# EDGAR Filing Document

**Accession Number:** 0001510599
**File Stem:** 0001510599-23-000008
**Filing Date:** 2023-3
**Character Count:** 720349
**Document Hash:** f69bbe6e338141cd15e6d2e33077887b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001510599-23-000008.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001510599-23-000008

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO Dynamic Income Fund
- **CENTRAL INDEX KEY:** 0001510599
- **IRS NUMBER:** 274580758
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22673
- **FILM NUMBER:** 23688799

**BUSINESS ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019
- **BUSINESS PHONE:** 212-739-4000

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-22673

- **c. CIK number of Registrant:** 0001510599

- **d. LEI of Registrant:** F0MWMXS5YG3P711FB044

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $8046032849.40

**Total Liabilities:** $3740379217.07

**Net Assets:** $4305653632.33

**Cash Not Reported:** $110010423.11

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 889.010600 | **1-Year:** 197458.809400 | **5-Year:** 697025.156400 | **10-Year:** -204544.618900 | **30-Year:** -250366.014000

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

- **3-Month:** 474885.292800 | **1-Year:** 424306.514900 | **5-Year:** 944766.592500 | **10-Year:** 272013.976200 | **30-Year:** 30623.923500

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 3.56%                | 1.22%                | -2.35%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-10406068.45            | $-59118940.65                              |
| Month 2  | $-6217982.73             | $73991615.86                               |
| Month 3  | $1417655.93              | $-64785250.64                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BHP3                      | BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BHP3 C 144A        | CUSIP: 05891HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7579000 | PA      | $7235007.38   | 0.17%             | 2037-03-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BHP3                      | BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BHP3 D 144A        | CUSIP: 05891HAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6728250 | PA      | $6294388.22   | 0.15%             | 2037-03-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-5                                     | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB17             | CUSIP: 05950BAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47964 | PA      | $41675.84     | 0.00%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-6                                     | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 6 CB3              | CUSIP: 059487AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     725367 | PA      | $605864.50    | 0.01%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                     | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 2A1              | CUSIP: 059475AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111390 | PA      | $90813.38     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                     | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A1              | CUSIP: 059475AQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     331286 | PA      | $29698.37     | 0.00%             | 2037-06-25      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                     | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A2              | CUSIP: 059475AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     308112 | PA      | $229456.73    | 0.01%             | 2037-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-B                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2004 B 1A1              | CUSIP: 05946XHV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     416223 | PA      | $295046.53    | 0.01%             | 2034-12-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-D                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2004 D 5A2              | CUSIP: 05946XNF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     114349 | PA      | $111127.38    | 0.00%             | 2035-01-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-A                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2005 A 5M1              | CUSIP: 05946XRH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3259901 | PA      | $3100044.89   | 0.07%             | 2035-02-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-B                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2005 B 1A1              | CUSIP: 05946XRT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1114662 | PA      | $957798.34    | 0.02%             | 2035-04-20      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 2A1              | CUSIP: 058928AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1018429 | PA      | $829596.41    | 0.02%             | 2036-03-20      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 1A1              | CUSIP: 05950PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     739581 | PA      | $699924.23    | 0.02%             | 2046-09-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR -0.15000 03/18/20-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $4767920.62   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.15000 06/17/20-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $257102.14    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 1A1              | CUSIP: 05951VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27026 | PA      | $26039.22     | 0.00%             | 2036-12-20      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.25000 03/18/20-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1199371.94   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.50000 06/17/20-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $213189.18    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.50000 09/21/22-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $15230641.74  | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 4A1              | CUSIP: 05951VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     313896 | PA      | $260073.24    | 0.01%             | 2046-10-20      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.83000 12/09/42-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2181457.77   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 2A3              | CUSIP: 05951EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85251 | PA      | $72198.67     | 0.00%             | 2047-01-20      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 1.50000 03/15/23-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $3453268.26   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA3A             | CUSIP: 059515AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000941 | PA      | $877689.97    | 0.02%             | 2037-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS MXN 4.50000 03/05/21-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $-132187.37   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS MXN 4.55000 03/01/21-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $-218549.72   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-8                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2007 8 1A1              | CUSIP: 05953LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2882952 | PA      | $2184746.44   | 0.05%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-B                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2007 B A1               | CUSIP: 05952EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5004826 | PA      | $3924391.12   | 0.09%             | 2047-04-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS MXN 7.49500 01/26/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $9021.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS MXN 7.49750 01/27/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $37154.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-E                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 8A1              | CUSIP: 05954DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     190878 | PA      | $156369.60    | 0.00%             | 2047-09-20      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS MXN 8.41000 04/06/22-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $6743.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-E                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 9A1              | CUSIP: 05954DAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     393977 | PA      | $303655.88    | 0.01%             | 2037-09-20      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-R1                                      | BANC OF AMERICA FUNDING CORPOR BAFC 2007 R1 A2 144A         | CUSIP: 05953BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2621593 | PA      | $1843600.01   | 0.04%             | 2047-08-25      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS MXN 8.66000 04/07/22-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $40283.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS MXN 8.67500 04/06/22-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $79558.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2009-R6                                      | BANC OF AMERICA FUNDING CORPOR BAFC 2009 R6 2A2 144A        | CUSIP: 05955DAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1923224 | PA      | $1724567.10   | 0.04%             | 2035-06-26      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS MXN 8.70100 04/13/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $615.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2009-R6                                      | BANC OF AMERICA FUNDING CORPOR BAFC 2009 R6 4A2 144A        | CUSIP: 05955DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8934606 | PA      | $2858685.78   | 0.07%             | 2036-07-26      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS MXN 8.73000 04/12/22-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $1406.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS MXN 8.73200 04/12/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $28.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS MXN 8.75000 04/08/22-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $13512.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R2                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R2 1C 144A         | CUSIP: 05968KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26958312 | PA      | $7018461.62   | 0.16%             | 2036-11-26      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R4                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R4 1A2 144A        | CUSIP: 05958SAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5515750 | PA      | $4618023.70   | 0.11%             | 2036-05-26      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                       | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 01/26 1.875      | CUSIP: ACI1T7K79<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   28732000 | PA      | $26454445.22  | 0.61%             | 2026-01-09      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 0.50000 06/16/21-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-22296707.02 | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 0.50000 06/16/21-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-113461.29   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 0.66000 06/21/20-6Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-61786349.75 | -1.44%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                       | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 04/25 2.625      | CUSIP: ACI1J7WJ1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   27530000 | PA      | $26742133.60  | 0.62%             | 2025-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 1.36000 02/15/22-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1410395.72   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                       | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 09/24 3.625      | CUSIP: BJSF9FII4<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   35346000 | PA      | $36008699.43  | 0.84%             | 2024-09-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 1.50000 06/21/17-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-22121235.69 | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 1.60000 11/15/21-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5109708.53  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                       | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR        | CUSIP: ACI0ZY1X9<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   33989000 | PA      | $29417230.33  | 0.68%             | 2028-01-18      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 1.75000 12/15/21-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2660376.96   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 1.75000 12/21/16-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-26678851.80 | -0.62%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 1.75000 12/21/16-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5022859.30  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                       | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/30 VAR        | CUSIP: ACI1J42S1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    8451000 | PA      | $7937736.18   | 0.18%             | 2030-01-22      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 2.25000 03/12/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4644885.84   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 2.25000 06/20/18-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-704029.14   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 2.50000 06/20/18-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $580232.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 2.50000 12/20/17-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6315780.64  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 2.75000 03/20/13-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $176808.66    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 2.75000 12/16/15-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $291393.28    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 2.75000 12/16/15-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $261186.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 2.75000 12/19/18-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-707869.84   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS USD 2.86000 01/26/18-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-64427.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                       | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 07/29 10.5       | CUSIP: ACI1DBG64<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   23185000 | PA      | $23050062.51  | 0.54%             | 2029-07-23      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS ZAR 5.87300 05/12/21-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $-743651.21   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                       | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 09/30 VAR        | CUSIP: ACI1R35P7<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    4762000 | PA      | $4496385.58   | 0.10%             | 2030-09-10      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS ZAR 7.71000 11/23/22-3Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $13846.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS GBP SONIO/0.50000 09/16/20-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $7322273.01   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/0.75000 09/21/22-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $16958835.13  | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO DEL PERU SA                                              | BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65       | CUSIP: 05971U2B2<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |    6500000 | PA      | $1598999.14   | 0.04%             | 2024-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/1.00000 12/15/21-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1187040.84  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/1.50000 12/15/21-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $15641967.45  | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/1.75000 06/15/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $19032159.60  | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/1.75000 12/21/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12623808.96  | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/2.00000 12/21/22-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-63332139.21 | -1.47%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/2.00000 12/21/22-7Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-25033267.41 | -0.58%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/2.30000 01/17/24-2Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $359944.74    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/2.35000 01/17/24-1Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1404793.80   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/2.45000 12/20/23-1Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2813491.80   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 12/21/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4892334.59  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.85000 12/21/22-16Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4195197.13  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 11.14 03/29/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-48352.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 11.16 03/29/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-31826.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 11.22 03/25/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-69313.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 11.245 03/25/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-34003.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 11.26 03/25/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-33611.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 11.35 03/28/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-34427.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 11.7 03/24/22-01/04/27 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-11362.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 11.715 03/24/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-48854.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 11.7883 08/30/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $2277028.21   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 11.87 03/22/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-95692.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 12 03/23/22-01/02/25 CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-49829.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 12.015 03/17/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-1323229.13  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 12.08 03/21/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-73771.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 12.14 03/21/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-33912.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 12.145 03/22/22-01/02/25 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-32980.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 12.16 03/21/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-65364.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCORP COMMERCIAL MORTGAGE TRUST 2017-CRE2                               | THE BANCORP COMMERCIAL MORTGAG BANC 2017 CRE2 D 144A        | CUSIP: 05972AAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4994668 | PA      | $4958088.01   | 0.12%             | 2032-08-15      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-16669.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20230214                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $110128.62    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20230118                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $17774.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20230912                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $62616.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20230113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-64994.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20230213                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-28942.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20230217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-10467.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | WINDSTREAM HOLDINGS II, LLC 8725909B2                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |    3155914 | NC      | $63887896.97  | 1.48%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                       | YAHOO (AKA: AP CORE HOLDI TL TRS BKL BPS                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-109295.23   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2006-3                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 3 1A10            | CUSIP: 05950LAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81695 | PA      | $66234.28     | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2006-3                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 3 1A9             | CUSIP: 05950LAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     673250 | PA      | $537884.07    | 0.01%             | 2036-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-L                                          | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 L 3A1             | CUSIP: 05949CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107075 | PA      | $98147.79     | 0.00%             | 2036-01-25      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-B                                          | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 B 1A1             | CUSIP: 05950TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65427 | PA      | $55069.98     | 0.00%             | 2046-10-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2007-2                                          | BANC OF AMERICA MORTGAGE SECUR BOAMS 2007 2 A6              | CUSIP: 05952FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     614875 | PA      | $465390.13    | 0.01%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                        | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                   | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    4853248 | NS      | $5095910.40   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC JR SUBORDINA REGS 12/99 VAR                    | CUSIP: ACI0SSSH6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2055000 | PA      | $2461983.23   | 0.06%             | 2023-03-15      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COMMERCIAL ASSET TRUST 2007-1                                     | BAYVIEW COMMERCIAL ASSET TRUST BAYC 2007 1 A1 144A          | CUSIP: 07325MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168094 | PA      | $152649.60    | 0.00%             | 2037-03-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| BBVA-6 FTPYME FTA 6                                                       | BBVA 6 FTPYME FTA BBVAP 6 C REGS                            | CUSIP: E22473AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | ES        |     563207 | PA      | $361703.86    | 0.01%             | 2046-03-22      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR11                                                  | BCAP LLC TRUST BCAP 2009 RR11 7A2 144A                      | CUSIP: 05532FAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2708403 | PA      | $1887938.99   | 0.04%             | 2036-02-26      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR14                                                  | BCAP LLC TRUST BCAP 2009 RR14 11A2 144A                     | CUSIP: 05532LBX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6853102 | PA      | $5388437.25   | 0.13%             | 2037-04-26      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR14                                                  | BCAP LLC TRUST BCAP 2009 RR14 2A2 144A                      | CUSIP: 05532LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     418721 | PA      | $362302.50    | 0.01%             | 2036-07-26      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR14                                                  | BCAP LLC TRUST BCAP 2009 RR14 9A3 144A                      | CUSIP: 05532LBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     423041 | PA      | $327779.38    | 0.01%             | 2035-07-26      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR1                                                   | BCAP LLC TRUST BCAP 2010 RR1 1A4 144A                       | CUSIP: 05532TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     847675 | PA      | $670525.45    | 0.02%             | 2037-03-26      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR11                                                  | BCAP LLC TRUST BCAP 2010 RR11 5A3 144A                      | CUSIP: 05533JBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4703686 | PA      | $3827531.72   | 0.09%             | 2037-03-27      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR2                                                   | BCAP LLC TRUST BCAP 2010 RR2 2A2 144A                       | CUSIP: 05532VAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5628956 | PA      | $3428436.38   | 0.08%             | 2035-12-26      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR2                                                   | BCAP LLC TRUST BCAP 2010 RR2 7A4 144A                       | CUSIP: 05532VBR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2193695 | PA      | $1830448.87   | 0.04%             | 2036-06-26      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR3                                                   | BCAP LLC TRUST BCAP 2010 RR3 14A6 144A                      | CUSIP: 05532WGU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2299612 | PA      | $1714735.92   | 0.04%             | 2037-08-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR3                                                   | BCAP LLC TRUST BCAP 2010 RR3 7A6 144A                       | CUSIP: 05532WDF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2410207 | PA      | $2135320.57   | 0.05%             | 2035-11-26      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR4                                                   | BCAP LLC TRUST BCAP 2010 RR4 6A12 144A                      | CUSIP: 05532XAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4307082 | PA      | $2671446.19   | 0.06%             | 2035-12-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR7                                                   | BCAP LLC TRUST BCAP 2010 RR7 1610 144A                      | CUSIP: 05533DGV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12140339 | PA      | $9465637.56   | 0.22%             | 2047-02-26      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR7                                                   | BCAP LLC TRUST BCAP 2010 RR7 2A13 144A                      | CUSIP: 05533DAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3536283 | PA      | $3272243.64   | 0.08%             | 2045-07-26      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR10-I                                                | BCAP LLC TRUST BCAP 2012 RR10 1A2 144A                      | CUSIP: 05541HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8774267 | PA      | $7368826.59   | 0.17%             | 2037-02-26      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR12                                                  | BCAP LLC TRUST BCAP 2012 RR12 3A3 144A                      | CUSIP: 05542BAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1753959 | PA      | $1501077.29   | 0.03%             | 2037-06-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR3                                                   | BCAP LLC TRUST BCAP 2012 RR3 2A8 144A                       | CUSIP: 05539BAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1677135 | PA      | $1491194.31   | 0.03%             | 2037-05-26      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR1                                                   | BCAP LLC TRUST BCAP 2013 RR1 3A4 144A                       | CUSIP: 05490BAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1731784 | PA      | $1313831.52   | 0.03%             | 2037-10-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR11                                                  | BCAP LLC TRUST BCAP 2013 RR11 4A2 144A                      | CUSIP: 05542XAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4128079 | PA      | $3204103.35   | 0.07%             | 2036-05-26      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR12                                                  | BCAP LLC TRUST BCAP 2013 RR12 1A5 144A                      | CUSIP: 05490CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5380417 | PA      | $4703812.14   | 0.11%             | 2035-05-26      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2015-RR6                                                   | BCAP LLC TRUST BCAP 2015 RR6 2A2 144A                       | CUSIP: 05490QAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19466496 | PA      | $4944281.65   | 0.11%             | 2036-01-26      | Variable      | 7.31%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                       | BCP TRUST BCP 2021 330N E 144A                              | CUSIP: 05553BAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11100000 | PA      | $9141456.06   | 0.21%             | 2038-06-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-6                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 1A1             | CUSIP: 07384MW40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37118 | PA      | $33260.71     | 0.00%             | 2034-09-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-6                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 3A              | CUSIP: 07384MW81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12349 | PA      | $10608.38     | 0.00%             | 2034-09-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| COMPEER FINANCIAL ACA                                                     | COMPEER FINANCIAL ACA JR SUBORDINA 144A VAR                 | CUSIP: 20453QAA0<br>LEI: 54930020HTACTODKHT04 | Long             | EP               | CORP              | US        |    1900000 | NS      | $1889075.00   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-4                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 4 1A1             | CUSIP: 073882AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143473 | PA      | $126521.55    | 0.00%             | 2036-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-4                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 4 22A1            | CUSIP: 07401CAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1377884 | PA      | $1236383.06   | 0.03%             | 2047-06-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-5                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 5 1A1             | CUSIP: 07386YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     178011 | PA      | $146414.42    | 0.00%             | 2047-08-25      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1           | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     