000 | PA      | $2016700.00   | 0.27%             | 2099-12-31      | Floating      | 8.72%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER L                  | PLNT 2019 1A A2 144A           | CUSIP: 72703PAC7<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |   2252340 | PA      | $1856380.43   | 0.25%             | 2049-12-05      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                        | JR SUBORDINA 06/43 VAR         | CUSIP: 744320AM4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $1007062.50   | 0.13%             | 2043-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                        | JR SUBORDINA 09/48 VAR         | CUSIP: 744320BF8<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1661700.00   | 0.22%             | 2048-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                | SR SECURED 06/28 2.379         | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    840000 | PA      | $715628.42    | 0.10%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| RAD CLO 12 LTD                                  | RAD 2021 12A A 144A            | CUSIP: 75009PAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $972192.00    | 0.13%             | 2034-10-30      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Repurchase Agreement                            | FIXED INC CLEARING CORP.REPO   | CUSIP: 85748R009<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   7874158 | PA      | $7874158.14   | 1.05%             |  |  |  | No            |                  1 | On Loan: No      |
| REXFORD INDUSTRIAL REALT                        | COMPANY GUAR 12/30 2.125       | CUSIP: 76169XAA2<br>LEI: 549300028US163ELJN70 | Long             | DBT              | CORP              | US        |   1137000 | PA      | $890302.18    | 0.12%             | 2030-12-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                           | COMPANY GUAR 08/45 5.85        | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    985000 | PA      | $843774.88    | 0.11%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD                          | ROCKT 2019 1A B1R 144A         | CUSIP: 77342MAQ9<br>LEI: 549300GGUAM1ZV2SKK63 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1409497.50   | 0.19%             | 2034-04-20      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| RRAM                                            | RRAM 2018 3A A1R2 144A         | CUSIP: 74988LAA2<br>LEI: 549300YH0VOGWM5JZF65 | Long             | ABS-CBDO         | CORP              | KY        |   2450000 | PA      | $2417331.70   | 0.32%             | 2030-01-15      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP                         | SR UNSECURED 144A 05/27 4.45   | CUSIP: 79588TAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    270000 | PA      | $252140.93    | 0.03%             | 2027-05-12      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP                         | SR UNSECURED 144A 04/31 3.35   | CUSIP: 79588TAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3805000 | PA      | $2905205.55   | 0.39%             | 2031-04-16      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP                         | SR UNSECURED 144A 04/32 4.75   | CUSIP: 79588TAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    805000 | PA      | $674356.16    | 0.09%             | 2032-04-08      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER REVOLVING AUTO LOAN                   | SREV 2019 A D 144A             | CUSIP: 80286JAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1087000 | PA      | $989503.93    | 0.13%             | 2032-01-26      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| SANTOS FINANCE LTD                              | COMPANY GUAR 144A 04/31 3.649  | CUSIP: 803014AA7<br>LEI: 213800BKUBSWG53XNS94 | Long             | DBT              | CORP              | AU        |   1490000 | PA      | $1189278.49   | 0.16%             | 2031-04-29      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                        | SR UNSECURED 06/23 4.5         | CUSIP: 44106MAR3<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |    760000 | PA      | $746845.84    | 0.10%             | 2023-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                        | SR UNSECURED 10/29 4.95        | CUSIP: 44106MBB7<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |   1155000 | PA      | $798218.89    | 0.11%             | 2029-10-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| SIERRA RECEIVABLES FUNDING CO                   | SRFC 2021 1A D 144A            | CUSIP: 82652QAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    624396 | PA      | $576310.16    | 0.08%             | 2037-11-20      | Fixed         | 3.17%                 | Yes           |                  2 | On Loan: No      |
| SIERRA RECEIVABLES FUNDING CO                   | SRFC 2018 3A D 144A            | CUSIP: 82653GAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    267052 | PA      | $262081.24    | 0.03%             | 2035-09-20      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST                          | SLMA 2005 6 B                  | CUSIP: 78442GQA7<br>LEI: 549300H0EHPP0GTD9V95 | Long             | ABS-O            | USGA              | US        |   1371624 | PA      | $1255592.41   | 0.17%             | 2044-01-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST                          | SLMA 2006 5 B                  | CUSIP: 83149EAG2<br>LEI: 549300LSGT1L2CL14698 | Long             | ABS-O            | USGA              | US        |   1605311 | PA      | $1500526.82   | 0.20%             | 2040-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                            | SR UNSECURED 144A 10/30 3      | CUSIP: 832248BC1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    943000 | PA      | $718533.32    | 0.10%             | 2030-10-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                            | SR UNSECURED 144A 09/31 2.625  | CUSIP: 832248BD9<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1241458.69   | 0.16%             | 2031-09-13      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| SOCIAL PROFESSIONAL LOAN PROGR                  | SOFI 2017 C C 144A             | CUSIP: 83405DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    990000 | PA      | $891134.84    | 0.12%             | 2040-07-25      | Fixed         | 4.21%                 | Yes           |                  2 | On Loan: No      |