327847 | PA      | $290670.88    | 0.01%             | 2036-02-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-2                                              | BEAR STEARNS ALT A TRUST BALTA 2005 2 1M2                   | CUSIP: 07386HQT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5827400 | PA      | $6584583.95   | 0.15%             | 2035-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                              | BEAR STEARNS ALT A TRUST BALTA 2005 3 1A1                   | CUSIP: 07386HRU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     156835 | PA      | $134721.68    | 0.00%             | 2035-04-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION OIL SERVICES HOLDING SA                                     | CONSTELLATION OIL B SHS EQUITY EQTYMR935                    | CUSIP: 944PZA905<br>LEI: 5493005YJTU769NW5I10 | Long             | EC               | CORP              | US        |     252651 | NS      | $27386.36     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                           | BEAR STEARNS ALT A TRUST BALTA 2004 9 1A1                   | CUSIP: 07386HKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     192736 | PA      | $184151.26    | 0.00%             | 2034-09-25      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-1                                           | BEAR STEARNS ALT A TRUST BALTA 2005 1 M2                    | CUSIP: 07386HQJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1090847 | PA      | $998113.78    | 0.02%             | 2035-01-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                          | BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1                 | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4044999 | PA      | $5219853.12   | 0.12%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                           | BEAR STEARNS ALT A TRUST BALTA 2005 4 22A1                  | CUSIP: 07386HTP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148434 | PA      | $138922.10    | 0.00%             | 2035-05-25      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                           | BEAR STEARNS ALT A TRUST BALTA 2005 5 26A1                  | CUSIP: 07386HUN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     224854 | PA      | $162421.37    | 0.00%             | 2035-07-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                           | BEAR STEARNS ALT A TRUST BALTA 2005 7 26A1                  | CUSIP: 07386HVX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7514244 | PA      | $3147478.54   | 0.07%             | 2035-09-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                           | BEAR STEARNS ALT A TRUST BALTA 2005 9 25A1                  | CUSIP: 07386HYF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30368 | PA      | $22249.63     | 0.00%             | 2035-11-25      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                           | BEAR STEARNS ALT A TRUST BALTA 2005 9 26A1                  | CUSIP: 07386HYH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10832485 | PA      | $7268687.06   | 0.17%             | 2035-11-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                           | BEAR STEARNS ALT A TRUST BALTA 2006 2 24A1                  | CUSIP: 07386HG39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1355215 | PA      | $814375.63    | 0.02%             | 2036-03-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                           | BEAR STEARNS ALT A TRUST BALTA 2006 3 23A1                  | CUSIP: 07386HL66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     343975 | PA      | $248403.71    | 0.01%             | 2036-05-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                           | BEAR STEARNS ALT A TRUST BALTA 2006 5 1A1                   | CUSIP: 073873AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14990616 | PA      | $12274298.24  | 0.29%             | 2036-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                           | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                   | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     295352 | PA      | $157177.72    | 0.00%             | 2036-08-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                           | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1                   | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1715240 | PA      | $796374.72    | 0.02%             | 2036-11-25      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-7                                           | BEAR STEARNS ALT A TRUST BALTA 2006 7 1AE4 144A             | CUSIP: 073875BJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3475250 | PA      | $1957755.53   | 0.05%             | 2046-12-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                           | BEAR STEARNS ALT A TRUST BALTA 2006 8 1A1                   | CUSIP: 07387QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1227503 | PA      | $1022759.04   | 0.02%             | 2046-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                           | BEAR STEARNS ALT A TRUST BALTA 2006 8 2A1                   | CUSIP: 07387QAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4264774 | PA      | $3029493.19   | 0.07%             | 2046-08-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                           | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A2                   | CUSIP: 07387QAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2692834 | PA      | $2383978.16   | 0.06%             | 2034-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                          | BEAR STEARNS ALT A TRUST BALTA 2006 R1 4E22                 | CUSIP: 073866BH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   52160444 | PA      | $26774268.71  | 0.62%             | 2036-07-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2007-2                                           | BEAR STEARNS ALT A TRUST BALTA 2007 2 2A1                   | CUSIP: 073870AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4612402 | PA      | $3445132.16   | 0.08%             | 2037-04-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CREDIT SUISSE GROUP AG REG COMMON STOCK CHF.04              | CUSIP: 717158901<br>LEI: 549300506SI9CRFV9Z86 | Long             | EC               | CORP              | CH        |     277457 | NS      | $829385.33    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2007-AC2                     | BEAR STEARNS ASSET BACKED SECU BSABS 2007 AC2 A2            | CUSIP: 073854AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8915310 | PA      | $7382206.58   | 0.17%             | 2037-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE11                      | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE11 M3           | CUSIP: 073879PA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17198457 | PA      | $16538495.29  | 0.38%             | 2034-12-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AC1                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC1 22A2          | CUSIP: 07387UCY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     344759 | PA      | $199213.81    | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE10                      | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE10 22A          | CUSIP: 07389RAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9767725 | PA      | $13108070.94  | 0.30%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 21A2          | CUSIP: 073888BF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76341 | PA      | $75343.63     | 0.00%             | 2036-07-25      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD4                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD4 2A1           | CUSIP: 07389NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     190307 | PA      | $168150.48    | 0.00%             | 2036-10-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1                       | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 22A1          | CUSIP: 07389QAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2549365 | PA      | $1532468.57   | 0.04%             | 2036-10-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2001-3                                       | BEAR STEARNS ASSET BACKED SECU BSABS 2001 3 M1              | CUSIP: 07384YBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1413 | PA      | $2476.42      | 0.00%             | 2032-10-27      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                       | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A1            | CUSIP: 073879U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     147700 | PA      | $142463.44    | 0.00%             | 2034-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                       | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A2            | CUSIP: 073879V21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50496 | PA      | $48705.44     | 0.00%             | 2034-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MORTGAGE FUNDING TRUST 2006-AC1                              | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AC1 A1              | CUSIP: 07400XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     398328 | PA      | $399237.75    | 0.01%             | 2036-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 MORTGAGE TRUST                                                | BMO 2022 C1 MORTGAGE TRUST BMO 2022 C1 111D 144A            | CUSIP: 05609MCQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7850000 | PA      | $6425284.66   | 0.15%             | 2055-02-17      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| DESARROLLADORA HOMEX SA DE CV (AKA: HOMEX)                                | DESARROLLADORA HOMEX SAB DE COMMON STOCK                    | CUSIP: B01RQ2907<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |     719113 | NS      | $996.38       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOI FINANCE BV                                                            | BOI FINANCE BV 02/27 7.5                                    | CUSIP: ACI23L5Y2<br>LEI: 724500ZH3H2YACBUNF38 | Long             | DBT              | MUN               | NL        |   10000000 | PA      | $8644950.10   | 0.20%             | 2027-02-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTGE SEC BCM 2000 A                                    | BOMBARDIER CAPITAL MORTGAGE SE BCM 2000 A A3                | CUSIP: 09774XBP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3548567 | PA      | $532860.69    | 0.01%             | 2030-06-15      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2020-1 CLASS A PASS THROUGH TRUST                         | BRITISH AIR 20 1 A PTT PASS THRU CE 144A 05/34 4.25         | CUSIP: 11044MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      53720 | PA      | $48206.63     | 0.00%             | 2034-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                             | BSST MORTGAGE TRUST BSST 2021 1818 E 144A                   | CUSIP: 07403PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $4842861.60   | 0.11%             | 2036-03-15      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| BUFFALO THUNDER DEVELOPMENT AUTHORITY                                     | BUFFALO THUNDER DEV AUTH 11/29 0                            | CUSIP: 119818AD4<br>LEI: 54930030AKDVPHKOL630 | Long             | DBT              | CORP              | US        |    2482665 | PA      | $1665.45      | 0.00%             | 2029-11-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-MC                                      | BX TRUST BX 2021 MC F 144A                                  | CUSIP: 05608GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5398464.60   | 0.13%             | 2034-04-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-MC                                      | BX TRUST BX 2021 MC G 144A                                  | CUSIP: 05608GAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3433216.80   | 0.08%             | 2034-04-15      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2017-SLCT                                                        | BX TRUST BX 2017 SLCT E 144A                                | CUSIP: 05607DAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11276646 | PA      | $11108648.64  | 0.26%             | 2034-07-15      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2018-BILT 2018-BILT                                              | BX TRUST BX 2018 BILT F 144A                                | CUSIP: 05606JAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $5173434.20   | 0.12%             | 2030-05-15      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019-ATL                                                         | BX TRUST BX 2019 ATL E 144A                                 | CUSIP: 056058AN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1010000 | PA      | $941244.45    | 0.02%             | 2036-10-15      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019-ATL                                                         | BX TRUST BX 2019 ATL F 144A                                 | CUSIP: 056058AQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7992500 | PA      | $7329184.04   | 0.17%             | 2036-10-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| BXP TRUST 2021-601L                                                       | BXP TRUST BXP 2021 601L D 144A                              | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $1885256.40   | 0.04%             | 2044-01-15      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| C-BASS CBO XVI CORP 16A                                                   | C BASS LTD CBCL 16A A 144A                                  | CUSIP: 12498YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   98372552 | PA      | $1235362.51   | 0.03%             | 2041-09-06      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A                          | CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 1A INC 144A        | CUSIP: 14311CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2900000 | PA      | $870359.34    | 0.02%             | 2031-04-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORPORATION                                                      | CARNIVAL CORPORATION EUR TERM LOAN B                        | CUSIP: P2121YAP3<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | LON              | CORP              | PA        |   22503466 | PA      | $23219458.13  | 0.54%             | 2025-06-30      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                      | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A5            | CUSIP: 14454AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     633564 | PA      | $516747.89    | 0.01%             | 2035-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                      | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A4            | CUSIP: 144527AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13201000 | PA      | $10189276.34  | 0.24%             | 2036-12-26      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                | CARVANA CO COMPANY GUAR 144A 05/30 10.25                    | CUSIP: 146869AJ1<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |   18300000 | PA      | $8633088.32   | 0.20%             | 2030-05-01      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| CASINO GUICHARD PERRACHON SA                                              | CASINO GUICHARD PERRACHON SA 2021 EUR TERM LOAN             | CUSIP: 944WEWII6<br>LEI: 969500VHL8F83GBL6L29 | Long             | LON              | CORP              | FR        |    3200000 | PA      | $2914619.88   | 0.07%             | 2025-08-31      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| CASSINI SAS                                                               | COMEXPOSIUM 2019 EUR 1ST LIEN TLB                           | CUSIP: 945AYZII4<br>LEI: 9695009FFM30CUZ8FO85 | Long             | LON              | CORP              | FR        |   18769557 | PA      | $16843712.08  | 0.39%             | 2026-03-28      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| CASSINI SAS                                                               | COMEXPOSIUM 2019 EUR REVOLVER                               | CUSIP: 945BLZII6<br>LEI: 9695009FFM30CUZ8FO85 | Long             | LON              | CORP              | FR        |    7873922 | PA      | $6953624.39   | 0.16%             | 2025-03-28      | Floating      | 5.45%                 | No            |                  3 | On Loan: No      |
| CAVENDISH SQUARE FUNDING PLC                                              | CAVENDISH SQUARE FUNDING PLC CAVSQ 1 C REGS                 | CUSIP: B0X5X3II1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     557071 | PA      | $595570.52    | 0.01%             | 2055-02-11      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| CBA COMMERCIAL SMALL BALANCE CMM 2006-2A                                  | CBS COMMERCIAL SMALL BALANCE C CBAC 2006 2A A 144A          | CUSIP: 14983CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     367478 | PA      | $338342.50    | 0.01%             | 2039-01-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| CENGAGE LEARNING INC                                                      | CENGAGE LEARNING INC 2021 TERM LOAN B                       | CUSIP: 15134NAF3<br>LEI: 549300BYGM0FWUSVXJ88 | Long             | LON              | CORP              | US        |    1587411 | PA      | $1431400.66   | 0.03%             | 2026-07-14      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                                    | CGG SA SR SECURED 144A 04/27 7.75                           | CUSIP: ACI1WM066<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |   38535000 | PA      | $33850593.49  | 0.79%             | 2027-04-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                                    | CGG SA SR SECURED 144A 04/27 8.75                           | CUSIP: 12531TAF6<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |   56461000 | PA      | $45225577.75  | 1.05%             | 2027-04-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A2                                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 3A1            | CUSIP: 16162WQH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3676463 | PA      | $3124935.81   | 0.07%             | 2036-01-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                       | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 12A3           | CUSIP: 161630BZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1055270 | PA      | $963641.96    | 0.02%             | 2037-03-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S2                                       | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S2 1A4            | CUSIP: 16163EAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     523140 | PA      | $284147.03    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-TM1                                  | COUNTRYWIDE HOME LOANS CWHL 2006 TM1 A1                     | CUSIP: 126694U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24893971 | PA      | $15885890.65  | 0.37%             | 2046-03-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                          | CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8            | CUSIP: 12543DBC3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    4179000 | PA      | $3813337.50   | 0.09%             | 2026-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                          | CHS/COMMUNITY HEALTH SYS SR SECURED 144A 05/30 5.25         | CUSIP: 12543DBM1<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $2569795.31   | 0.06%             | 2030-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2014-2RA                                                 | CIFC FUNDING LTD CIFC 2014 2RA INC 144A                     | CUSIP: 125475AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3390000 | PA      | $778633.30    | 0.02%             | 2030-04-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                              | CIFI HOLDINGS GROUP COMPANY GUAR REGS 04/27 4.375           | CUSIP: ACI1TXLK2<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |     400000 | PA      | $106220.49    | 0.00%             | 2027-04-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                              | CIFI HOLDINGS GROUP COMPANY GUAR REGS 05/26 5.25            | CUSIP: ACI1SPDG8<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $52861.63     | 0.00%             | 2026-05-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                              | CIFI HOLDINGS GROUP COMPANY GUAR REGS 08/26 4.45            | CUSIP: ACI1XQPZ5<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |     300000 | PA      | $79293.38     | 0.00%             | 2026-08-17      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-TBR                              | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2018 TBR F 144A         | CUSIP: 17326MAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8665000 | PA      | $8115106.10   | 0.19%             | 2036-12-15      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MTGE TRUST 2007-C6                                   | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJ              | CUSIP: 17311QBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4947402 | PA      | $2441542.91   | 0.06%             | 2049-12-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MTGE TRUST 2007-C6                                   | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJFX 144A       | CUSIP: 17311QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3779277 | PA      | $1865073.41   | 0.04%             | 2049-12-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF1 A2D            | CUSIP: 17307G4J4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1495654 | PA      | $723044.46    | 0.02%             | 2036-03-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2C            | CUSIP: 17309BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     381553 | PA      | $141688.16    | 0.00%             | 2036-05-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2E            | CUSIP: 17309BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2219230 | PA      | $823207.03    | 0.02%             | 2036-05-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-AR5                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR5 2A1A           | CUSIP: 17309FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1979954 | PA      | $1197511.52   | 0.03%             | 2036-07-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-7                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 3A2 144A         | CUSIP: 17315MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4115227 | PA      | $2203921.31   | 0.05%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-7                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 5A2 144A         | CUSIP: 17315MAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1909013 | PA      | $1055944.97   | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-9                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 9 3A2 144A         | CUSIP: 17315XAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     912072 | PA      | $539624.87    | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2015-9                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 9 2A2 144A         | CUSIP: 17324MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5548850 | PA      | $5032437.72   | 0.12%             | 2036-02-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2015-5                                  | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 5 3A2 144A         | CUSIP: 17323XAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6114534 | PA      | $5539952.46   | 0.13%             | 2034-08-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 2A1            | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99564 | PA      | $90527.23     | 0.00%             | 2036-03-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC2                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B            | CUSIP: 17309TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11140757 | PA      | $8012532.80   | 0.19%             | 2036-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA            | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2325735 | PA      | $2000920.50   | 0.05%             | 2037-09-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-6                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 6 1A1A             | CUSIP: 17312VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2081725 | PA      | $1723016.52   | 0.04%             | 2037-03-25      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A3B           | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     451636 | PA      | $312057.31    | 0.01%             | 2037-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A       | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11763409 | PA      | $6632176.03   | 0.15%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B           | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17881484 | PA      | $7477791.53   | 0.17%             | 2036-12-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2C           | CUSIP: 17311BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13101094 | PA      | $5498638.09   | 0.13%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A1A           | CUSIP: 17311WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     175505 | PA      | $165435.84    | 0.00%             | 2037-03-25      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A3A           | CUSIP: 17311WAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     499320 | PA      | $472901.30    | 0.01%             | 2037-03-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR5                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR5 2A2A           | CUSIP: 17311LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     369354 | PA      | $308837.12    | 0.01%             | 2037-04-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR8                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR8 1A2A           | CUSIP: 17313FAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1632439 | PA      | $856066.52    | 0.02%             | 2037-08-25      | Floating      | 3.12%                 | No            |                  3 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-SHL1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 SHL1 M1 144A       | CUSIP: 17312WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4267000 | PA      | $3494278.30   | 0.08%             | 2046-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-8                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 8 1A3A             | CUSIP: 17307GE61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1215460 | PA      | $1128721.85   | 0.03%             | 2035-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-9                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 9 21A1             | CUSIP: 17307GK98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     227646 | PA      | $205473.91    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3                                  | CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ                 | CUSIP: 14986DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1468655 | PA      | $1295089.92   | 0.03%             | 2048-10-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| CITY OF BUENOS AIRES                                                      | CITY OF BUENOS AIRES UNSECURED 02/28 VAR                    | CUSIP: ACI0Z1129<br>LEI: 5299007MC8RF52X0ON96 | Long             | DBT              | MUN               | AR        |  155766380 | PA      | $483139.46    | 0.01%             | 2028-02-22      | Floating      | 53.21%                | No            |                  2 | On Loan: No      |
| CITY OF CHICAGO                                                           | CHICAGO IL CHI 01/29 FIXED 7.045                            | CUSIP: 167486M89<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |      60000 | PA      | $60000.00     | 0.00%             | 2029-01-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| CITY OF CHICAGO                                                           | CHICAGO IL CHI 01/29 FIXED 7.045                            | CUSIP: 167486M97<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |     420000 | PA      | $426666.20    | 0.01%             | 2029-01-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| CITY OF CHICAGO                                                           | CHICAGO IL CHI 01/42 FIXED 7.75                             | CUSIP: 167486D22<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |     165000 | PA      | $167764.49    | 0.00%             | 2042-01-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CLAVEAU RE LTD                                                            | CLAVEAU RE LTD UNSECURED 144A 07/28 VAR                     | CUSIP: 182896AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    8500000 | PA      | $8324900.00   | 0.19%             | 2028-07-08      | Floating      | 17.25%                | No            |                  2 | On Loan: No      |
| COLOGIX CANADIAN ISSUER LP 2022-1CAN                                      | COLOGIX DATA CENTERS ISSUER LL CLGIX 2022 1CAN C 144A       | CUSIP: 19521DAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    2000000 | PA      | $1352333.83   | 0.03%             | 2052-01-25      | Fixed         | 7.74%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                              | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR F 144A           | CUSIP: 12564NAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17200000 | PA      | $15661074.72  | 0.36%             | 2038-11-15      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| COLT 2022-5 MORTGAGE LOAN TRUST                                           | COLT FUNDING LLC COLT 2022 5 M1 144A                        | CUSIP: 19688LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $4171312.18   | 0.10%             | 2067-03-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| COMETE HOLDING                                                            | COMEXPOSIUM 2019 EUR TERM LOAN B                            | CUSIP: 964NDFII9<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |   45356521 | PA      | $40702727.48  | 0.95%             | 2026-03-28      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                             | COMM MORTGAGE TRUST COMM 2021 2400 E 144A                   | CUSIP: 20048FAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10004200 | PA      | $8254615.48   | 0.19%             | 2038-12-15      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                             | COMM MORTGAGE TRUST COMM 2021 2400 F 144A                   | CUSIP: 20048FAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $3925858.25   | 0.09%             | 2038-12-15      | Floating      | 9.32%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                             | COMM MORTGAGE TRUST COMM 2021 2400 G 144A                   | CUSIP: 20048FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3360000 | PA      | $2436799.01   | 0.06%             | 2038-12-15      | Floating      | 10.32%                | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1                                   | COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM             | CUSIP: 20173WAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6071079 | PA      | $972131.54    | 0.02%             | 2049-12-10      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| COMMRCL MRTG LEASE-BACKED CRT 2001-CMLB                                   | COMMERCIAL MORTGAGE LEASE BACK CMLBC 2001 CMLB H 144A       | CUSIP: 201736AM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5448791 | PA      | $5283734.73   | 0.12%             | 2031-06-20      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R01                              | FANNIE MAE   CAS CAS 2021 R01 1B2 144A                      | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3600000 | PA      | $3282439.32   | 0.08%             | 2041-10-25      | Floating      | 9.93%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R03                              | FANNIE MAE   CAS CAS 2021 R03 1B1 144A                      | CUSIP: 20754AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2600000 | PA      | $2405900.12   | 0.06%             | 2041-12-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R03                              | FANNIE MAE   CAS CAS 2021 R03 1B2 144A                      | CUSIP: 20754AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1200000 | PA      | $1027084.68   | 0.02%             | 2041-12-25      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R04                              | FANNIE MAE   CAS CAS 2022 R04 1B1 144A                      | CUSIP: 20753YAF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1400000 | PA      | $1404493.86   | 0.03%             | 2042-03-25      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R04                              | FANNIE MAE   CAS CAS 2022 R04 1B2 144A                      | CUSIP: 20753YAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3400000 | PA      | $3288780.56   | 0.08%             | 2042-03-25      | Floating      | 13.43%                | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2002-1                                         | CONSECO FINANCE SECURITIZATION CNF 2002 1 M2                | CUSIP: 20846QJT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6480000 | PA      | $5905065.89   | 0.14%             | 2033-12-01      | Fixed         | 9.55%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2002-2                                         | CONSECO FINANCE SECURITIZATION CNF 2002 2 M2                | CUSIP: 20846QJZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9787036 | PA      | $8902658.64   | 0.21%             | 2033-03-01      | Variable      | 9.16%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-2                                     | CONSECO FINANCE SECURITIZATION CNF 2000 2 A5                | CUSIP: 20846QCQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5630274 | PA      | $1172726.43   | 0.03%             | 2030-12-01      | Fixed         | 8.85%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-3                                     | CONSECO FINANCE SECURITIZATION CNF 2000 3 A 144A            | CUSIP: 20846QDJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4584001 | PA      | $1292159.42   | 0.03%             | 2030-12-01      | Variable      | 8.26%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-5                                     | CONSECO FINANCE SECURITIZATION CNF 2000 5 A6                | CUSIP: 20846QEQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1461814 | PA      | $471673.47    | 0.01%             | 2031-05-01      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATIONS CORP.                                     | CONSECO FINANCE SECURITIZATION CNF 2000 6 A5                | CUSIP: 20846QFQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     360955 | PA      | $355187.29    | 0.01%             | 2031-09-01      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCIAL SECURITIZATIONS 2000-1                                  | CONSECO FINANCE SECURITIZATION CNF 2000 1 A5                | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2914061 | PA      | $667678.01    | 0.02%             | 2029-09-01      | Fixed         | 8.06%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION OIL SERVICES HOLDING SA                                     | CONSTELLATION OIL SA SR SECURED 12/26 3                     | CUSIP: 21038MAM5<br>LEI: 5493005YJTU769NW5I10 | Long             | DBT              | CORP              | LU        |     225863 | PA      | $133682.66    | 0.00%             | 2026-12-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                              | CORESTATE CAPITAL HOLD SR SECURED 04/23 8                   | CUSIP: ACI2BNCN5<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |     400000 | PA      | $428432.89    | 0.01%             | 2023-04-15      | Fixed         | 8.00%                 | Yes           |                  3 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                              | CORESTATE CAPITAL HOLD SR UNSECURED REGS 04/23 3.5          | CUSIP: ACI11QWM1<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |    1300000 | PA      | $217827.48    | 0.01%             | 2023-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CORK STREET CLO DESIGNATED ACTIVITY CO 1A                                 | CORK STREET CLO DESIGNATED ACT CRKST 1A SUB 144A            | CUSIP: ACI0QPJC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1599267 | PA      | $501624.33    | 0.01%             | 2028-11-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CORONADO CDO LTD 1A                                                       | CORONADO CDO LTD CORON 1A B1 144A                           | CUSIP: 21976RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   24106166 | PA      | $11330331.73  | 0.26%             | 2038-09-04      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| CORONADO CDO LTD 1A                                                       | CORONADO CDO LTD CORON 1A B2 144A                           | CUSIP: 21976RAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3819412 | PA      | $2022707.25   | 0.05%             | 2038-09-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CORSAIR INTERNATIONAL LIMITED                                             | CORSAIR INTERNATIONAL SECURED 144A 01/29 VAR                | CUSIP: ACI236434<br>LEI: 213800F3PS68ENYG4O41 | Long             | DBT              | CORP              | JE        |    2100000 | PA      | $2225464.49   | 0.05%             | 2029-01-28      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| CORSAIR INTERNATIONAL LIMITED                                             | CORSAIR INTERNATIONAL UNSECURED 144A 01/27 VAR              | CUSIP: ACI236343<br>LEI: 213800F3PS68ENYG4O41 | Long             | DBT              | CORP              | JE        |    4900000 | PA      | $5205863.49   | 0.12%             | 2027-01-28      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| COSAINT RE PTE LTD                                                        | COSAINT RE PTE LTD BONDS 144A 04/28 VAR                     | CUSIP: 22112CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     600000 | PA      | $486000.00    | 0.01%             | 2028-04-03      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                   | COUNTRY GARDEN HLDGS SR SECURED REGS 01/24 8                | CUSIP: G24524AV5<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $155030.68    | 0.00%             | 2024-01-27      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                   | COUNTRY GARDEN HLDGS SR SECURED REGS 07/26 2.7              | CUSIP: ACI1TXND6<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $114503.89    | 0.00%             | 2026-07-12      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                   | COUNTRY GARDEN HLDGS SR SECURED REGS 08/30 4.8              | CUSIP: ACI1PP9T8<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $106877.71    | 0.00%             | 2030-08-06      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN AGCREDIT CORPORATION                                             | AMER AGCREDIT ACA JR SUBORDINA 144A VAR                     | CUSIP: 02369GAA3<br>LEI: N/A                  | Long             | EP               | CORP              | US        |   10000000 | NS      | $8454434.00   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                   | COUNTRY GARDEN HLDGS SR SECURED REGS 09/25 6.15             | CUSIP: ACI1FGXS4<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    1000000 | PA      | $656772.58    | 0.02%             | 2025-09-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                   | COUNTRY GARDEN HLDGS SR SECURED REGS 10/25 3.125            | CUSIP: ACI1S6K23<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    1200000 | PA      | $736320.10    | 0.02%             | 2025-10-22      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                   | COUNTRY GARDEN HLDGS SR SECURED REGS 10/30 3.875            | CUSIP: ACI1S6R75<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     800000 | PA      | $425128.82    | 0.01%             | 2030-10-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LN TRUST 2005-1CB                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 2A1           | CUSIP: 12667F2Q7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     285539 | PA      | $140482.68    | 0.00%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A7          | CUSIP: 02146XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     499929 | PA      | $231110.46    | 0.01%             | 2036-12-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 2A5          | CUSIP: 02146XAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153376 | PA      | $67547.71     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-41CB                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 41CB 1A4          | CUSIP: 02149CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7951091 | PA      | $4495325.24   | 0.10%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A4C          | CUSIP: 23242GAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     109830 | PA      | $80545.82     | 0.00%             | 2046-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-24                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 24 1A1            | CUSIP: 12667GNS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5276605 | PA      | $4313180.91   | 0.10%             | 2035-07-20      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 48T1 A5           | CUSIP: 12668AFL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     336167 | PA      | $211771.49    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 2A1            | CUSIP: 12668ACP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82201 | PA      | $73466.61     | 0.00%             | 2035-11-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 53T2 2A2          | CUSIP: 12668AKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1469455 | PA      | $924862.29    | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 1A1            | CUSIP: 12668AGN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8188708 | PA      | $7290664.24   | 0.17%             | 2035-11-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 60T1 A8           | CUSIP: 12668AUX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     702120 | PA      | $399104.22    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 1X2            | CUSIP: 12668ATS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8351140 | PA      | $363881.30    | 0.01%             | 2035-12-25      | Floating      | 0.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2X1            | CUSIP: 12668ATW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3236491 | PA      | $266020.34    | 0.01%             | 2035-12-25      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-64CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 64CB 2A1          | CUSIP: 12668AA62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     324131 | PA      | $66832.70     | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-73CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 73CB 1A8          | CUSIP: 12668AU52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64803 | PA      | $59806.01     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-73CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 73CB 2A3          | CUSIP: 12668AV51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132686 | PA      | $76671.28     | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J7                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J7 1A6            | CUSIP: 12667GF73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     714502 | PA      | $396728.65    | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-15CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 15CB A1           | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     310843 | PA      | $155915.31    | 0.00%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 20CB A5           | CUSIP: 02147MAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7088445 | PA      | $1112841.13   | 0.03%             | 2036-07-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 2A5          | CUSIP: 02146VAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8382264 | PA      | $2927358.29   | 0.07%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-40T1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 40T1 1A2          | CUSIP: 02148KAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     907114 | PA      | $629157.43    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A7          | CUSIP: 02149JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1677568 | PA      | $649714.20    | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-4CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 4CB 1A6           | CUSIP: 12668BPS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     185605 | PA      | $101655.76    | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A4            | CUSIP: 12668BMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     486647 | PA      | $240503.64    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 1A1           | CUSIP: 12668BRW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2701069 | PA      | $2230898.46   | 0.05%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 1A5           | CUSIP: 12668BSA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     876848 | PA      | $724216.53    | 0.02%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 2A6           | CUSIP: 12668BSL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1185633 | PA      | $370432.57    | 0.01%             | 2036-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-9T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 9T1 A3            | CUSIP: 12668BVC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     144193 | PA      | $64746.73     | 0.00%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA14                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA14 3A1          | CUSIP: 02146SAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2455102 | PA      | $2034010.19   | 0.05%             | 2046-11-25      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA21                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA21 A1           | CUSIP: 23245QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     415450 | PA      | $329871.63    | 0.01%             | 2047-03-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC1 1A1           | CUSIP: 12668BJD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8134218 | PA      | $8009650.10   | 0.19%             | 2036-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A27          | CUSIP: 02150GBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     659900 | PA      | $678372.09    | 0.02%             | 2037-05-25      | Floating      | 12.67%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-26R                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 26R A1            | CUSIP: 02152JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5107942 | PA      | $1135892.50   | 0.03%             | 2037-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A8           | CUSIP: 02149VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3718729 | PA      | $1877599.45   | 0.04%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 1A31          | CUSIP: 02150EBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1554913 | PA      | $859137.41    | 0.02%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 7T2 A9            | CUSIP: 02147BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5233106 | PA      | $2465706.29   | 0.06%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-AL1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 AL1 A1            | CUSIP: 02150NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     528746 | PA      | $422377.08    | 0.01%             | 2037-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 3A1           | CUSIP: 02150QAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82785 | PA      | $69137.48     | 0.00%             | 2037-06-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY6                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY6 A1            | CUSIP: 02151JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     875936 | PA      | $705201.58    | 0.02%             | 2047-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-J1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 J1 2A3            | CUSIP: 02149MAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2584688 | PA      | $1053493.38   | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-J1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 J1 2A8            | CUSIP: 02149MAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8388533 | PA      | $3419083.69   | 0.08%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA4                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA4 A2            | CUSIP: 02150DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5082988 | PA      | $2771741.92   | 0.06%             | 2047-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A2            | CUSIP: 02150PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5944944 | PA      | $4630909.61   | 0.11%             | 2037-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-41                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 41 2A2            | CUSIP: 12667GS20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2511941 | PA      | $1490340.13   | 0.03%             | 2035-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A3           | CUSIP: 12667GLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61929 | PA      | $58241.16     | 0.00%             | 2035-07-25      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY10 2A1          | CUSIP: 12668BUH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2700618 | PA      | $2368640.82   | 0.06%             | 2036-05-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A4           | CUSIP: 02147DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5733109 | PA      | $4926648.44   | 0.11%             | 2046-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 1A15          | CUSIP: 12668ABM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122666 | PA      | $88135.32     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 1A9           | CUSIP: 12667G4Q3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     502385 | PA      | $344885.82    | 0.01%             | 2035-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J11 6A1           | CUSIP: 12668AJU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72557 | PA      | $67303.45     | 0.00%             | 2032-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J1 1A3            | CUSIP: 12668BJZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     839132 | PA      | $603270.40    | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A4             | CUSIP: 23245LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     472579 | PA      | $215903.21    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 86CB A11          | CUSIP: 12668BFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     906459 | PA      | $580237.07    | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A13          | CUSIP: 02146TAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     809726 | PA      | $365145.06    | 0.01%             | 2036-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A23          | CUSIP: 02146TAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     235571 | PA      | $137622.96    | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-39CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 39CB 1A20         | CUSIP: 02148JAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     650950 | PA      | $528309.96    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 22 2A3            | CUSIP: 02151BAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7693574 | PA      | $2954415.40   | 0.07%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A5           | CUSIP: 02148FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1034084 | PA      | $867655.06    | 0.02%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC4                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC4 1A            | CUSIP: 021455AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7843673 | PA      | $7104883.94   | 0.17%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC4                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC4 2A3           | CUSIP: 021455AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8346620 | PA      | $6666795.68   | 0.15%             | 2036-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-BC2                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A              | CUSIP: 12669QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18644413 | PA      | $18128183.02  | 0.42%             | 2037-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-SD1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SD1 A1 144A         | CUSIP: 12669TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     995266 | PA      | $818831.62    | 0.02%             | 2047-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-SEA1                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SEA1 1A1 144A       | CUSIP: 23248AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5321249 | PA      | $4048696.32   | 0.09%             | 2047-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 2A4             | CUSIP: 23246LAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3442217 | PA      | $3032165.29   | 0.07%             | 2047-11-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC1                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC1 M3              | CUSIP: 126670XT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8762000 | PA      | $7743820.57   | 0.18%             | 2036-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC5                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 1A              | CUSIP: 12666SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12115895 | PA      | $11721184.39  | 0.27%             | 2037-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-10                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 10 AF6              | CUSIP: 126670AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2672 | PA      | $2604.81      | 0.00%             | 2036-02-25      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-7                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 7 MV7               | CUSIP: 1266732N1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3139569 | PA      | $2064584.97   | 0.05%             | 2035-11-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A               | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11021931 | PA      | $10107679.60  | 0.23%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-17                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 17 2A3              | CUSIP: 12666VAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7655260 | PA      | $6728459.14   | 0.16%             | 2047-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-8                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 8 M1                | CUSIP: 045427AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   36061934 | PA      | $28499295.53  | 0.66%             | 2046-01-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-9                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 9 1AF3              | CUSIP: 12666RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     646973 | PA      | $655247.72    | 0.02%             | 2046-10-25      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-IM1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 IM1 A2              | CUSIP: 126670SP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     409371 | PA      | $342755.43    | 0.01%             | 2036-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-S6                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 S6 A6               | CUSIP: 126684AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         27 | PA      | $26.36        | 0.00%             | 2034-03-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD4                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD4 A1 144A         | CUSIP: 232433AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     292632 | PA      | $217010.40    | 0.01%             | 2036-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-4                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 4 A3                | CUSIP: 12668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5075903 | PA      | $4899037.09   | 0.11%             | 2032-10-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-ABC1                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 ABC1 A2             | CUSIP: 23242NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     522731 | PA      | $635392.38    | 0.01%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-ABC1                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 ABC1 A3             | CUSIP: 23242NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4150560 | PA      | $3417553.34   | 0.08%             | 2036-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-13                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 13 MV3              | CUSIP: 126670HL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15850000 | PA      | $13272330.35  | 0.31%             | 2036-04-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 1A              | CUSIP: 126670KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16403359 | PA      | $15605819.26  | 0.36%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-12                                            | COUNTRYWIDE HOME LOANS CWHL 2004 12 11A1                    | CUSIP: 12669FN58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2826 | PA      | $2803.51      | 0.00%             | 2034-08-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-J8                                            | COUNTRYWIDE HOME LOANS CWHL 2004 J8 3A8                     | CUSIP: 12669GDX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51697 | PA      | $49135.67     | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                            | COUNTRYWIDE HOME LOANS CWHL 2005 11 6A1                     | CUSIP: 12669GUX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     145874 | PA      | $101065.64    | 0.00%             | 2035-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-15                                            | COUNTRYWIDE HOME LOANS CWHL 2005 15 A7                      | CUSIP: 12669GR37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30739 | PA      | $18087.37     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-22                                            | COUNTRYWIDE HOME LOANS CWHL 2005 22 2A1                     | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     836263 | PA      | $657467.99    | 0.02%             | 2035-11-25      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                            | COUNTRYWIDE HOME LOANS CWHL 2005 24 A22                     | CUSIP: 126694KN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20685 | PA      | $11590.87     | 0.00%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                            | COUNTRYWIDE HOME LOANS CWHL 2005 24 A7                      | CUSIP: 126694JX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25043 | PA      | $14349.27     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB3                                          | COUNTRYWIDE HOME LOANS CWHL 2005 HYB3 1A1                   | CUSIP: 12669GA50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18723 | PA      | $17645.48     | 0.00%             | 2035-06-20      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB4                                          | COUNTRYWIDE HOME LOANS CWHL 2005 HYB4 2A1                   | CUSIP: 12669GM24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30030 | PA      | $27636.77     | 0.00%             | 2035-08-20      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB7                                          | COUNTRYWIDE HOME LOANS CWHL 2005 HYB7 6A1                   | CUSIP: 126694MH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5481432 | PA      | $4841594.80   | 0.11%             | 2035-11-20      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                             | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2                      | CUSIP: 126694YN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     479869 | PA      | $255703.34    | 0.01%             | 2036-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                          | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 4A1B                  | CUSIP: 1266944K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     843406 | PA      | $719012.79    | 0.02%             | 2036-05-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB5                                          | COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 3A1A                  | CUSIP: 170256AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2573575 | PA      | $2228338.67   | 0.05%             | 2036-09-20      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-10                                            | COUNTRYWIDE HOME LOANS CWHL 2007 10 A18                     | CUSIP: 12545CAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     142700 | PA      | $70298.64     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-11                                            | COUNTRYWIDE HOME LOANS CWHL 2007 11 A1                      | CUSIP: 12544LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3037620 | PA      | $1509659.84   | 0.04%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-13                                            | COUNTRYWIDE HOME LOANS CWHL 2007 13 A14                     | CUSIP: 17025JAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1382 | PA      | $740.20       | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY3                                           | COUNTRYWIDE HOME LOANS CWHL 2007 HY3 4A1                    | CUSIP: 12544WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1312621 | PA      | $1273716.46   | 0.03%             | 2047-06-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY5                                           | COUNTRYWIDE HOME LOANS CWHL 2007 HY5 1A1                    | CUSIP: 12544BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1721973 | PA      | $1271865.23   | 0.03%             | 2047-09-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB1                                          | COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 1A1                   | CUSIP: 22239EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     