| SOCIETE GENERALE                                | SR UNSECURED 144A 06/27 VAR    | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2010000 | PA      | $1734000.19   | 0.23%             | 2027-06-09      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| SOFI ALTERNATIVE TRUST                          | SAT 2019 C PT 144A             | CUSIP: 83406JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1903499 | PA      | $1757691.09   | 0.23%             | 2045-01-25      | Fixed         | 5.19%                 | Yes           |                  2 | On Loan: No      |
| SPIRE INC                                       | SHORT TERMS                    | CUSIP: 84858PNH0<br>LEI: 549300NXSY15DRY2R511 | Long             | STIV             | CORP              | US        |   7000000 | PA      | $6983770.50   | 0.93%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIR 2015 1 PTT A                         | PASS THRU CE 10/29 4.1         | CUSIP: 84858DAA6<br>LEI: 549300DCAFIXFNFR3304 | Long             | ABS-O            | CORP              | US        |   1195520 | PA      | $1065463.91   | 0.14%             | 2029-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| SPIRIT REALTY LP                                | COMPANY GUAR 07/29 4           | CUSIP: 84861TAD0<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |   1290000 | PA      | $1124507.41   | 0.15%             | 2029-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SPIRIT REALTY LP                                | COMPANY GUAR 01/27 3.2         | CUSIP: 84861TAE8<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |   2280000 | PA      | $2024631.29   | 0.27%             | 2027-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| SPIRIT REALTY LP                                | COMPANY GUAR 01/30 3.4         | CUSIP: 84861TAF5<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |    515000 | PA      | $428907.86    | 0.06%             | 2030-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| SPIRIT REALTY LP                                | COMPANY GUAR 02/32 2.7         | CUSIP: 84861TAJ7<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |    550000 | PA      | $408350.45    | 0.05%             | 2032-02-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                             | COMPANY GUAR 03/32 8.75        | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |   3250000 | PA      | $3867825.00   | 0.51%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL                   | STAR 2021 3 M1 144A            | CUSIP: 85573JAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2448000 | PA      | $1422426.56   | 0.19%             | 2056-06-25      | Floating      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| State Street Navigator Securities Lending Trust | Prime Portfolio                | CUSIP: 638995910<br>LEI: 5493005HD34MZLK62085 | Long             | STIV             | RF                | US        |   2390622 | NS      | $2390622.50   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| STEELE CREEK CLO LTD                            | STCR 2018 2A C 144A            | CUSIP: 85816LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1170000 | PA      | $1083064.32   | 0.14%             | 2031-08-18      | Floating      | 6.97%                 | Yes           |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO                  | SASC 2006 GEL1 M2 144A         | CUSIP: 863576EH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1296199 | PA      | $1257864.78   | 0.17%             | 2035-11-25      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| STRUCTURED RECEIVABLES FINANCE                  | SFS 2010 B A 144A              | CUSIP: 86365LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68217 | PA      | $65454.71     | 0.01%             | 2036-08-15      | Fixed         | 3.73%                 | Yes           |                  2 | On Loan: No      |
| SUNCOR ENERGY INC                               | SHORT TERMS                    | CUSIP: 86723BNT3<br>LEI: 549300W70ZOQDVLCHY06 | Long             | STIV             | CORP              | US        |  10000000 | PA      | $9963460.00   | 1.32%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SUTTONPARK STRUCTURED SETTLEME                  | SPSS 2017 1A A 144A            | CUSIP: 869507AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1721404 | PA      | $1522836.92   | 0.20%             | 2071-01-15      | Fixed         | 4.19%                 | Yes           |                  2 | On Loan: No      |
| SYNGENTA FINANCE NV                             | COMPANY GUAR 144A 04/23 4.441  | CUSIP: 87164KAH7<br>LEI: 54930042S3BYCEGOCN86 | Long             | DBT              | CORP              | NL        |   1183000 | PA      | $1177688.26   | 0.16%             | 2023-04-24      | Fixed         | 4.44%                 | Yes           |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                        | COMPANY GUAR 01/29 6.875       | CUSIP: 87612BBN1<br>LEI: 6OQWTZ1SPC04IFT4T704 | Long             | DBT              | CORP              | US        |   2020000 | PA      | $2038166.73   | 0.27%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| TECK RESOURCES LIMITED                          | SR UNSECURED 08/40 6           | CUSIP: 878742AS4<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |    808000 | PA      | $774964.69    | 0.10%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TEXAS ELECTRIC MKT STABL                        | SR SECURED 144A 02/52 5.167    | CUSIP: 88240TAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1913762.72   | 0.25%             | 2052-02-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| THRUST ENGINE LEASING                           | THRST 2021 1A A 144A           | CUSIP: 88603UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2556060 | PA      | $1879654.91   | 0.25%             | 2040-07-15      | Fixed         | 4.16%                 | Yes           |                  2 | On Loan: No      |