676493 | PA      | $519048.12    | 0.01%             | 2037-03-25      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2001-HE8              | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE8 M1             | CUSIP: 22540AB64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     610320 | PA      | $574887.37    | 0.01%             | 2031-02-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR          | CUSIP: 225401AJ7<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    2600000 | PA      | $2084211.17   | 0.05%             | 2023-07-17      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR          | CUSIP: 225401AK4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     660000 | PA      | $474545.56    | 0.01%             | 2025-09-12      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CREDIT SUISSE GROUP AG JR SUBORDINA REGS 12/99 VAR          | CUSIP: H3698DBW3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     600000 | PA      | $480971.81    | 0.01%             | 2023-07-17      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CREDIT SUISSE GROUP AG SR UNSECURED 144A 04/31 VAR          | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    1000000 | PA      | $778216.35    | 0.02%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CREDIT SUISSE GROUP AG SR UNSECURED 144A 05/32 VAR          | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $173235.54    | 0.00%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/28 VAR          | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    1000000 | PA      | $912163.53    | 0.02%             | 2028-08-11      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/33 VAR          | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    4400000 | PA      | $3871533.51   | 0.09%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CREDIT SUISSE GROUP AG SR UNSECURED 144A 11/33 VAR          | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $256662.43    | 0.01%             | 2033-11-15      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CREDIT SUISSE GROUP AG SR UNSECURED REGS 04/32 VAR          | CUSIP: ACI24F5W8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     300000 | PA      | $233005.81    | 0.01%             | 2032-04-02      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CREDIT SUISSE GROUP AG SR UNSECURED REGS 09/29 0.65         | CUSIP: ACI1FB9Q6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     100000 | PA      | $71929.09     | 0.00%             | 2029-09-10      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-5R                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 5R A5                | CUSIP: 12640QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11225825 | PA      | $2840305.39   | 0.07%             | 2036-07-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-C2                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 C 144A            | CUSIP: 22545YAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10300000 | PA      | $11330074.16  | 0.26%             | 2049-01-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-16R                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 10A3 144A        | CUSIP: 12642YGQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5790341 | PA      | $4985066.49   | 0.12%             | 2037-07-26      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-16R                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 11A3 144A        | CUSIP: 12642YGT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14476878 | PA      | $3614605.70   | 0.08%             | 2036-08-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-1R                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 1R 2A2 144A          | CUSIP: 12640XAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7527815 | PA      | $6852970.84   | 0.16%             | 2035-04-26      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERT 2006                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 3 1A4A               | CUSIP: 225470M67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4754953 | PA      | $2601484.31   | 0.06%             | 2036-04-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-12R                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 12R 16A1 144A        | CUSIP: 12642MBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2938643 | PA      | $1315977.39   | 0.03%             | 2036-08-27      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-5R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 5R 2A4 144A          | CUSIP: 12641TAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3302995 | PA      | $2868531.77   | 0.07%             | 2036-06-25      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-9R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 9R 6A2 144A          | CUSIP: 12642HCW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10150634 | PA      | $9244089.85   | 0.21%             | 2036-10-26      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2011-4R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 4R 6A2 144A          | CUSIP: 12645KES6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2348839 | PA      | $1817096.63   | 0.04%             | 2036-05-27      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-10R                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 10R 3A2 144A         | CUSIP: 12646NAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4434486 | PA      | $3636539.67   | 0.08%             | 2036-05-26      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-11R                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 11R 2A2 144A         | CUSIP: 12646QAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2851344 | PA      | $1826916.79   | 0.04%             | 2037-12-29      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-4R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 4R 5A2 144A          | CUSIP: 12646DAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33666341 | PA      | $13116084.81  | 0.30%             | 2047-02-27      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-7R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 7R 3A2 144A          | CUSIP: 12646JBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16861211 | PA      | $8423350.04   | 0.20%             | 2047-09-26      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP E 144A          | CUSIP: 12651QAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7454000 | PA      | $6807248.47   | 0.16%             | 2032-07-15      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP F 144A          | CUSIP: 12651QAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $9109796.00   | 0.21%             | 2032-07-15      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-4                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 4 3A1                | CUSIP: 12637HAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2405777 | PA      | $931702.22    | 0.02%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-4                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 4 9A1                | CUSIP: 12637HAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     311251 | PA      | $126735.87    | 0.00%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A12               | CUSIP: 22942JBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     129272 | PA      | $69232.22     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A4                | CUSIP: 22942JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1213985 | PA      | $650153.47    | 0.02%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A6                | CUSIP: 22942JAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143751 | PA      | $76986.43     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A8                | CUSIP: 22942JAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     268196 | PA      | $143987.18    | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 2A1                | CUSIP: 22942JAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     407409 | PA      | $73812.57     | 0.00%             | 2036-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CROMWELL EREIT LUX FINCO SARL                                             | CROMWELL ERIET LUX FINCO SARL EUR TERM LOAN A               | CUSIP: 937JHBII7<br>LEI: 213800VKBKU9G6DF2O19 | Long             | LON              | CORP              | LU        |    2000000 | PA      | $1897475.43   | 0.04%             | 2024-11-21      | Floating      | 3.04%                 | No            |                  3 | On Loan: No      |
| IHEARTMEDIA INC                                                           | IHEARTMEDIA INC   CLASS A COMMON STOCK                      | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    2021190 | NS      | $12389894.70  | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2002-10                                     | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 10 2A1             | CUSIP: 22540VQ47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     732590 | PA      | $730149.95    | 0.02%             | 2032-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-12                                     | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 12 6A1             | CUSIP: 225470RY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     235647 | PA      | $145784.16    | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2007-1                                            | CSAB MORTGAGE BACKED TRUST CSAB 2007 1 2A5                  | CUSIP: 12629EBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2013973 | PA      | $1670026.29   | 0.04%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV D 144A           | CUSIP: 12660WAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15850000 | PA      | $13691249.02  | 0.32%             | 2038-07-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV E 144A           | CUSIP: 12660WAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13700000 | PA      | $11072990.75  | 0.26%             | 2038-07-15      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2009-14R                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 14R 1A9 144A         | CUSIP: 12639GAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11459902 | PA      | $7190118.13   | 0.17%             | 2037-05-26      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2011-6R                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 6R 4A2 144A          | CUSIP: 12645QCY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2261017 | PA      | $2079726.25   | 0.05%             | 2037-04-28      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2014-9R                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 9R 3A2 144A          | CUSIP: 12648UAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8556670 | PA      | $7043973.73   | 0.16%             | 2037-11-27      | Floating      | 13.78%                | No            |                  2 | On Loan: No      |
| CSMC SERIES 2015-8R                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 8R 3A2 144A          | CUSIP: 12650NAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7411687 | PA      | $6504610.90   | 0.15%             | 2037-11-25      | Floating      | 13.78%                | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                    | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507        | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1783183 | PA      | $1856592.40   | 0.04%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                              | DBGS MORTGAGE TRUST DBGS 2021 W52 E 144A                    | CUSIP: 23308LAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26404000 | PA      | $22459833.85  | 0.52%             | 2036-10-15      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2018-5BP                                              | DBGS MORTGAGE TRUST DBGS 2018 5BP E 144A                    | CUSIP: 33830CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3600000 | PA      | $2899801.08   | 0.07%             | 2033-06-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2018-5BP                                              | DBGS MORTGAGE TRUST DBGS 2018 5BP F 144A                    | CUSIP: 33830CAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6100000 | PA      | $4750747.10   | 0.11%             | 2033-06-15      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                               | INTELSAT EMERGENCE SA COMMON STOCK                          | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |    1751422 | NS      | $42034128.00  | 0.98%             |  |  |  | Yes           |                  3 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-6                                     | DEUTSCHE ALT A SECURITIES INC DBALT 2005 6 2A3              | CUSIP: 251510KH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     498392 | PA      | $423422.33    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB3                                   | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB3 A1             | CUSIP: 25151EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40110 | PA      | $32965.70     | 0.00%             | 2036-07-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1                                   | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AB1 A1             | CUSIP: 25151WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4021298 | PA      | $2829251.99   | 0.07%             | 2037-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA1                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA1 A1             | CUSIP: 25151VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     328397 | PA      | $194509.69    | 0.00%             | 2047-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE MTGE SEC INC 2004-1                                              | DEUTSCHE MORTGAGE SECURITIES, DMSI 2004 1 1A1               | CUSIP: 251563CG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67062 | PA      | $64342.89     | 0.00%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DIAMOND INFRASTRUCTURE FUNDING LLC 2021 1A                                | DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A C 144A         | CUSIP: 25265LAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $778505.00    | 0.02%             | 2049-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC                                                  | DIAMOND SPORTS GROUP LLC 2022 FIRST PRI TERM LOAN           | CUSIP: 25277BAE8<br>LEI: 5493002K6DHWNZH8YA34 | Long             | LON              | CORP              | US        |   29224060 | PA      | $27768993.85  | 0.64%             | 2026-05-25      | Floating      | 12.32%                | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                                     | DIRECTV FINANCING LLC TERM LOAN                             | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3550000 | PA      | $3463841.51   | 0.08%             | 2027-08-02      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                      | DISH DBS CORP SR SECURED 144A 12/26 5.25                    | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   17440000 | PA      | $14723022.40  | 0.34%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                      | DISH DBS CORP SR SECURED 144A 12/28 5.75                    | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   25200000 | PA      | $20160000.00  | 0.47%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                       | DOLP TRUST DOLP 2021 NYC F 144A                             | CUSIP: 23345LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20000000 | PA      | $12387576.00  | 0.29%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| DORIC NIMROD AIR ALPHA 2013-1 CLASS A PASS THROUGH TRUST                  | DORIC NIMROD 2013 1 CL A PASS THRU CE 144A 05/25 5.25       | CUSIP: 233283AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GG        |      25400 | PA      | $25213.31     | 0.00%             | 2025-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2007-AR1                                         | DSLA MORTGAGE LOAN TRUST DSLA 2007 AR1 2A1B                 | CUSIP: 23333YAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     220247 | PA      | $226945.52    | 0.01%             | 2047-04-19      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| DSSV SARL                                                                 | DSSV DSSV PRL A                                             | CUSIP: ACI1DSVZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |    7204931 | PA      | $7660069.83   | 0.18%             | 2024-10-15      | Floating      | 4.38%                 | No            |                  3 | On Loan: No      |
| DTEK ENERGY BV (AKA: DTEK HOLDINGS BV)                                    | DTEK ENERGY BV COMPANY GUAR REGS 12/27 7                    | CUSIP: ACI1XVP76<br>LEI: 9845009A70B44Q680820 | Long             | DBT              | CORP              | NL        |   46096397 | PA      | $12705319.42  | 0.30%             | 2027-12-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DUFRY ONE BV                                                              | DUFRY ONE BV COMPANY GUAR REGS 04/26 3.625                  | CUSIP: ACI1X5JS4<br>LEI: 7245003K5MN9U7XW0808 | Long             | DBT              | CORP              | NL        |    3000000 | PA      | $2856578.16   | 0.07%             | 2026-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DUKE FUNDING LTD 2004-6A                                                  | DUKE FUNDING LTD DUKEF 2004 6A A1S 144A                     | CUSIP: 264407AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7545721 | PA      | $649188.56    | 0.02%             | 2039-04-08      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| ECAF I LTD 2015-1A                                                        | ECAF LTD ECAF 2015 1A A1 144A                               | CUSIP: 26827EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    1221153 | PA      | $763176.91    | 0.02%             | 2040-06-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| ECAF I LTD 2015-1A                                                        | ECAF LTD ECAF 2015 1A A2 144A                               | CUSIP: 26827EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    8085522 | PA      | $5093587.70   | 0.12%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                              | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 VAR             | CUSIP: ACI1Q6J43<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    2960000 | PA      | $1900172.00   | 0.04%             | 2030-07-31      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| EMC MORTGAGE LOAN TRUST 2004-AA                                           | EMC MORTGAGE LOAN TRUST EMCM 2004 AA M2 144A                | CUSIP: 268668DE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1674518 | PA      | $1583918.55   | 0.04%             | 2042-04-25      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| ENCINA SPV                                                                | ENCINA PRIVATE CREDIT LLC NOTE                              | CUSIP: 938DREII2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8919248 | PA      | $8727946.98   | 0.20%             | 2025-11-30      | Floating      | 4.08%                 | No            |                  3 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                       | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M2                | CUSIP: 126673VQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     413942 | PA      | $402296.48    | 0.01%             | 2035-07-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| EQUINITI (ARMOR HOLDCO INC)                                               | ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5                | CUSIP: 04625PAA9<br>LEI: 254900X6HLK0YPTHHF09 | Long             | DBT              | CORP              | US        |    5100000 | PA      | $3836897.48   | 0.09%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ESKOM HOLDINGS SOC LTD                                                    | ESKOM HOLDINGS SOC LTD SR UNSECURED REGS 08/23 6.75         | CUSIP: S25221AC6<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |   52880000 | PA      | $51051726.88  | 1.19%             | 2023-08-06      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| EUROMAX-V                                                                 | EUROMAX EUMAX V A2 REGS                                     | CUSIP: G3233MAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    3124272 | PA      | $3358222.32   | 0.08%             | 2095-11-10      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-1X                                                      | EUROSAIL PLC ESAIL 2007 1X D1A REGS                         | CUSIP: ACI05RDQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    7067000 | PA      | $6164158.14   | 0.14%             | 2045-03-13      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                    | EUROSAIL PLC ESAIL 2007 6NCX B1A REGS                       | CUSIP: G329A0AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   15554164 | PA      | $16965795.57  | 0.39%             | 2045-09-13      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                    | EUROSAIL PLC ESAIL 2007 6NCX C1A REGS                       | CUSIP: G329A0AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   11113345 | PA      | $11861775.55  | 0.28%             | 2045-09-13      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                    | EUROSAIL PLC ESAIL 2007 6NCX D1A REGS                       | CUSIP: G329A0AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    9265829 | PA      | $10928228.76  | 0.25%             | 2045-09-13      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                               | EUROSAIL PLC ESAIL 2007 4X C1A REGS                         | CUSIP: G3299TAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   15139992 | PA      | $15141846.14  | 0.35%             | 2045-06-13      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                               | EUROSAIL PLC ESAIL 2007 4X D1A REGS                         | CUSIP: G3299TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    9324252 | PA      | $8965779.11   | 0.21%             | 2045-06-13      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                               | EUROSAIL PLC ESAIL 2007 4X E1C REGS                         | CUSIP: G3299TAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    3315528 | PA      | $3190310.41   | 0.07%             | 2045-06-13      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                               | EUROSAIL PLC ESAIL 2007 4X RESD REGS                        | CUSIP: B2428WII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       5718 | PA      | $4037299.81   | 0.09%             | 2045-06-13      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| EXELA INTERMEDIATE LLC / EXELA FINANCE INC                                | EXELA INTERMED/EXELA FIN SR SECURED 144A 07/26 11.5         | CUSIP: 30162RAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     697000 | PA      | $121975.00    | 0.00%             | 2026-07-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2019-2A                               | EXETER AUTOMOBILE RECEIVABLES EART 2019 2A R 144A           | CUSIP: 30167LAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      22018 | PA      | $7026605.64   | 0.16%             | 2031-05-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2019-3A                               | EXETER AUTOMOBILE RECEIVABLES EART 2019 3A R 144A           | CUSIP: 30167EAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      23724 | PA      | $10899584.30  | 0.25%             | 2031-08-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2021-2A                               | EXETER AUTOMOBILE RECEIVABLES EART 2021 2A R                | CUSIP: 30165XAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      26820 | PA      | $35408847.23  | 0.82%             | 2033-07-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2021-4A                               | EXETER AUTOMOBILE RECEIVABLES EART 2021 4A R 144A           | CUSIP: 30165JAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      24507 | PA      | $10469214.43  | 0.24%             | 2033-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| EXPORT CREDIT BANK OF TURKEY (TURK EXIMBANK)                              | TURK IHRACAT KR BK SR UNSECURED 144A 01/24 8.25             | CUSIP: 90015LAF4<br>LEI: 789000JVRVYLAXGDWR11 | Long             | DBT              | CORP              | TR        |    1400000 | PA      | $1421693.00   | 0.03%             | 2024-01-24      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                      | EXTENDED STAY AMERICA TRUST ESA 2021 ESH F 144A             | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   44807223 | PA      | $42187326.67  | 0.98%             | 2038-07-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| FAB UK LTD 2004-1                                                         | FAB FAB 2004 1 S2 REGS                                      | CUSIP: ACI0MWFN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   14095029 | PA      | $5039548.34   | 0.12%             | 2045-12-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FAIRFAX INDIA HOLDINGS CORPORATION                                        | FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5            | CUSIP: 303897AA0<br>LEI: 549300K2JHXU7AX7CV78 | Long             | DBT              | CORP              | CA        |   12350000 | PA      | $11050162.50  | 0.26%             | 2028-02-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-49                                                        | FANNIE MAE FNR 2003 49 SY                                   | CUSIP: 31393C2N2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30343 | PA      | $123.16       | 0.00%             | 2023-06-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-121                                                       | FANNIE MAE FNR 2006 121 SD                                  | CUSIP: 31396LR85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1426392 | PA      | $126906.49    | 0.00%             | 2036-12-25      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-109                                                       | FANNIE MAE FNR 2007 109 PI                                  | CUSIP: 31396X2X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48052 | PA      | $1854.16      | 0.00%             | 2037-12-25      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-53                                                        | FANNIE MAE FNR 2007 53 SL                                   | CUSIP: 31396WCX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     161938 | PA      | $9809.43      | 0.00%             | 2037-06-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-10                                                        | FANNIE MAE FNR 2008 10 LI                                   | CUSIP: 31396YKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     849797 | PA      | $81723.25     | 0.00%             | 2038-03-25      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-134                                                       | FANNIE MAE FNR 2010 134 BS                                  | CUSIP: 31398SPK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2287843 | PA      | $103550.73    | 0.00%             | 2040-10-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2011-63                                                        | FANNIE MAE FNR 2011 63 CS                                   | CUSIP: 31397USG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1976087 | PA      | $140168.37    | 0.00%             | 2041-07-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-36                                                        | FANNIE MAE FNR 2020 36 NI                                   | CUSIP: 3136B95E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17297907 | PA      | $3454127.41   | 0.08%             | 2050-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-37                                                        | FANNIE MAE FNR 2020 37 IA                                   | CUSIP: 3136B9T56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2378587 | PA      | $416284.17    | 0.01%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-37                                                        | FANNIE MAE FNR 2020 37 IM                                   | CUSIP: 3136B9W45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8328119 | PA      | $1686234.14   | 0.04%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICULT AVENUE SECURITIES 2017-C01                        | FANNIE MAE   CAS CAS 2017 C01 1B1                           | CUSIP: 30711XEQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9180000 | PA      | $10021745.41  | 0.23%             | 2029-07-25      | Floating      | 10.14%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST 2022-R06                   | FANNIE MAE   CAS CAS 2022 R06 1B1 144A                      | CUSIP: 20754NAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     550000 | PA      | $574418.68    | 0.01%             | 2042-05-25      | Floating      | 10.28%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST 2022-R06                   | FANNIE MAE   CAS CAS 2022 R06 1B2 144A                      | CUSIP: 20754NAR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     600000 | PA      | $602240.88    | 0.01%             | 2042-05-25      | Floating      | 14.53%                | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-113                                                | FANNIE MAE FNR 2006 113 BQ                                  | CUSIP: 31396LZ52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43501 | PA      | $2287.85      | 0.00%             | 2036-11-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-88                                                 | FANNIE MAE FNR 2007 88 MI                                   | CUSIP: 31396XUW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     332326 | PA      | $20801.36     | 0.00%             | 2037-09-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2008-73                                                 | FANNIE MAE FNR 2008 73 SC                                   | CUSIP: 31397L6S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     384607 | PA      | $23516.24     | 0.00%             | 2038-08-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2008-9                                                  | FANNIE MAE FNR 2008 9 SA                                    | CUSIP: 31396YGT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     493605 | PA      | $51474.52     | 0.00%             | 2038-02-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-111                                                | FANNIE MAE FNR 2011 111 PS                                  | CUSIP: 3136A2HD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1927099 | PA      | $80627.71     | 0.00%             | 2040-03-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-46                                                 | FANNIE MAE FNR 2012 46 LS                                   | CUSIP: 3136A5J64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3876406 | PA      | $3579411.01   | 0.08%             | 2041-01-25      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-85                                                 | FANNIE MAE FNR 2012 85 PI                                   | CUSIP: 3136A7E73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     801109 | PA      | $81624.24     | 0.00%             | 2032-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-91                                                 | FANNIE MAE FNR 2012 91 MI                                   | CUSIP: 3136A7TF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     673850 | PA      | $96195.20     | 0.00%             | 2042-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-5                                                  | FANNIE MAE FNR 2013 5 GS                                    | CUSIP: 3136ABG72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1148677 | PA      | $873708.56    | 0.02%             | 2042-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-53                                                 | FANNIE MAE FNR 2013 53 MI                                   | CUSIP: 3136AEFR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     141027 | PA      | $9363.22      | 0.00%             | 2042-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-6                                                  | FANNIE MAE FNR 2013 6 JS                                    | CUSIP: 3136ABN25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1633937 | PA      | $155174.35    | 0.00%             | 2043-02-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-111                                                | FANNIE MAE FNR 2017 111 AI                                  | CUSIP: 3136B0KK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4487117 | PA      | $1008809.30   | 0.02%             | 2048-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-42                                                 | FANNIE MAE FNR 2019 42 SK                                   | CUSIP: 3136B5VS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     182201 | PA      | $19331.81     | 0.00%             | 2049-08-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-2                                                  | FANNIE MAE FNR 2020 2 S                                     | CUSIP: 3136B8JL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7036578 | PA      | $883283.28    | 0.02%             | 2059-07-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-34                                                 | FANNIE MAE FNR 2020 34 IB                                   | CUSIP: 3136BAHR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1049759 | PA      | $225176.15    | 0.01%             | 2050-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-70                                                 | FANNIE MAE FNR 2020 70 MI                                   | CUSIP: 3136BB3N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23387263 | PA      | $1592520.57   | 0.04%             | 2060-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W18                                             | FANNIEMAE WHOLE LOAN FNW 2003 W18 1IO2                      | CUSIP: 31393UNU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21516220 | PA      | $701007.06    | 0.02%             | 2043-08-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| FEL ENERGY VI SA RL                                                       | FEL ENERGY VI SARL SR SECURED 144A 12/40 5.75               | CUSIP: 30260LAA3<br>LEI: 254900H2U8PBIY32VI94 | Long             | DBT              | CORP              | LU        |   16353913 | PA      | $14018656.72  | 0.33%             | 2040-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC        | FERTITTA ENTERTAINMENT COMPANY GUAR 144A 01/30 6.75         | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1616950.00   | 0.04%             | 2030-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MCDERMOTT INTERNATIONAL LTD                                               | MCDERMOTT INTERNATIONAL LTD COMMON STOCK                    | CUSIP: G5924V106<br>LEI: 54930004RAXI4B3L4752 | Long             | EC               | CORP              | BM        |     946217 | NS      | $302789.44    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-2                        | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 2 2A2              | CUSIP: 31659EAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4305452 | PA      | $2154530.77   | 0.05%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FINSBURY SQUARE 2020-2A                                                   | FINSBURY SQUARE FSQ 2020 2A E 144A                          | CUSIP: ACI1N8695<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1000000 | PA      | $1205084.48   | 0.03%             | 2070-06-16      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUS 2006-FF3                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF3 M1              | CUSIP: 362334AW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $5028946.45   | 0.12%             | 2036-02-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2005-FF8                                  | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF8 M3              | CUSIP: 362341QT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5831263 | PA      | $5127179.14   | 0.12%             | 2035-09-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET 2005-FF6                                    | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF6 M4              | CUSIP: 32027NSM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13765287 | PA      | $12010561.49  | 0.28%             | 2036-05-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                        | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 2A2           | CUSIP: 32051GPZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     129952 | PA      | $11444.51     | 0.00%             | 2035-08-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-AA6                                        | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA6 2A1           | CUSIP: 32052MAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     474128 | PA      | $341143.33    | 0.01%             | 2036-11-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA6                                        | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A1           | CUSIP: 32052FAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56859 | PA      | $21196.83     | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA6                                        | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A15          | CUSIP: 32052FAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     749798 | PA      | $111989.30    | 0.00%             | 2036-11-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA12                                      | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA12 1A1          | CUSIP: 32051GQ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33426 | PA      | $25590.63     | 0.00%             | 2036-02-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTER MTGE SEC 2006-AA2                                     | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA2 2A1           | CUSIP: 32051GW76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     502027 | PA      | $412040.45    | 0.01%             | 2036-05-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ASSET SECURITIES 2007-4                                     | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 4 1A5             | CUSIP: 32056CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     213179 | PA      | $84419.39     | 0.00%             | 2037-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2006-AR4                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2006 AR4 1A2           | CUSIP: 32053AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     216430 | PA      | $137223.71    | 0.00%             | 2037-01-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR1                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR1 1A1           | CUSIP: 32053EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2256640 | PA      | $988254.38    | 0.02%             | 2037-05-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR2                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR2 2A1           | CUSIP: 32055GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14388 | PA      | $9506.63      | 0.00%             | 2037-07-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2020-3                                         | FLAGSHIP CREDIT AUTO TRUST FCAT 2020 3 R 144A               | CUSIP: 33844T107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9000 | PA      | $1024790.24   | 0.02%             | 2027-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2022-2                                         | FLAGSHIP CREDIT AUTO TRUST FCAT 2022 2 R                    | CUSIP: 33844X108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       3330 | PA      | $950627.14    | 0.02%             | 2029-06-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FLOODSMART RE LTD                                                         | FLOODSMART RE LTD UNSECURED 144A 03/24 VAR                  | CUSIP: 33975CAG0<br>LEI: 549300KK1LNVFW95S875 | Long             | DBT              | CORP              | BM        |    6084000 | PA      | $5627700.00   | 0.13%             | 2024-03-01      | Floating      | 13.58%                | No            |                  2 | On Loan: No      |
| FLOODSMART RE LTD                                                         | FLOODSMART RE LTD UNSECURED 144A 03/24 VAR                  | CUSIP: 33975CAH8<br>LEI: 549300KK1LNVFW95S875 | Long             | DBT              | CORP              | BM        |    1737000 | PA      | $1389600.00   | 0.03%             | 2024-03-01      | Floating      | 17.33%                | No            |                  2 | On Loan: No      |
| NMG PARENT                                                                | NEIMAN MARCUS USD COMMON STOCK EQUITY                       | CUSIP: 967DUC905<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     602840 | NS      | $106132488.61 | 2.46%             |  |  |  | Yes           |                  3 | On Loan: No      |
| NOBLE CORPORATION PLC                                                     | NOBLE CORP PLC COMMON STOCK                                 | CUSIP: G65431127<br>LEI: 549300I3HBUNXO0OG954 | Long             | EC               | CORP              | GB        |     123802 | NS      | $4668573.42   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| OCP CLO LTD 2016-11A                                                      | OCP CLO 2016 11 LTD PREFERRED STOCK 04/28 0.00000           | CUSIP: 67092H209<br>LEI: N/A                  | Long             | EP               | CORP              | KY        |       2600 | NS      | $1182564.11   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FORBES ENERGY SERVICES LLC                                                | FORBES ENERGY SERVICES LLC 2018 PIK FIIXED TERM LOAN        | CUSIP: 943UMZII5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      36460 | PA      | $0.00         | 0.00%             | 2023-06-30      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| FORBES ENERGY SERVICES LLC                                                | FORBES ENERGY SERVICES LLC PIK EXIT TERM LOAN               | CUSIP: 962XCSII2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2629087 | PA      | $0.03         | 0.00%             | 2023-06-30      | Fixed         | 5.30%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC 3181                                                          | FREDDIE MAC FHR 3181 PS                                     | CUSIP: 31396URJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1118191 | PA      | $93257.67     | 0.00%             | 2036-07-15      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3211                                                          | FREDDIE MAC FHR 3211 SH                                     | CUSIP: 31397BA50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     362919 | PA      | $32214.45     | 0.00%             | 2036-09-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3311                                                          | FREDDIE MAC FHR 3311 EI                                     | CUSIP: 31397H6H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74391 | PA      | $5267.41      | 0.00%             | 2037-05-15      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3384                                                          | FREDDIE MAC FHR 3384 SM                                     | CUSIP: 31397PCY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     895744 | PA      | $76937.96     | 0.00%             | 2037-05-15      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1                    | FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 XA1 144A       | CUSIP: 35563CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  265299234 | PA      | $16985531.42  | 0.39%             | 2055-11-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071         | FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3                 | CUSIP: 3137FCLG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   75137000 | PA      | $6055906.95   | 0.14%             | 2045-11-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3213                                                   | FREDDIE MAC FHR 3213 LS                                     | CUSIP: 31397AZX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     631013 | PA      | $76902.93     | 0.00%             | 2036-09-15      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3868                                                   | FREDDIE MAC FHR 3868 SA                                     | CUSIP: 3137AAEG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     704333 | PA      | $88962.28     | 0.00%             | 2041-05-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3922                                                   | FREDDIE MAC FHR 3922 GS                                     | CUSIP: 3137AFHT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     602120 | PA      | $491654.62    | 0.01%             | 2041-09-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4020                                                   | FREDDIE MAC FHR 4020 PI                                     | CUSIP: 3137AMLU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134564 | PA      | $6952.15      | 0.00%             | 2027-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4120                                                   | FREDDIE MAC FHR 4120 WS                                     | CUSIP: 3137AVJC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     605173 | PA      | $36786.24     | 0.00%             | 2042-09-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4687                                                   | FREDDIE MAC FHR 4687 SG                                     | CUSIP: 3137BY4V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     279600 | PA      | $33253.28     | 0.00%             | 2047-01-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4983                                                   | FREDDIE MAC FHR 4983 IO                                     | CUSIP: 3137FTH34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2253752 | PA      | $408573.50    | 0.01%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                   | FREDDIE MAC FHR 4988 LI                                     | CUSIP: 3137FUQK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15069778 | PA      | $3361915.18   | 0.08%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                   | FREDDIE MAC FHR 4988 VI                                     | CUSIP: 3137FUZ64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9644979 | PA      | $2063225.88   | 0.05%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                   | FREDDIE MAC FHR 4988 WI                                     | CUSIP: 3137FURL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11877739 | PA      | $1974625.46   | 0.05%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                   | FREDDIE MAC FHR 4990 BI                                     | CUSIP: 3137FURT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4734559 | PA      | $1063515.54   | 0.02%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                   | FREDDIE MAC FHR 4990 KS                                     | CUSIP: 3137FUS70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1131466 | PA      | $118383.73    | 0.00%             | 2050-06-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                   | FREDDIE MAC FHR 4990 SN                                     | CUSIP: 3137FUYG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8004139 | PA      | $920676.92    | 0.02%             | 2050-05-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5000                                                   | FREDDIE MAC FHR 5000 IA                                     | CUSIP: 3137FVFL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7002215 | PA      | $1200942.88   | 0.03%             | 2048-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5009                                                   | FREDDIE MAC FHR 5009 NI                                     | CUSIP: 3137FWEG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15786860 | PA      | $3136744.82   | 0.07%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                   | FREDDIE MAC FHR 5051 SX                                     | CUSIP: 3137F83L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   38428607 | PA      | $1188154.89   | 0.03%             | 2048-11-15      | Floating      | 0.44%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5062                                                   | FREDDIE MAC FHR 5062 BS                                     | CUSIP: 3137F8TX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6533822 | PA      | $924603.78    | 0.02%             | 2051-01-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5062                                                   | FREDDIE MAC FHR 5062 SC                                     | CUSIP: 3137F8UF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3611402 | PA      | $471885.26    | 0.01%             | 2051-01-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA1                                   | FREDDIE MAC   STACR STACR 2021 DNA1 B2 144A                 | CUSIP: 35564KBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2300000 | PA      | $1788149.49   | 0.04%             | 2051-01-25      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA5                                   | FREDDIE MAC   STACR STACR 2021 DNA5 B2 144A                 | CUSIP: 35564KJB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2800000 | PA      | $2209841.76   | 0.05%             | 2034-01-25      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                                   | FREDDIE MAC   STACR STACR 2021 DNA6 B2 144A                 | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4900000 | PA      | $4191221.86   | 0.10%             | 2041-10-25      | Floating      | 11.43%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-HQA3                                   | FREDDIE MAC   STACR STACR 2021 HQA3 B1 144A                 | CUSIP: 35564KKK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $5150534.40   | 0.12%             | 2041-09-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-HQA3                                   | FREDDIE MAC   STACR STACR 2021 HQA3 B2 144A                 | CUSIP: 35564KKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6400000 | PA      | $5151207.04   | 0.12%             | 2041-09-25      | Floating      | 10.18%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2020-DNA5                                         | FREDDIE MAC   STACR STACR 2020 DNA5 B1 144A                 | CUSIP: 35566ABD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2565110.50   | 0.06%             | 2050-10-25      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2021-HQA4                                         | FREDDIE MAC   STACR STACR 2021 HQA4 B2 144A                 | CUSIP: 35564KPP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $398735.35    | 0.01%             | 2041-12-25      | Floating      | 10.93%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 259                                                    | FREDDIEMAC STRIP FHS 259 S17                                | CUSIP: 31325TCC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1241335 | PA      | $134319.73    | 0.00%             | 2039-04-15      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2016-DNA2            | FREDDIE MAC   STACR STACR 2016 DNA2 B                       | CUSIP: 3137G0JZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1480971 | PA      | $1530295.73   | 0.04%             | 2028-10-25      | Floating      | 14.89%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2016-HQA3            | FREDDIE MAC   STACR STACR 2016 HQA3 B                       | CUSIP: 3137G0LF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6839796 | PA      | $6808382.89   | 0.16%             | 2029-03-25      | Floating      | 13.39%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2017-DNA2            | FREDDIE MAC   STACR STACR 2017 DNA2 B1                      | CUSIP: 3137G0PR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8600000 | PA      | $9253377.26   | 0.21%             | 2029-10-25      | Floating      | 9.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2            | FREDDIE MAC   STACR STACR 2022 DNA2 B1 144A                 | CUSIP: 35564KSJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4587110.50   | 0.11%             | 2042-02-25      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2            | FREDDIE MAC   STACR STACR 2022 DNA2 B2 144A                 | CUSIP: 35564KSQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2350000 | PA      | $1948838.55   | 0.05%             | 2042-02-25      | Floating      | 12.43%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2            | FREDDIE MAC   STACR STACR 2022 DNA2 M2 144A                 | CUSIP: 35564KRN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16000000 | PA      | $15097411.20  | 0.35%             | 2042-02-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3136                                                          | FREDDIE MAC FHR 3136 NS                                     | CUSIP: 31396NH41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     275908 | PA      | $15922.85     | 0.00%             | 2036-04-15      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| FREED ABS TRUST 2020-3FP                                                  | FREED ABS TRUST FREED 2020 3FP CERT 144A                    | CUSIP: 35634LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9954 | PA      | $1522668.36   | 0.04%             | 2027-09-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                            | FREMONT HOME LOAN TRUST FHLT 2006 3 2A4                     | CUSIP: 35729MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1154446 | PA      | $415684.35    | 0.01%             | 2037-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                            | FREMONT HOME LOAN TRUST FHLT 2006 E 2A3                     | CUSIP: 35729NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2947543 | PA      | $1346446.46   | 0.03%             | 2037-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                                   | GTWY CASINO+ENTERTAINMNT LTD 2021 CAD TERM LOAN             | CUSIP: 943ZHKII3<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |   19530043 | PA      | $14243661.65  | 0.33%             | 2027-10-18      | Fixed         | 12.56%                | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                                   | GTWY CASINO+ENTERTAINMNT LTD 2021 TERM LOAN                 | CUSIP: 943ZERII1<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |   89517087 | PA      | $88398123.41  | 2.05%             | 2027-10-15      | Fixed         | 12.14%                | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                           | GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 04/34 8.625      | CUSIP: 368266AA0<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |    1081000 | PA      | $633398.44    | 0.01%             | 2034-04-28      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                           | GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 08/37 7.288      | CUSIP: 368266AH5<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |     300000 | PA      | $255187.50    | 0.01%             | 2037-08-16      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ FINANCE PLC                                          | GAZPROM PJSC (GAZ FN) SR UNSECURED REGS 06/27 3             | CUSIP: ACI1NC340<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $143000.00    | 0.00%             | 2027-06-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GC PASTOR HIPOTECARIO FTA 5                                               | PASTOR GC HIPOTECARIO GCPAS 5 A2 REGS                       | CUSIP: 997AAZII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |   21022799 | PA      | $19021693.73  | 0.44%             | 2046-06-21      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| SIERRA HAMILTON HOLDINGS LLC                                              | SIERRA HAMILTON HOLDER LLC                                  | CUSIP: 932BTZ902<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   30337712 | NS      | $3033.77      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| AXIS ENERGY SERVICES HOLDINGS LLC                                         | AXIS ENERGY SERVICES CLASS A EQTY009T1 AXIS ENERGY SERVICES | CUSIP: 942WZK900<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      17105 | NS      | $597234.65    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GHANA GOVT                                                                | REPUBLIC OF GHANA SR UNSECURED 144A 02/27 6.375             | CUSIP: 37443GAG6<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    4477000 | PA      | $1734971.81   | 0.04%             | 2027-02-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                | REPUBLIC OF GHANA SR UNSECURED 144A 02/35 7.875             | CUSIP: 37443GAH4<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    5412000 | PA      | $1961904.12   | 0.05%             | 2035-02-11      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                | REPUBLIC OF GHANA SR UNSECURED 144A 03/61 8.75              | CUSIP: 37443GAJ0<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    1500000 | PA      | $531360.00    | 0.01%             | 2061-03-11      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| GIBSON BRANDS INC (AKA: GIBSON GUITAR CORP)                               | GIBSON BRANDS INC 2021 TERM LOAN                            | CUSIP: 37476YAB8<br>LEI: 549300KU4ACNZQGB7J14 | Long             | LON              | CORP              | US        |    3374500 | PA      | $2497130.00   | 0.06%             | 2028-08-11      | Floating      | 9.13%                 | No            |                  3 | On Loan: No      |