| THRUST ENGINE LEASING                           | THRST 2021 1A B 144A           | CUSIP: 88603UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1222080 | PA      | $862576.63    | 0.11%             | 2040-07-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| THRUST ENGINE LEASING                           | THRST 2021 1A C 144A           | CUSIP: 88603UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    921565 | PA      | $668230.67    | 0.09%             | 2040-07-15      | Fixed         | 7.39%                 | Yes           |                  2 | On Loan: No      |
| TICP CLO LTD                                    | TICP 2020 15A A 144A           | CUSIP: 87250RAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2461870.00   | 0.33%             | 2033-04-20      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| TICP CLO LTD                                    | TICP 2019 14A A2R 144A         | CUSIP: 87250CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $968326.00    | 0.13%             | 2032-10-20      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                           | SR SECURED 06/39 6.75          | CUSIP: 88732JAU2<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |    985000 | PA      | $934440.19    | 0.12%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TIMKEN CO                                       | SR UNSECURED 12/28 4.5         | CUSIP: 887389AK0<br>LEI: B0I35MLPFXZSE70ASS73 | Long             | DBT              | CORP              | US        |   1655000 | PA      | $1571011.78   | 0.21%             | 2028-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TORONTO DOMINION BANK                           | JR SUBORDINA 10/82 VAR         | CUSIP: 89117F8Z5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1706000 | PA      | $1774240.00   | 0.24%             | 2082-10-31      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                    | SR UNSECURED 144A 05/28 4.751  | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1575000 | PA      | $1509408.04   | 0.20%             | 2028-05-12      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| UNITED AIR 2018 1 B PTT                         | PASS THRU CE 09/27 4.6         | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    357512 | PA      | $326699.82    | 0.04%             | 2027-09-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                           | SR UNSECURED 03/44 4.75        | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   3727000 | PA      | $3004054.17   | 0.40%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US 10YR ULTRA FUT MAR23                         | XCBT 20230322                  | CUSIP: ADI26ZBM5<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -176 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| US 2YR NOTE (CBT) MAR23                         | XCBT 20230331                  | CUSIP: ADI27GZW8<br>LEI: N/A                  | N/A              | DIR              |  | US        |       363 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| US 5YR NOTE (CBT) MAR23                         | XCBT 20230331                  | CUSIP: ADI27GKS3<br>LEI: N/A                  | N/A              | DIR              |  | US        |       275 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| US LONG BOND(CBT) MAR23                         | XCBT 20230322                  | CUSIP: ADI26YSS7<br>LEI: N/A                  | N/A              | DIR              |  | US        |       116 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                 | 02/39 3.5                      | CUSIP: 912810QA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11900000 | PA      | $11243616.23  | 1.49%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | 08/49 2.25                     | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33250000 | PA      | $23645508.08  | 3.14%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | 10/24 2.25                     | CUSIP: 9128283D0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2800000 | PA      | $2690581.88   | 0.36%             | 2024-10-31      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | 07/25 3                        | CUSIP: 91282CEY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13100000 | PA      | $12699903.73  | 1.69%             | 2025-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US ULTRA BOND CBT MAR23                         | XCBT 20230322                  | CUSIP: ADI26YTH0<br>LEI: N/A                  | N/A              | DIR              |  | US        |       153 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| USF+G CAPITAL I                                 | LIMITD GUARA 144A 12/45 8.5    | CUSIP: 902965AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    885000 | PA      | $960849.57    | 0.13%             | 2045-12-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB                            | COMPANY GUAR 06/46 5.25        | CUSIP: 62854AAP9<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1045794.19   | 0.14%             | 2046-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                           | COMPANY GUAR 11/36 6.875       | CUSIP: 91911TAH6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |   1030000 | PA      | $1087353.49   | 0.14%             | 2036-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| VASA TRUST                                      | VASA 2021 VASA D 144A          | CUSIP: 92230AAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3761000 | PA      | $3407807.12   | 0.45%             | 2039-07-15      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                          | SR UNSECURED 10/56 2.987       | CUSIP: 92343VFW9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2292000 | PA      | $1407678.10   | 0.19%             | 2056-10-30      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                      | VERUS 2021 R3 M1 144A          | CUSIP: 92538EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1147000 | PA      | $822692.75    | 0.11%             | 2064-04-25      | Floating      | 2.41%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                      | VERUS 2021 3 M1 144A           | CUSIP: 92539LAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3640000 | PA      | $2160831.40   | 0.29%             | 2066-06-25      | Floating      | 2.40%                 | Yes           |                  2 | On Loan: No      |
| VF CORPORATION                                  | SHORT TERMS                    | CUSIP: 91820NP26<br>LEI: CWAJJ9DJ5Z7P057HV541 | Long             | STIV             | CORP              | US        |  10000000 | PA      | $9957840.00   | 1.32%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VITERRA FINANCE BV                              | COMPANY GUAR 144A 04/31 3.2    | CUSIP: 92852LAB5<br>LEI: 213800HBZGEIZLKJBI17 | Long             | DBT              | CORP              | NL        |   1315000 | PA      | $996699.71    | 0.13%             | 2031-04-21      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| VIVINT SOLAR FINANCING LLC                      | VSLR 2018 1A B 144A            | CUSIP: 92854VAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1971930 | PA      | $1810534.49   | 0.24%             | 2048-04-30      | Fixed         | 7.37%                 | Yes           |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                              | SR UNSECURED 05/48 5.25        | CUSIP: 92857WBM1<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   1150000 | PA      | $1018992.59   | 0.14%             | 2048-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WALGREENS BOOTS                                 | SHORT TERMS                    | CUSIP: 93142XP62<br>LEI: 549300RPTUOIXG4LIH86 | Long             | STIV             | CORP              | US        |   8000000 | PA      | $7959323.12   | 1.06%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                        | COMPANY GUAR 144A 03/32 4.279  | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $1699232.59   | 0.23%             | 2032-03-15      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| WAVE 2017 1 LLC                                 | WAAV 2017 1A A 144A            | CUSIP: 94353WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    282942 | PA      | $213624.36    | 0.03%             | 2042-11-15      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| WAVE 2017 1 LLC                                 | WAAV 2017 1A C 144A            | CUSIP: 94353WAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2140306 | PA      | $600532.19    | 0.08%             | 2042-11-15      | Fixed         | 6.66%                 | Yes           |                  2 | On Loan: No      |
| WAVE USA                                        | WAAV 2019 1 A 144A             | CUSIP: 94354KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3306829 | PA      | $2504092.60   | 0.33%             | 2044-09-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| WEA FINANCE LLC                                 | COMPANY GUAR 144A 01/27 2.875  | CUSIP: 92928QAH1<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |   2420000 | PA      | $2074142.22   | 0.28%             | 2027-01-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAG                  | WFCM 2018 C45 B                | CUSIP: 95001NBC1<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $347508.16    | 0.05%             | 2051-06-16      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SE                  | WFMBS 2019 1 A1 144A           | CUSIP: 95001TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47263 | PA      | $44762.26     | 0.01%             | 2048-11-25      | Floating      | 3.94%                 | Yes           |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLE                  | WLAKE 2021 1A E 144A           | CUSIP: 96043FAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3226000 | PA      | $2988949.97   | 0.40%             | 2026-08-17      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| WILLIS ENGINE SECURITIZATION T                  | WESTF 2018 A A 144A            | CUSIP: 97064EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1009195 | PA      | $805935.67    | 0.11%             | 2043-09-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| WIND RIVER CLO LTD                              | WINDR 2016 2A BR 144A          | CUSIP: 88433BAS6<br>LEI: 254900CL04BC1Q11T078 | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $865149.30    | 0.11%             | 2031-11-01      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| WIND RIVER CLO LTD                              | WINDR 2018 2A B 144A           | CUSIP: 88434HAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1105343.20   | 0.15%             | 2030-07-15      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| YARA INTERNATIONAL ASA                          | SR UNSECURED 144A 06/26 3.8    | CUSIP: 984851AD7<br>LEI: 213800WKOUWXWFJ5Z514 | Long             | DBT              | CORP              | NO        |   1850000 | PA      | $1707209.91   | 0.23%             | 2026-06-06      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-23

**Name of Applicant:** MML Series Investment Fund II

**Signature:** /s/ Renee Hitchcock

**Name of Signer:** Renee Hitchcock

**Title:** Treasurer and CFO