| GIP II BLUE HOLDING LP                                                    | GIP II BLUE HOLDING L P TERM LOAN B                         | CUSIP: 31575AAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       5269 | PA      | $5232.54      | 0.00%             | 2028-09-29      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| GLACIER FUNDING CDO III LTD 2005-3A                                       | GLACIER FUNDING CDO GLCR 2005 3A A1 144A                    | CUSIP: 37638XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   31282419 | PA      | $4059926.12   | 0.09%             | 2035-08-04      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR4                                    | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR4 3A1           | CUSIP: 76112BUG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17915 | PA      | $14953.14     | 0.00%             | 2035-07-19      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORPORATION LN TR 2007-HE2                                  | GMAC MORTGAGE CORPORATION LOAN GMACM 2007 HE2 A6            | CUSIP: 36186LAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     731642 | PA      | $734938.56    | 0.02%             | 2037-12-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| STEARNS HOLDINGS LLC                                                      | STEARNS HOLDING LLC CLASS B STEARNS HOLDING LLC CLASSB      | CUSIP: 9353MP906<br>LEI: 549300B7MV13XJXKBZ36 | Long             | EC               | CORP              | US        |      59964 | NS      | $0.06         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| STICHTING AK RABOBANK CERTIFICATEN                                        | STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR           | CUSIP: BJBQCWII7<br>LEI: N/A                  | Long             | EP               | CORP              | NL        |   93550000 | NS      | $96304866.53  | 2.24%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNIVERSE CORPORATION                                                     | SYNIVERSE PFD PIK PFDJJZ917                                 | CUSIP: 936UVD902<br>LEI: N/A                  | Long             | EP               | CORP              | US        |   16373383 | NS      | $15734820.69  | 0.37%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                       | BANCA MONTE DEI PASCHI SIENA COMMON STOCK                   | CUSIP: ACI28SXK1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | EC               | CORP              | IT        |    6139000 | NS      | $12647488.56  | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| TEXGEN POWER LLC                                                          | TEXGEN POWER LLC                                            | CUSIP: 933KFF900<br>LEI: 5493003XDLS9LCQ3SY55 | Long             | EC               | CORP              | US        |     450094 | NS      | $12602632.00  | 0.29%             |  |  |  | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-140                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 140 PS              | CUSIP: 38377YUL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21394 | PA      | $22.22        | 0.00%             | 2039-08-16      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-101                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 101 DS              | CUSIP: 38375GSY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1108867 | PA      | $50364.98     | 0.00%             | 2040-12-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-101                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 101 SD              | CUSIP: 38375GTB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1491317 | PA      | $152248.88    | 0.00%             | 2042-08-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-96                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 96 KI               | CUSIP: 38378HFV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     205855 | PA      | $36674.02     | 0.00%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-168                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 168 AS              | CUSIP: 38381BGP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3173487 | PA      | $227808.74    | 0.01%             | 2048-12-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE ASSOC 2021-160                                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 160 VI              | CUSIP: 38383ATZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   51868547 | PA      | $4644408.22   | 0.11%             | 2036-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-3                                          | CONSECO FINANCIAL CORP GT 1999 3 A8                         | CUSIP: 393505X80<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2228239 | PA      | $1986222.56   | 0.05%             | 2031-02-01      | Fixed         | 7.06%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-3                                          | CONSECO FINANCIAL CORP GT 1999 3 A9                         | CUSIP: 393505X98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     512345 | PA      | $448923.12    | 0.01%             | 2031-02-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-5                                          | CONSECO FINANCIAL CORP GT 1999 5 A6                         | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6349893 | PA      | $2641030.31   | 0.06%             | 2030-03-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MANUFACTURED HOUSING 1999-5                                    | GREENPOINT MANUFACTURED HOUSIN GPMH 1999 5 M2               | CUSIP: 395383AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6069797 | PA      | $5251623.03   | 0.12%             | 2029-12-15      | Fixed         | 9.23%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MORTGAGE FUND TRUST 2006-OH1                                   | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1             | CUSIP: 39539GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     550117 | PA      | $464904.28    | 0.01%             | 2037-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR7                                       | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR7 1A32           | CUSIP: 39538CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2639917 | PA      | $2365156.97   | 0.05%             | 2046-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GREENWICH CAPITAL COMMERCIAL F-2006-GG7                                   | GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2006 GG7 AJ            | CUSIP: 20173MAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4688274 | PA      | $3100355.32   | 0.07%             | 2038-07-10      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2010-C1                                    | GS MORTGAGE SECURITIES TRUST GSMS 2010 C1 X 144A            | CUSIP: 36249KAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1026601 | PA      | $9053.95      | 0.00%             | 2043-08-10      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2017-SLP                                   | GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP F 144A           | CUSIP: 36255MAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33197000 | PA      | $31336796.15  | 0.73%             | 2032-10-10      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2017-SLP                                   | GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP G 144A           | CUSIP: 36255MAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6160000 | PA      | $5764534.16   | 0.13%             | 2032-10-10      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                               | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU E 144A          | CUSIP: 36256AAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10358000 | PA      | $9869503.25   | 0.23%             | 2032-11-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2019-SMP                                | GS MORTGAGE SECURITIES TRUST GSMS 2019 SMP E 144A           | CUSIP: 36259NAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10621000 | PA      | $10029236.12  | 0.23%             | 2032-08-15      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2019-SMP                                | GS MORTGAGE SECURITIES TRUST GSMS 2019 SMP F 144A           | CUSIP: 36259NAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11668000 | PA      | $10944512.83  | 0.25%             | 2032-08-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                             | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 AIOS 144A     | CUSIP: 36260AAP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  125407497 | PA      | $556803.02    | 0.01%             | 2059-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                             | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 B 144A        | CUSIP: 36260AAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20073000 | PA      | $12360933.33  | 0.29%             | 2059-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                             | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 SA 144A       | CUSIP: 36260AAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86425 | PA      | $85445.07     | 0.00%             | 2059-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                             | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 X 144A        | CUSIP: 36260AAQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  139217710 | PA      | $2088766.83   | 0.05%             | 2059-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-AR1                                                      | GSAMP TRUST GSAMP 2004 AR1 M4                               | CUSIP: 36228F6S0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1252521 | PA      | $1092637.80   | 0.03%             | 2034-06-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-WF                                                       | GSAMP TRUST GSAMP 2004 WF M2                                | CUSIP: 36242DKL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107212 | PA      | $102523.59    | 0.00%             | 2034-10-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                      | GSAMP TRUST GSAMP 2006 FM1 A2C                              | CUSIP: 362334PJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     453632 | PA      | $289939.00    | 0.01%             | 2036-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                      | GSAMP TRUST GSAMP 2006 FM1 A2D                              | CUSIP: 362334PK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16174867 | PA      | $10437148.25  | 0.24%             | 2036-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM3                                                      | GSAMP TRUST GSAMP 2006 FM3 A2C                              | CUSIP: 36245TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3486559 | PA      | $1690711.71   | 0.04%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                      | GSAMP TRUST GSAMP 2007 FM1 A1                               | CUSIP: 3622MAAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     836577 | PA      | $453443.18    | 0.01%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                      | GSAMP TRUST GSAMP 2007 FM1 A2D                              | CUSIP: 3622MAAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3905697 | PA      | $1954054.58   | 0.05%             | 2036-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                      | GSAMP TRUST GSAMP 2007 FM2 A2A                              | CUSIP: 3622MHAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2708070 | PA      | $1645881.24   | 0.04%             | 2037-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                      | GSAMP TRUST GSAMP 2007 FM2 A2B                              | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     807894 | PA      | $491010.85    | 0.01%             | 2037-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GSC CAPITAL CORP MORTGAGE TRUST 2006-2                                    | GSC CAPITAL CORP MORTGAGE TRUS GSCC 2006 2 A1               | CUSIP: 362480AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1264404 | PA      | $1147498.78   | 0.03%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-10F                                          | GSR MORTGAGE LOAN TRUST GSR 2004 10F 8A3                    | CUSIP: 36242DFC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     276676 | PA      | $270064.35    | 0.01%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-14                                           | GSR MORTGAGE LOAN TRUST GSR 2004 14 3A1                     | CUSIP: 36242DPF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7198 | PA      | $6401.21      | 0.00%             | 2034-12-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)                 | UNITI GROUP INC REIT USD.0001                               | CUSIP: 91325V108<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |    2146174 | NS      | $11868342.22  | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 1A1                    | CUSIP: 362341WX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125629 | PA      | $72441.51     | 0.00%             | 2035-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-7F                                           | GSR MORTGAGE LOAN TRUST GSR 2006 7F 4A1                     | CUSIP: 36298NAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     603733 | PA      | $225795.88    | 0.01%             | 2036-08-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                          | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1                    | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     308370 | PA      | $296530.41    | 0.01%             | 2036-01-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                                           | GSR MORTGAGE LOAN TRUST GSR 2007 4F 4A1                     | CUSIP: 362669AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     233224 | PA      | $45075.47     | 0.00%             | 2037-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| URBI DESARROLLOS URBANOS SA DE CV (AKA: URBIMM)                           | URBI DESARROLLOS URBANOS SAB COMMON STOCK                   | CUSIP: B0126X906<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |       4776 | NS      | $1470.56      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GUARA NORTE SARL                                                          | GUARA NORTE SARL SR SECURED REGS 06/34 5.198                | CUSIP: L4R02QAA8<br>LEI: 549300U2I4L03BBA3485 | Long             | DBT              | CORP              | LU        |    8465569 | PA      | $7175200.57   | 0.17%             | 2034-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                       | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 2A2A           | CUSIP: 41161PKA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115501 | PA      | $95839.90     | 0.00%             | 2035-01-19      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-7                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 1A1             | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     945513 | PA      | $472419.89    | 0.01%             | 2045-06-19      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 B2              | CUSIP: 41161PSW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4334962 | PA      | $3747805.57   | 0.09%             | 2035-06-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 B4              | CUSIP: 41161PSY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000464 | PA      | $866612.77    | 0.02%             | 2035-06-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A            | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7360011 | PA      | $6404899.78   | 0.15%             | 2036-03-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-6                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 4A1A            | CUSIP: 41161UAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70804 | PA      | $60977.49     | 0.00%             | 2036-08-19      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-9                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 9 2A1A            | CUSIP: 41161XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1176775 | PA      | $968841.78    | 0.02%             | 2036-11-19      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-BU1                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 BU1 2A1A          | CUSIP: 41161PG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     791714 | PA      | $638927.67    | 0.01%             | 2046-02-19      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-4                                     | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 4 2A              | CUSIP: 41161PDW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67766 | PA      | $59623.04     | 0.00%             | 2034-06-19      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                    | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A           | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4425142 | PA      | $2698546.88   | 0.06%             | 2036-01-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| HARBOUR 1                                                                 | HARBOUR PLC HARBR 1 E REGS                                  | CUSIP: ACI227L75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    2200000 | PA      | $2497646.73   | 0.06%             | 2054-01-28      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| HARBOUR 1                                                                 | HARBOUR PLC HARBR 1 F REGS                                  | CUSIP: ACI227LC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   12153000 | PA      | $13639463.85  | 0.32%             | 2054-01-28      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| HILLCREST CDO I LTD 2004-1A                                               | HILLCREST CDO LTD HILLC 2004 1A A1A 144A                    | CUSIP: 43147XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   32572915 | PA      | $6930571.62   | 0.16%             | 2039-12-10      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                            | HOMEBANC MORTGAGE TRUST HMBT 2005 1 A1                      | CUSIP: 43739EAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88851 | PA      | $74054.31     | 0.00%             | 2035-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2006-1                                            | HOMEBANC MORTGAGE TRUST HMBT 2006 1 3A2                     | CUSIP: 43739ECR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2536863 | PA      | $2275461.54   | 0.05%             | 2037-04-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                           | HOUT BAY HOUT 2006 1A A1 144A                               | CUSIP: 442451AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  108637940 | PA      | $18424994.63  | 0.43%             | 2041-07-05      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                           | HOUT BAY HOUT 2006 1A A2 144A                               | CUSIP: 442451AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4870530 | PA      | $521497.35    | 0.01%             | 2041-07-05      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                           | HOUT BAY HOUT 2006 1A B 144A                                | CUSIP: 442451AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1690000 | PA      | $169.00       | 0.00%             | 2041-07-05      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES INC                                                       | VICI PROPERTIES INC REIT USD.01                             | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |     711293 | NS      | $23045893.20  | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-1                                          | HSI ASSET LOAN OBLIGATION HALO 2007 1 1A1                   | CUSIP: 40431TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2429919 | PA      | $2067217.87   | 0.05%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                         | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A3            | CUSIP: 44328AAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6668474 | PA      | $2737622.58   | 0.06%             | 2036-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                         | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2            | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20259828 | PA      | $5546524.91   | 0.13%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                         | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A3            | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12409207 | PA      | $3365360.73   | 0.08%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                                       | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 2A3            | CUSIP: 40430FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29373710 | PA      | $21082454.27  | 0.49%             | 2037-01-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-OPT1                                      | HSI ASSET SECURITIZATION CORPO HASC 2007 OPT1 1A            | CUSIP: 40431JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9084805 | PA      | $7640373.76   | 0.18%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2017 CO LTD                                               | HUARONG FINANCE 2017 CO COMPANY GUAR REGS 04/27 4.75        | CUSIP: G463PSAE4<br>LEI: 5493006V07LYI3HE6G83 | Long             | DBT              | CORP              | VG        |    1200000 | PA      | $1048500.00   | 0.02%             | 2027-04-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2017 CO LTD                                               | HUARONG FINANCE 2017 CO COMPANY GUAR REGS 11/27 4.25        | CUSIP: ACI0YNJ23<br>LEI: 5493006V07LYI3HE6G83 | Long             | DBT              | CORP              | VG        |     200000 | PA      | $171160.56    | 0.00%             | 2027-11-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2017 CO LTD                                               | HUARONG FINANCE 2017 CO COMPANY GUAR REGS 11/47 4.95        | CUSIP: ACI0YNJJ6<br>LEI: 5493006V07LYI3HE6G83 | Long             | DBT              | CORP              | VG        |     800000 | PA      | $549962.14    | 0.01%             | 2047-11-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019 CO LTD                                               | HUARONG FINANCE 2019 COMPANY GUAR REGS 02/30 3.375          | CUSIP: ACI1K6N02<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |    1800000 | PA      | $1373802.93   | 0.03%             | 2030-02-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019 CO LTD                                               | HUARONG FINANCE 2019 COMPANY GUAR REGS 05/29 4.5            | CUSIP: ACI1C6PX7<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |    1300000 | PA      | $1080181.57   | 0.03%             | 2029-05-29      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019 CO LTD                                               | HUARONG FINANCE 2019 COMPANY GUAR REGS 11/29 3.875          | CUSIP: ACI1GS152<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |    1200000 | PA      | $949468.54    | 0.02%             | 2029-11-13      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HUDSON RIVER TRADING LLC                                                  | HUDSON RIVER TRADING LLC 2021 TERM LOAN                     | CUSIP: 44413EAF5<br>LEI: 549300SMOBUC8O5UOE10 | Long             | LON              | CORP              | US        |    1682872 | PA      | $1595572.55   | 0.04%             | 2028-03-20      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                             | VOYAGER AVIATION HLD EQUITY VOYAGER AVIATION 92918X9D9      | CUSIP: 942UCF009<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | EC               | CORP              | US        |      16278 | NS      | $0.02         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| IM PASTOR FTH 3                                                           | PASTOR IM FTH/FTA IMPAS 3 A REGS                            | CUSIP: B0BL9JII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |   16243092 | PA      | $14779297.93  | 0.34%             | 2043-03-22      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-8                                                       | IMPAC CMB TRUST IMM 2004 8 1A                               | CUSIP: 45254NKQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76706 | PA      | $70098.13     | 0.00%             | 2034-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-7                                                       | IMPAC CMB TRUST IMM 2005 7 A1                               | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113317 | PA      | $95784.13     | 0.00%             | 2035-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2007-2                                         | IMPAC SECURED ASSETS CORP. IMSA 2007 2 1A1A                 | CUSIP: 452570AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2320 | PA      | $1785.84      | 0.00%             | 2037-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| INDYMAC HM EQ LN ASSET BACKED TR 2000-C                                   | INDYMAC HOME EQUITY LOAN ASSET INHEL 2000 C MF1             | CUSIP: 456606BJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     466544 | PA      | $185232.42    | 0.00%             | 2031-12-25      | Variable      | 8.74%                 | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MTGE LN TRUST 2007-AR1                                       | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 AR1 2A1            | CUSIP: 456672AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2796609 | PA      | $1931277.94   | 0.04%             | 2037-06-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2007-AR1                                    | INDYMAC INDA MORTGAGE LOAN TRU INDA 2007 AR1 3A1            | CUSIP: 45669AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18229 | PA      | $15325.95     | 0.00%             | 2037-03-25      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MTGE LOAN TRUST 2006-AR3                                     | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR3 1A1            | CUSIP: 45662FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     458598 | PA      | $389906.03    | 0.01%             | 2036-12-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LN TRUST 2004-AR5                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR5 2A1B           | CUSIP: 45660NS48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112409 | PA      | $92807.24     | 0.00%             | 2034-08-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR23                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR23 6A1           | CUSIP: 45660LF95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2493996 | PA      | $2146567.38   | 0.05%             | 2035-11-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR8                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR8 2A1A           | CUSIP: 45660LJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41675 | PA      | $37299.49     | 0.00%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 2A1           | CUSIP: 45661KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     617494 | PA      | $557836.34    | 0.01%             | 2036-06-25      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-FLX1                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 FLX1 A1            | CUSIP: 45667WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112686 | PA      | $103480.19    | 0.00%             | 2036-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR5                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR5 2A1            | CUSIP: 45669EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1748511 | PA      | $1397632.19   | 0.03%             | 2037-05-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 2A1            | CUSIP: 45670CAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     142200 | PA      | $114899.97    | 0.00%             | 2037-06-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                          | WESTMORELAND MINING HOLDINGS L COMMON                       | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     240900 | NS      | $1806750.00   | 0.04%             |  |  |  | Yes           |                  3 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR15                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR15 1A1           | CUSIP: 45660LBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     209913 | PA      | $180414.88    | 0.00%             | 2035-02-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR7                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR7 A2             | CUSIP: 45660NT96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     191287 | PA      | $163468.44    | 0.00%             | 2034-09-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR13                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR13 A2            | CUSIP: 45661XAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     319750 | PA      | $221411.26    | 0.01%             | 2036-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A          | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3598290 | PA      | $3137000.37   | 0.07%             | 2046-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR31                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR31 A5            | CUSIP: 45667QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     567386 | PA      | $493281.22    | 0.01%             | 2036-11-25      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX1                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX1 A3            | CUSIP: 45668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2166836 | PA      | $1368541.83   | 0.03%             | 2037-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-D                                   | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 2A3             | CUSIP: 43709LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3467248 | PA      | $2968650.34   | 0.07%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                   | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3             | CUSIP: 43710BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17975864 | PA      | $11889498.63  | 0.28%             | 2037-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                   | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A4A            | CUSIP: 43710BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2821047 | PA      | $2390297.49   | 0.06%             | 2037-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO)                                       | POSEIDON BIDCO SASU EUR TERM LOAN B                         | CUSIP: 945BRXII5<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |   51900000 | PA      | $47867555.55  | 1.11%             | 2028-07-14      | Floating      | 7.26%                 | No            |                  3 | On Loan: No      |
| INNOPHOS (IRIS HOLDINGS INC)                                              | IRIS HOLDINGS INC SR UNSECURED 144A 02/26 8.75              | CUSIP: 46272EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1634000.00   | 0.04%             | 2026-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| INSTANT BRANDS HOLDINGS INC                                               | INSTANT BRANDS HOLDINGS INC TERM LOAN                       | CUSIP: 45783DAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3796527 | PA      | $2566452.29   | 0.06%             | 2028-04-12      | Floating      | 9.73%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                              | INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5             | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |  129139000 | PA      | $115771822.11 | 2.69%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                              | INTELSAT JACKSON HOLDINGS S.A. 2021 EXIT TERM LOAN B        | CUSIP: L5137LAQ8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | LON              | CORP              | LU        |   33669914 | PA      | $32575642.19  | 0.76%             | 2029-02-01      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| INTER MEDIA AND COMMUNICATION SPA                                         | INTER MEDIA COMMUNICATIO SR SECURED 144A 02/27 6.75         | CUSIP: ACI239TV9<br>LEI: 81560082CE2ED97AFD36 | Long             | DBT              | CORP              | IT        |   10250000 | PA      | $10428987.99  | 0.24%             | 2027-02-09      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                                     | REPUBLIC OF COTE DIVOIRE THE 2021 EUR TERM LOAN A           | CUSIP: 937JLBII2<br>LEI: 254900ICW11T82O6H590 | Long             | LON              | NUSS              | CI        |     900000 | PA      | $920051.34    | 0.02%             | 2027-03-19      | Floating      | 6.61%                 | No            |                  3 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2005-HE2                                   | IXIS REAL ESTATE CAPITAL TRUST IXIS 2005 HE2 M5             | CUSIP: 45071KBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3207322 | PA      | $3121165.84   | 0.07%             | 2035-09-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN ALTERNATIVE LN TRUST 2005-S1                                  | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2005 S1 2A12           | CUSIP: 46627MAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     551086 | PA      | $400572.93    | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST          | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST B 144A       | CUSIP: 46652DAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7905000 | PA      | $6957963.61   | 0.16%             | 2036-12-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST          | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST D 144A       | CUSIP: 46652DAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2128236.75   | 0.05%             | 2036-12-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| JACKSON PARK TRUST 2019-LIC                                               | JACKSON PARK TRUST JAX 2019 LIC E 144A                      | CUSIP: 46868RAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3900000 | PA      | $2819386.44   | 0.07%             | 2039-10-14      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| JEFFERIES & CO 2009-R7                                                    | JEFFERIES + CO JMAC 2009 R7 10A2 144A                       | CUSIP: 47233AAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3559628 | PA      | $1119075.80   | 0.03%             | 2036-12-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JEFFERSON CAPITAL HOLDINGS LLC                                            | JEFFERSON CAPITAL HOLDIN COMPANY GUAR 144A 08/26 6          | CUSIP: 472481AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10933000 | PA      | $9061817.05   | 0.21%             | 2026-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A2                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A2 3A1            | CUSIP: 46628GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     587681 | PA      | $336075.03    | 0.01%             | 2036-05-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A1            | CUSIP: 466285AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7574 | PA      | $3151.39      | 0.00%             | 2036-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A7            | CUSIP: 466285AR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86876 | PA      | $84692.03     | 0.00%             | 2036-11-25      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S4                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S4 A4             | CUSIP: 466302AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2452181 | PA      | $2327311.68   | 0.05%             | 2036-12-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 12A1           | CUSIP: 466278AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22942575 | PA      | $9760147.65   | 0.23%             | 2037-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A1 144A       | CUSIP: 466309AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5048355 | PA      | $3776094.40   | 0.09%             | 2037-06-27      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A2 144A       | CUSIP: 466309AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13263916 | PA      | $5928974.49   | 0.14%             | 2037-06-27      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| 245 PARK AVENUE TRUST 2017-245P                                           | PARK AVENUE TRUST PRKAV 2017 245P D 144A                    | CUSIP: 90187LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $1929057.00   | 0.04%             | 2037-06-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| 245 PARK AVENUE TRUST 2017-245P                                           | PARK AVENUE TRUST PRKAV 2017 245P E 144A                    | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1326000 | PA      | $960602.14    | 0.02%             | 2037-06-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMM MTGE SEC 2004-PNC1                                   | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2004 PNC1 E            | CUSIP: 46625M5N5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     327827 | PA      | $318432.68    | 0.01%             | 2041-06-12      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5            | JP MORGAN CHASE COMMERCIAL 11/38 VAR                        | CUSIP: 46654PAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11300000 | PA      | $10439540.03  | 0.24%             | 2038-11-15      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 G 144A       | CUSIP: 46654PAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19700000 | PA      | $17467004.02  | 0.41%             | 2038-11-15      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-RM1                                      | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A2            | CUSIP: 46629NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5653 | PA      | $2564.09      | 0.00%             | 2036-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2007-HE1                                      | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 HE1 AV3           | CUSIP: 46630KAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     337918 | PA      | $334174.85    | 0.01%             | 2047-03-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                  | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P D 144A         | CUSIP: 90205FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12600000 | PA      | $11587132.62  | 0.27%             | 2034-09-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2                  | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A4           | CUSIP: 46628TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1350637 | PA      | $619731.37    | 0.01%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                  | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P F 144A         | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2254803.00   | 0.05%             | 2034-09-15      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 3A1                  | CUSIP: 46628KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     198767 | PA      | $161429.66    | 0.00%             | 2036-05-25      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| 510 LOAN ACQUISITION TRUST 2020-1                                         | 510 LOAN ACQUISITION TRUST FTLA 2020 1 A 144A               | CUSIP: 33831HAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18495675 | PA      | $17654273.81  | 0.41%             | 2060-09-25      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L                 | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13818 | PA      | $10459.00     | 0.00%             | 2036-10-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1                  | CUSIP: 46628BBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     358931 | PA      | $266997.78    | 0.01%             | 2036-10-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 6A1                  | CUSIP: 46630GAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25627 | PA      | $24002.16     | 0.00%             | 2035-07-25      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A4                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 A4 1A1                  | CUSIP: 46631JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1753113 | PA      | $1389902.94   | 0.03%             | 2037-06-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A96                 | CUSIP: 46631NDZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     342367 | PA      | $190059.91    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                       | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AF3           | CUSIP: 46629QAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2709674 | PA      | $1723427.71   | 0.04%             | 2029-09-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                       | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AF5           | CUSIP: 46629QAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7423763 | PA      | $4719195.69   | 0.11%             | 2036-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WF1                                       | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WF1 A3B           | CUSIP: 46628SAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1004977 | PA      | $290799.67    | 0.01%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| JP MORGAN REREMIC 2009-4                                                  | JP MORGAN REREMIC JPMRR 2009 4 4A2 144A                     | CUSIP: 46633JBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4091887 | PA      | $1513311.70   | 0.04%             | 2036-04-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN REREMIC 2010-2                                                  | JP MORGAN REREMIC JPMRR 2010 2 2A4 144A                     | CUSIP: 46634FAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     375878 | PA      | $341636.99    | 0.01%             | 2037-03-21      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| JP MORGAN RESECURITIZATION TRUST SERIES 2009-9 2009-9                     | JP MORGAN REREMIC JPMRR 2009 9 A2 144A                      | CUSIP: 46633XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1115930 | PA      | $843552.51    | 0.02%             | 2036-09-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KGS-ALPHA SBA COOF TRUST SERIES 2012-5                                    | KGS ALPHA SBA COOF TRUST KSBA 2012 5 A 144A                 | CUSIP: 48248JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1010131 | PA      | $21010.72     | 0.00%             | 2038-04-25      | Variable      | 1.10%                 | No            |                  3 | On Loan: No      |
| KIK CUSTOM PRODUCTS (KRONOS ACQUISITION HOLDINGS INC)                     | KRONOS ACQUISITION HOLDINGS 2021 1ST LIEN TERM LOAN         | CUSIP: 50106JAF3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    8217000 | PA      | $7970490.00   | 0.19%             | 2026-12-22      | Floating      | 10.51%                | No            |                  2 | On Loan: No      |
| AADVANTAGE LOYALTY IP LTD                                                 | AMERICAN AIRLINES, INC. 2021 TERM LOAN                      | CUSIP: 02376CBJ3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |    9397000 | PA      | $9372050.97   | 0.22%             | 2028-04-20      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| LABRADOR AVIATION FINANCE LTD 2016-1A                                     | LABRADOR AVIATION FINANCE LIMI LAFL 2016 1A A1 144A         | CUSIP: 50543LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3429873 | PA      | $2718311.80   | 0.06%             | 2042-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| LANSDOWNE MORTGAGE SEC PLC                                                | LANSDOWNE MORTGAGE SECURITIES LANSD 2 A2 REGS               | CUSIP: B1L1F5II6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    6555357 | PA      | $6425466.41   | 0.15%             | 2048-09-16      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| LANSDOWNE MORTGAGE SECURITIES NO.1 PLC                                    | LANSDOWNE MORTGAGE SECURITIES LANSD 1 M1 REGS               | CUSIP: B12GGNII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     800000 | PA      | $606682.13    | 0.01%             | 2045-06-15      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| LAVENDER TRUST 2010-RR1A                                                  | LAVENDER TRUST LTS 2010 RR1A A4 144A                        | CUSIP: 519440DG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7067157 | PA      | $6121948.28   | 0.14%             | 2036-11-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LAVENDER TRUST SERIES 2010-RR2A                                           | LAVENDER TRUST LTS 2010 RR2A A4 144A                        | CUSIP: 519440AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3649678 | PA      | $1948269.07   | 0.05%             | 2036-10-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL             | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     385330 | PA      | $250464.46    | 0.01%             | 2024-06-28      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL              | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    5173812 | PA      | $2777224.63   | 0.06%             | 2025-06-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LEHMAN ABS MTGE LN TR 2007-1                                              | LEHMAN ABS MORTGAGE LOAN TRUST LABSM 2007 1 2A1 144A        | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3536105 | PA      | $2501914.73   | 0.06%             | 2037-06-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-2                                              | LEHMAN MORTGAGE TRUST LMT 2006 2 1A1                        | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199197 | PA      | $131865.59    | 0.00%             | 2036-04-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-4                                              | LEHMAN MORTGAGE TRUST LMT 2006 4 1A1                        | CUSIP: 52520RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     462079 | PA      | $374441.82    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-5                                              | LEHMAN MORTGAGE TRUST LMT 2006 5 1A12                       | CUSIP: 52520TAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     336361 | PA      | $188439.83    | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-10                                             | LEHMAN MORTGAGE TRUST LMT 2007 10 1A1                       | CUSIP: 52522QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     487831 | PA      | $461445.22    | 0.01%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-4                                              | LEHMAN MORTGAGE TRUST LMT 2007 4 4A1                        | CUSIP: 52521LBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25106 | PA      | $24389.47     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                                              | LEHMAN MORTGAGE TRUST LMT 2007 8 2A1                        | CUSIP: 52521YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3150335 | PA      | $1134598.27   | 0.03%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                                              | LEHMAN MORTGAGE TRUST LMT 2007 8 3A1                        | CUSIP: 52521YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   31129378 | PA      | $9360398.65   | 0.22%             | 2037-09-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-11                                                   | LEHMAN XS TRUST LXS 2006 11 2A4                             | CUSIP: 52522WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     407949 | PA      | $425072.93    | 0.01%             | 2046-06-24      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-10H                                                  | LEHMAN XS TRUST LXS 2007 10H 1A3                            | CUSIP: 525237AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22488567 | PA      | $14660537.45  | 0.34%             | 2037-07-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-14H                                                  | LEHMAN XS TRUST LXS 2007 14H A12                            | CUSIP: 52525LAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3394770 | PA      | $2775046.95   | 0.06%             | 2047-07-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-15N                                                  | LEHMAN XS TRUST LXS 2007 15N 4A1                            | CUSIP: 52524VAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     241069 | PA      | $207079.73    | 0.00%             | 2047-08-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-6                                                    | LEHMAN XS TRUST LXS 2007 6 3A6                              | CUSIP: 52524PAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6921346 | PA      | $5714045.08   | 0.13%             | 2037-05-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST1                           | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST1 CERT 144A      | CUSIP: 52607NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1400000 | PA      | $366452.44    | 0.01%             | 2028-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2                           | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST2 CERT 144A      | CUSIP: 52607QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1700000 | PA      | $695376.52    | 0.02%             | 2028-04-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| LIFEMILES LTD                                                             | LIFEMILES LTD 2021 TERM LOAN B                              | CUSIP: G6368CAE9<br>LEI: 254900CGQFLUG99LJ840 | Long             | LON              | CORP              | BM        |   15990953 | PA      | $14927554.56  | 0.35%             | 2026-08-30      | Floating      | 9.98%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                                      | REGIONALCARE HOSPITAL PARTNERS 2018 TERM LOAN B             | CUSIP: 75915TAD4<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |     259618 | PA      | $245371.20    | 0.01%             | 2025-11-16      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| ACACIA CDO LTD 5A                                                         | ACACIA CDO LTD ACCDO 5A B 144A                              | CUSIP: 00388EAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8685715 | PA      | $2746718.38   | 0.06%             | 2039-11-08      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| ACCESS FINANCIAL MANUF HSG 1995-1                                         | ACCESS FINANCIAL MANUF HSG CON ACCFC 1995 1 B1              | CUSIP: 004313AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     199764 | PA      | $3194.52      | 0.00%             | 2023-02-15      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| LOANCORE ISSUER LTD 2021-CRE4                                             | LOANCORE 2018 CRE1 ISSUER, LTD LNCR 2021 CRE4 E 144A        | CUSIP: 53946CAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2705000 | PA      | $2522748.06   | 0.06%             | 2035-07-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL3                                      | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL3 M2            | CUSIP: 542514PS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   56092200 | PA      | $51754051.59  | 1.20%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-1                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 2A3             | CUSIP: 542514RL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   43206014 | PA      | $35411381.12  | 0.82%             | 2036-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-3                                     | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 3 2A4             | CUSIP: 542514UL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8246782 | PA      | $2789923.32   | 0.06%             | 2046-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| LUXE TRUST 2021-TRIP                                                      | LUXE COMMERCIAL MORTGAGE TRUST LUXE 2021 TRIP F 144A        | CUSIP: 55066WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5211000 | PA      | $4779795.48   | 0.11%             | 2038-10-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                                   | MADISON PARK FUNDING LTD MDPK 2017 23A SUB 144A             | CUSIP: 55820UAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5600000 | PA      | $2491368.60   | 0.06%             | 2047-07-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE4                                              | ACE SECURITIES CORP. ACE 2005 HE4 M6                        | CUSIP: 004421PV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17938000 | PA      | $15222174.24  | 0.35%             | 2035-07-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| MARGATE FUNDING LTD                                                       | MARGATE FUNDING LTD MGATE 2004 1A A1S 144A                  | CUSIP: 56659NAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17556245 | PA      | $5844403.83   | 0.14%             | 2044-12-04      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE5                                              | ACE SECURITIES CORP. ACE 2005 HE5 M5                        | CUSIP: 004421RJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5029224 | PA      | $3670165.87   | 0.09%             | 2035-08-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-2                                             | MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A                | CUSIP: 57109H102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      16400 | PA      | $1251343.33   | 0.03%             | 2029-07-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-3                                             | MARLETTE FUNDING TRUST MFT 2019 3A CERT 144A                | CUSIP: 57109M101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      35261 | PA      | $2844900.06   | 0.07%             | 2029-09-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MARLETTE FUNDING TRUST 2020-1A                                            | MARLETTE FUNDING TRUST MFT 2020 1A CERT 144A                | CUSIP: 57109J108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      33014 | PA      | $1205070.29   | 0.03%             | 2030-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MARLETTE FUNDING TRUST 2020-2A                                            | MARLETTE FUNDING TRUST MFT 2020 2A CERT 144A                | CUSIP: 57108R101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8800 | PA      | $585194.99    | 0.01%             | 2030-09-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TR 2007-1                                     | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 1 I2A3             | CUSIP: 576431AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45212 | PA      | $44408.33     | 0.00%             | 2047-01-25      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-10                                   | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 10 2A1             | CUSIP: 576433SV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     188500 | PA      | $168357.79    | 0.00%             | 2034-10-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                    | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1               | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26414981 | PA      | $3016508.99   | 0.07%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                    | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A3               | CUSIP: 5764342K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19984495 | PA      | $2257294.71   | 0.05%             | 2036-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE1                                       | MASTR ASSET BACKED SECURITIES MABS 2006 FRE1 M1             | CUSIP: 57643LPQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15155139 | PA      | $12394874.18  | 0.29%             | 2035-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                       | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A4             | CUSIP: 57643GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5516228 | PA      | $3858777.03   | 0.09%             | 2036-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE2                                        | MASTR ASSET BACKED SECURITIES MABS 2006 HE2 A4              | CUSIP: 57644UAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2693372 | PA      | $1079192.55   | 0.03%             | 2036-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC1                                        | MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M1              | CUSIP: 57643LNG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200216 | PA      | $195612.82    | 0.00%             | 2036-01-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                        | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A3              | CUSIP: 55275BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2817125 | PA      | $1143389.86   | 0.03%             | 2036-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2006-WMC1                                    | MASTR ASSET BACKED SECURITIES MABS 2006 WMC1 A3             | CUSIP: 57643LRK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6278424 | PA      | $2539348.70   | 0.06%             | 2036-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                              | ACE SECURITIES CORP. ACE 2006 NC3 A2B                       | CUSIP: 00442EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21839923 | PA      | $6353626.64   | 0.15%             | 2036-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2006-AM2                              | MASTR ASSET BACKED SECURITIES MABS 2006 AM2 A3              | CUSIP: 57645FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4164300 | PA      | $3722841.87   | 0.09%             | 2036-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2007-3                                        | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A5             | CUSIP: 57645NAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6765000 | PA      | $5475657.30   | 0.13%             | 2047-05-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| MBRT 2019-MBR                                                             | MBRT 2019 MBR MBRT 2019 MBR F 144A                          | CUSIP: 55282DAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9308000 | PA      | $8860646.35   | 0.21%             | 2036-11-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| MCDERMOTT TECHNOLOGY (AMERICAS) INC                                       | MCDERMOTT TECHNOLOGY (AMERICAS TERM LOAN                    | CUSIP: 58004GAB4<br>LEI: 549300MSF84ZAB7RHN59 | Long             | LON              | CORP              | US        |    5012691 | PA      | $2690737.16   | 0.06%             | 2025-05-09      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE LIMITED                                             | MELCO RESORTS FINANCE SR UNSECURED 144A 07/28 5.75          | CUSIP: 58547DAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   36928000 | PA      | $30935293.88  | 0.72%             | 2028-07-21      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE LIMITED                                             | MELCO RESORTS FINANCE SR UNSECURED 144A 12/29 5.375         | CUSIP: 58547DAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    2600000 | PA      | $2090634.00   | 0.05%             | 2029-12-04      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE LIMITED                                             | MELCO RESORTS FINANCE SR UNSECURED REGS 07/28 5.75          | CUSIP: G5975LAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     200000 | PA      | $167543.84    | 0.00%             | 2028-07-21      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-AF1                                     | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 AF1 1AF8           | CUSIP: 59024KAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2361300 | PA      | $1827985.46   | 0.04%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A1                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1             | CUSIP: 59020U5W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6682572 | PA      | $3670223.48   | 0.09%             | 2036-03-25      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A3                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A3 1A              | CUSIP: 59023CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1593308 | PA      | $1477405.42   | 0.03%             | 2036-05-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| ADAGIO VI CLO DAC VI-A                                                    | ADAGIO CLO ADAGI VI A SUB 144A                              | CUSIP: ACI0YQYN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1800000 | PA      | $502987.98    | 0.01%             | 2031-04-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                       | MFRA TRUST MFRA 2020 NQM2 B1 144A                           | CUSIP: 552751AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14456000 | PA      | $10968699.61  | 0.25%             | 2065-04-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| MGM CHINA HOLDINGS LIMITED                                                | MGM CHINA HOLDINGS LTD SR UNSECURED 144A 02/27 4.75         | CUSIP: 55300RAG6<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |     318000 | PA      | $281729.64    | 0.01%             | 2027-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MGM CHINA HOLDINGS LIMITED                                                | MGM CHINA HOLDINGS LTD SR UNSECURED 144A 06/25 5.25         | CUSIP: 55300RAE1<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |     800000 | PA      | $753614.28    | 0.02%             | 2025-06-18      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MID-STATE TRUST 2006-1                                                    | MID STATE TRUST MDST 2006 1 M2 144A                         | CUSIP: 59548PAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3007946 | PA      | $2943462.60   | 0.07%             | 2040-10-15      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE4                                     | MORGAN STANLEY CAPITAL INC MSAC 2004 HE4 M2                 | CUSIP: 61746RGL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     518419 | PA      | $514681.63    | 0.01%             | 2034-05-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC1                                    | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M4                | CUSIP: 61744CLX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6376374 | PA      | $5165549.43   | 0.12%             | 2035-01-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3                 | CUSIP: 61748BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4797401 | PA      | $2519783.83   | 0.06%             | 2036-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-1                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 1 3A22             | CUSIP: 007037BP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1374909 | PA      | $1185731.44   | 0.03%             | 2037-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-1                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 1 5A1              | CUSIP: 007037AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     777825 | PA      | $809256.22    | 0.02%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-3                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 3 2A1 144A         | CUSIP: 00703RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     868020 | PA      | $618402.79    | 0.01%             | 2037-11-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2C                | CUSIP: 61750SAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7538064 | PA      | $3618202.99   | 0.08%             | 2036-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2D                | CUSIP: 61750SAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3632587 | PA      | $1744707.32   | 0.04%             | 2036-10-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2FP               | CUSIP: 61750SAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1449408 | PA      | $694987.87    | 0.02%             | 2036-10-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC4                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2C                | CUSIP: 61748LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     512840 | PA      | $446603.25    | 0.01%             | 2036-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2B                | CUSIP: 617526AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1234854 | PA      | $745123.18    | 0.02%             | 2036-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TRUST 2006-1                                     | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 1 6A1              | CUSIP: 225470B93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3258074 | PA      | $2049126.72   | 0.05%             | 2036-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2C                | CUSIP: 617526AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13461179 | PA      | $8129792.94   | 0.19%             | 2036-11-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                            | ADLER GROUP SA SR UNSECURED REGS 01/26 1.875                | CUSIP: ACI1TZD42<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |   16300000 | PA      | $7132003.55   | 0.17%             | 2026-01-14      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                            | ADLER GROUP SA SR UNSECURED REGS 01/29 2.25                 | CUSIP: ACI1TZGC1<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |     400000 | PA      | $145249.29    | 0.00%             | 2029-01-14      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2D                | CUSIP: 61753NAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4644243 | PA      | $2265247.87   | 0.05%             | 2037-02-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                            | ADLER GROUP SA SR UNSECURED REGS 04/27 2.25                 | CUSIP: ACI1X8QD3<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |   11000000 | PA      | $4168330.32   | 0.10%             | 2027-04-27      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                       | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2C                | CUSIP: 61750FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6615469 | PA      | $2538111.86   | 0.06%             | 2036-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                       | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2FP               | CUSIP: 61750FAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3292853 | PA      | $1256040.33   | 0.03%             | 2036-09-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                            | ADLER GROUP SA SR UNSECURED REGS 07/24 1.5                  | CUSIP: ACI0WDFD7<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |     600000 | PA      | $443567.51    | 0.01%             | 2024-07-26      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                            | ADLER GROUP SA SR UNSECURED REGS 08/25 3.25                 | CUSIP: ACI1PQN37<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |    9800000 | PA      | $4358763.29   | 0.10%             | 2025-08-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                    | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P F 144A         | CUSIP: 61772WAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18000000 | PA      | $16015896.90  | 0.37%             | 2023-12-15      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                    | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P G 144A         | CUSIP: 61772WAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19500000 | PA      | $17026540.05  | 0.40%             | 2023-12-15      | Floating      | 9.41%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                            | ADLER GROUP SA SR UNSECURED REGS 11/26 2.75                 | CUSIP: ACI1SQBP8<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |    1500000 | PA      | $648290.97    | 0.02%             | 2026-11-13      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-SUN                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2018 SUN G 144A          | CUSIP: 61691MAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10478000 | PA      | $9849777.89   | 0.23%             | 2035-07-15      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                  | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS C 144A         | CUSIP: 61692AAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     453000 | PA      | $405756.86    | 0.01%             | 2036-12-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                  | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS E 144A         | CUSIP: 61692AAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18590000 | PA      | $14020077.93  | 0.33%             | 2036-12-15      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| ADLER REAL ESTATE AG                                                      | ADLER REAL ESTATE AG SR UNSECURED REGS 02/24 2.125          | CUSIP: BD3J8HII3<br>LEI: 529900Y6QFNN3D363B76 | Long             | DBT              | CORP              | DE        |    5900000 | PA      | $5605141.15   | 0.13%             | 2024-02-06      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2006-HE2                                       | MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2C                | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11267 | PA      | $9098.22      | 0.00%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ADLER REAL ESTATE AG                                                      | ADLER REAL ESTATE AG SR UNSECURED REGS 04/23 1.875          | CUSIP: BD8ZD2II9<br>LEI: 529900Y6QFNN3D363B76 | Long             | DBT              | CORP              | DE        |     600000 | PA      | $597310.82    | 0.01%             | 2023-04-27      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                      | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A3              | CUSIP: 61752UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22633836 | PA      | $12581819.00  | 0.29%             | 2037-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| ADLER REAL ESTATE AG                                                      | ADLER REAL ESTATE AG SR UNSECURED REGS 04/26 3              | CUSIP: BD5N5GII7<br>LEI: 529900Y6QFNN3D363B76 | Long             | DBT              | CORP              | DE        |    1700000 | PA      | $1271560.19   | 0.03%             | 2026-04-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-6AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 1A1             | CUSIP: 61749CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148359 | PA      | $30123.83     | 0.00%             | 2036-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-6AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 3A4             | CUSIP: 61749CAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1653376 | PA      | $788169.45    | 0.02%             | 2036-05-25      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                                   | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A2A           | CUSIP: 61748HHB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     317938 | PA      | $284071.78    | 0.01%             | 2035-01-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                                   | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR B1             | CUSIP: 61748HHP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     185991 | PA      | $152137.86    | 0.00%             | 2035-01-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-10                                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 10 1A2              | CUSIP: 61748HRT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     185575 | PA      | $132845.78    | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 3A              | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     598490 | PA      | $497289.12    | 0.01%             | 2035-07-25      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2006-7                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 7 5A2               | CUSIP: 61749JAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1834355 | PA      | $561477.85    | 0.01%             | 2036-06-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-12                                         | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 12 3A1              | CUSIP: 61755GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139713 | PA      | $61202.65     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RE-REMIC TRUST 2010-R4                                     | MORGAN STANLEY REREMIC TRUST MSRR 2010 R4 4B 144A           | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2181623 | PA      | $1973965.39   | 0.05%             | 2037-02-26      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2009-R2                                      | MORGAN STANLEY REREMIC TRUST MSRR 2009 R2 1A1B 144A         | CUSIP: 61758MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7596497 | PA      | $7406122.76   | 0.17%             | 2036-04-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R1                                      | MORGAN STANLEY REREMIC TRUST MSRR 2010 R1 2C 144A           | CUSIP: 61758QAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8000458 | PA      | $7521574.86   | 0.17%             | 2035-07-26      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R2                                      | MORGAN STANLEY REREMIC TRUST MSRR 2010 R2 1B 144A           | CUSIP: 61758VAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     740202 | PA      | $685815.02    | 0.02%             | 2035-09-26      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R5                                      | MORGAN STANLEY REREMIC TRUST MSRR 2010 R5 3B 144A           | CUSIP: 61759HAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1374884 | PA      | $1287892.93   | 0.03%             | 2037-03-26      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2015-R7                             | MORGAN STANLEY REREMIC TRUST MSRR 2015 R7 2B 144A           | CUSIP: 61765PAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10890106 | PA      | $8064094.94   | 0.19%             | 2035-06-26      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| MORRISON (MARKET BIDCO FINCO PLC)                                         | MARKET BIDCO FINCO PLC SR SECURED 144A 11/27 4.75           | CUSIP: ACI261ZG9<br>LEI: 549300UGYX6EBVHRVG53 | Long             | DBT              | CORP              | GB        |    6600000 | PA      | $5700537.90   | 0.13%             | 2027-11-04      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MORRISON (MARKET BIDCO LIMITED)                                           | WM MORRISON EUR TERM LOAN B1                                | CUSIP: 943UASII4<br>LEI: 549300RKU7UEPSC42U63 | Long             | LON              | CORP              | GB        |   14364706 | PA      | $13569930.80  | 0.32%             | 2028-07-31      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| MORRISON (MARKET BIDCO LIMITED)                                           | WM MORRISON EUR TERM LOAN B2                                | CUSIP: 943UATII2<br>LEI: 549300RKU7UEPSC42U63 | Long             | LON              | CORP              | GB        |    7835294 | PA      | $7401780.43   | 0.17%             | 2028-07-31      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2010-1A                                   | MORTGAGE EQUITY CONVERSION ASS MECA 2010 1A A 144A          | CUSIP: 61911BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4254544 | PA      | $3812020.76   | 0.09%             | 2060-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGE FUNDING 2008-1 PLC                                               | MORTGAGE FUNDING PLC MFD 2008 1 B1 REGS                     | CUSIP: ACI1690J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1000000 | PA      | $1132549.89   | 0.03%             | 2046-03-13      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-3                                          | AEGIS ASSET BACKED SECURITIES AABST 2004 3 M3               | CUSIP: 00764MCH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     740219 | PA      | $718678.89    | 0.02%             | 2034-09-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN CORPORATION                                                     | MULTIPLAN CORP SR UNSECURED 144A 10/27 6                    | CUSIP: 17144CAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   33700000 | PA      | $21652250.00  | 0.50%             | 2027-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                              | MPH ACQUISITION HOLDINGS LLC 2021 TERM LOAN B               | CUSIP: 55328HAK7<br>LEI: 5493002WXOPRPTXWTU06 | Long             | LON              | CORP              | US        |    9900000 | PA      | $8501625.00   | 0.20%             | 2028-09-01      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| NAC AVIATION 29 DESIGNATED ACTIVITY COMPANY                               | NAC AVIATION 29 DAC 2022 REINSTATD R1 TAKEBCK TLB1          | CUSIP: 943WDYII4<br>LEI: 213800F6E89RCASJ7E83 | Long             | LON              | CORP              | IE        |    5000000 | PA      | $4193750.00   | 0.10%             | 2026-06-30      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A5                         | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A5 1O 144A      | CUSIP: 63546CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   41400000 | PA      | $12999600.00  | 0.30%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A6                         | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A6 1O 144A      | CUSIP: 63546EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   41775000 | PA      | $13195302.15  | 0.31%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-43A6                         | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 43A6 1O 144A      | CUSIP: 63546GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   52025000 | PA      | $14895902.05  | 0.35%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL HEALTH INVS INC                                                  | NATIONAL HEALTH INVESTOR COMPANY GUAR 02/31 3               | CUSIP: 63633DAF1<br>LEI: 549300ZPKZIG6DKDEC02 | Long             | DBT              | CORP              | US        |     200000 | PA      | $144638.73    | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-TECH                    | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 TECH F 144A        | CUSIP: 63874LAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8574230 | PA      | $8275047.68   | 0.19%             | 2034-11-15      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-TECH                    | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 TECH G 144A        | CUSIP: 63874LAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3718240 | PA      | $3489732.58   | 0.08%             | 2034-11-15      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| NESTLE SKIN HEALTH SA (SUNSHINE LUXEMBOURG VII SARL)                      | SUNSHINE LUXEMBOURG VII SARL 2021 TERM LOAN B3              | CUSIP: L8908YAE8<br>LEI: 254900CHQOBZNYV4DY60 | Long             | LON              | CORP              | LU        |       1477 | PA      | $1418.55      | 0.00%             | 2026-10-01      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TRUST 2003-2                                 | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 2 M2              | CUSIP: 64352VCS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     265173 | PA      | $224833.28    | 0.01%             | 2033-01-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 B5 144A        | CUSIP: 64828XAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8300000 | PA      | $3625910.61   | 0.08%             | 2059-11-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2021-SP1                                          | NEW YORK MORTGAGE TRUST NYMT 2021 SP1 A2 144A               | CUSIP: 62955RAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $846718.40    | 0.02%             | 2061-08-25      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL (ENDURANCE INTERNATIONAL GROUP HOLDINGS INC)              | ENDURANCE INTERNATIONAL SR UNSECURED 144A 02/29 6           | CUSIP: 29279XAA8<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |   14296000 | PA      | $9845655.20   | 0.23%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                               | NEWGATE FUNDING PLC NGATE 2007 3X BB REGS                   | CUSIP: B2NDQHII8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1125612 | PA      | $1071551.12   | 0.02%             | 2050-12-15      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                               | NEWGATE FUNDING PLC NGATE 2007 3X CB REGS                   | CUSIP: B2NDQJII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    2148895 | PA      | $1885082.69   | 0.04%             | 2050-12-15      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| NGD HOLDINGS BV                                                           | NGD HOLDINGS BV SR SECURED 12/26 6.75                       | CUSIP: ACI1XVPP6<br>LEI: 984500ED2ABF0UF46690 | Long             | DBT              | CORP              | NL        |    6184686 | PA      | $2879744.42   | 0.07%             | 2026-12-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | REPUBLIC OF NIGERIA SR UNSECURED 144A 09/51 8.25            | CUSIP: 65412JAT0<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    7300000 | PA      | $4897497.00   | 0.11%             | 2051-09-28      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                       | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81                | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    2400000 | PA      | $2042075.26   | 0.05%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                                     | NOBLE FINANCE CO SECURED 02/28 11                           | CUSIP: 65505JAC5<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |    1578544 | PA      | $1756130.20   | 0.04%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                                     | NOBLE FINANCE CO SECURED 144A 02/28 11                      | CUSIP: 65505JAA9<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |    3748897 | PA      | $4170647.91   | 0.10%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                      | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A4               | CUSIP: 65535AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4286799 | PA      | $970932.14    | 0.02%             | 2036-10-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| AIM AVIATION FINANCE LIMITED 2015-1A                                      | DCAL AVIATION FINANCE LIMITED DCAL 2015 1A A1 144A          | CUSIP: 001406AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    1987632 | PA      | $1358373.68   | 0.03%             | 2040-02-15      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE3                                      | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE3 2A4              | CUSIP: 65536QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $2853773.30   | 0.07%             | 2036-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2014-8R                                     | NOMURA RESECURITIZATION TRUST NMRR 2014 8R 2A4 144A         | CUSIP: 65540QAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3967554 | PA      | $3440408.09   | 0.08%             | 2035-09-26      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORPORATION                                              | NORFOLK SOUTHERN CORP SR UNSECURED 05/21 4.1                | CUSIP: 655844CJ5<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     100000 | PA      | $69648.66     | 0.00%             | 2121-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-5                                          | NOVASTAR HOME EQUITY LOAN NHEL 2006 5 A2C                   | CUSIP: 66988YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1088563 | PA      | $375463.59    | 0.01%             | 2036-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1                                  | NOVASTAR MORTGAGE BACKED NOTES NMFT 2006 MTA1 2A1A          | CUSIP: 66988UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     156839 | PA      | $148733.38    | 0.00%             | 2046-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| NUUDAY A/S                                                                | NUUDAY A S EUR TERM LOAN B                                  | CUSIP: 950BKAII4<br>LEI: 5493003B50SM3XIJDQ79 | Long             | LON              | CORP              | DK        |    3400000 | PA      | $3389328.90   | 0.08%             | 2027-12-31      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2020-2 CLASS A PASS THROUGH TRUST                              | AIR CANADA 2020 2A PTT PASS THRU CE 144A 10/30 5.25         | CUSIP: 00909DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     748594 | PA      | $708358.49    | 0.02%             | 2030-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2022-SP1                                                  | NEW YORK MORTGAGE TRUST NYMT 2022 SP1 A1 144A               | CUSIP: 62956BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14945491 | PA      | $14081774.80  | 0.33%             | 2062-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| OAKWOOD MORTGAGE INVESTORS INC 1999-D                                     | OAKWOOD MORTGAGE INVESTORS INC OAK 1999 D A1                | CUSIP: 67087TAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1325170 | PA      | $1351274.98   | 0.03%             | 2029-11-15      | Fixed         | 7.84%                 | No            |                  2 | On Loan: No      |
| OAKWOOD MORTGAGE INVESTORS INC 2000-C                                     | OAKWOOD MORTGAGE INVESTORS INC OAK 2000 C M1                | CUSIP: 67087TBP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1172230 | PA      | $1093031.59   | 0.03%             | 2030-10-15      | Fixed         | 8.49%                 | No            |                  2 | On Loan: No      |
| OAKWOOD MORTGAGE INVESTORS INC 2002-B                                     | OAKWOOD MORTGAGE INVESTORS INC OAK 2002 B A1                | CUSIP: 67087TDM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       1718 | PA      | $1700.91      | 0.00%             | 2032-06-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2020-18 LTD 2020-18A                                              | OCP CLO LTD OCP 2020 18A PREF 144A                          | CUSIP: 67570T105<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      10500 | PA      | $4090082.08   | 0.09%             | 2032-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT DRILLING NORBE VIII/IX LTD                                      | ODEBRECHT DRILL VIII/IX SR SECURED 144A 12/26 7.35          | CUSIP: 675757AC2<br>LEI: 549300YNW6BY570L6488 | Long             | DBT              | CORP              | KY        |    5052877 | PA      | $2791714.54   | 0.06%             | 2026-12-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED                               | ODBRCHT OFFSHRE DRLL FIN SR SECURED 144A 12/26 7.72         | CUSIP: 67576GAD9<br>LEI: 549300L7LF2PIRAWID66 | Long             | DBT              | CORP              | KY        |   25608621 | PA      | $6850306.12   | 0.16%             | 2026-12-01      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OIL & GAS FINANCE LIMITED                                       | ODEBRECHT OIL + FINANCE COMPANY GUAR 144A 12/99 0.0000      | CUSIP: 67576JAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    5220246 | PA      | $12789.60     | 0.00%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OI S.A. - EM RECUPERA\xc7\xc3O JUDICIAL                                   | OI SA TERM LOAN 2                                           | CUSIP: 938XAMII8<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |    3020110 | PA      | $1057038.45   | 0.02%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                           | OI SA COMPANY GUAR 07/25 VAR                                | CUSIP: P7354PAA2<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |   63479000 | PA      | $10969253.09  | 0.25%             | 2025-07-27      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 1A1             | CUSIP: 68400DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     280209 | PA      | $187857.32    | 0.00%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3             | CUSIP: 68400DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8166284 | PA      | $4868238.18   | 0.11%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A4             | CUSIP: 68400DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1665526 | PA      | $992874.62    | 0.02%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-2                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 3A3             | CUSIP: 68401TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     507646 | PA      | $250059.66    | 0.01%             | 2037-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A4             | CUSIP: 68402BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2066706 | PA      | $997328.83    | 0.02%             | 2037-04-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A2             | CUSIP: 68403KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12355983 | PA      | $7002177.35   | 0.16%             | 2037-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-FXD1                                  | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 FXD1 3A6          | CUSIP: 68402VAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2235 | PA      | $2066.88      | 0.00%             | 2037-01-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| ORIENT POINT CDO LTD                                                      | ORIENT POINT CDO LTD ORPT 2005 1A A1VB 144A                 | CUSIP: 68619MAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  196432397 | PA      | $65704868.79  | 1.53%             | 2045-10-03      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| ORIENT POINT CDO LTD                                                      | ORIENT POINT CDO LTD ORPT 2005 1A A1VF 144A                 | CUSIP: 68619MAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  195556249 | PA      | $65411805.14  | 1.52%             | 2045-10-03      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-1                                   | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 1 AF2             | CUSIP: 69121PCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1647986 | PA      | $958044.57    | 0.02%             | 2035-10-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75              | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   57224000 | PA      | $44000650.61  | 1.02%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2               | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3400839.64   | 0.08%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/32 4.4               | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $2889054.86   | 0.07%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3               | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1115000 | PA      | $794663.45    | 0.02%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25              | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2332000 | PA      | $1630985.32   | 0.04%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/52 5.25              | CUSIP: 694308KD8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $1806057.88   | 0.04%             | 2052-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45              | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5473000 | PA      | $4093420.01   | 0.10%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/27 5.45              | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     700000 | PA      | $691399.15    | 0.02%             | 2027-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/32 5.9               | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     600000 | PA      | $587218.48    | 0.01%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/43 4.6               | CUSIP: 694308HD2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1221000 | PA      | $926951.01    | 0.02%             | 2043-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95              | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   17950000 | PA      | $13985350.83  | 0.32%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/42 3.75              | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2842000 | PA      | $1916527.45   | 0.04%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/41 4.5               | CUSIP: 694308GY7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1802000 | PA      | $1278616.27   | 0.03%             | 2041-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4                 | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      57000 | PA      | $38370.56     | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PALISADES CDO LTD. 2004-1A                                                | PALISADES CDO LTD PALIS 2004 1A B1 144A                     | CUSIP: 696399AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6700000 | PA      | $2880196.00   | 0.07%             | 2039-07-22      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                       | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M5                 | CUSIP: 70069FBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1160976 | PA      | $1077035.65   | 0.03%             | 2034-10-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WWF1                                       | PARK PLACE SECURITIES INC PPSI 2004 WWF1 M6                 | CUSIP: 70069FDP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25974379 | PA      | $23776361.83  | 0.55%             | 2034-12-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| PASTOR IM FTH/FTA 4                                                       | PASTOR IM FTH/FTA IMPAS 4 A REGS                            | CUSIP: B16Q8CII1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |     754676 | PA      | $736142.83    | 0.02%             | 2044-03-22      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| PENNYMAC CORP                                                             | PENNYMAC CORP COMPANY GUAR 03/26 5.5                        | CUSIP: 70932AAF0<br>LEI: EWN0I878407TKQNXZ933 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $6309187.50   | 0.15%             | 2026-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | BONOS DE TESORERIA BONDS 02/29 5.94                         | CUSIP: ACI16QTC2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     100000 | PA      | $24179.36     | 0.00%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | BONOS DE TESORERIA SR UNSECURED 08/32 6.15                  | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      12000 | PA      | $2785.31      | 0.00%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | BONOS DE TESORERIA SR UNSECURED 08/40 5.35                  | CUSIP: ACI1H2BH1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     100000 | PA      | $19713.97     | 0.00%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU BONDS REGS 08/40 5.35                      | CUSIP: 715638DC3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      49000 | PA      | $9659.84      | 0.00%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED 144A 02/29 5.94               | CUSIP: 715638BX9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     625000 | PA      | $151121.02    | 0.00%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED 144A 08/26 8.2                | CUSIP: 715638AX0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1740000 | PA      | $479972.82    | 0.01%             | 2026-08-12      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED 144A 08/28 6.35               | CUSIP: 715638BV3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    2168000 | PA      | $543337.60    | 0.01%             | 2028-08-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95               | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      12000 | PA      | $2985.94      | 0.00%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED 144A 08/34 5.4                | CUSIP: 715638CZ3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       1000 | PA      | $211.52       | 0.00%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9                | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      15000 | PA      | $3555.16      | 0.00%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED REGS 08/26 8.2                | CUSIP: 715638AY8<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     250000 | PA      | $68961.61     | 0.00%             | 2026-08-12      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED REGS 08/28 6.35               | CUSIP: P78024AC3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     922000 | PA      | $231068.85    | 0.01%             | 2028-08-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                              | PERU LNG SRL SR UNSECURED REGS 03/30 5.375                  | CUSIP: P7721BAE1<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |   42051000 | PA      | $35181328.29  | 0.82%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                               | PETROBRAS GLOBAL FINANCE COMPANY GUAR 01/34 6.625           | CUSIP: ACI07KN16<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    8917000 | PA      | $9374468.91   | 0.22%             | 2034-01-16      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST 2021-1R                                    | PMT CREDIT RISK TRANSFER TRUST PMTCR 2021 1R A 144A         | CUSIP: 69356UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4530864 | PA      | $4344646.25   | 0.10%             | 2024-02-27      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XVIII LTD / PREFERRED TERM SECURITIES XVIII INC | PREFERRED TERM XVIII SECURED 144A 09/35 VAR                 | CUSIP: 74042WAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      64539 | PA      | $64219.67     | 0.00%             | 2035-09-23      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC                          | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 NPL3 A2 144A       | CUSIP: 74143EAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $980267.04    | 0.02%             | 2051-07-25      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A2 144A        | CUSIP: 74143FAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2900000 | PA      | $2448710.70   | 0.06%             | 2051-07-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN3 A2 144A        | CUSIP: 74143JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3900000 | PA      | $3283776.99   | 0.08%             | 2051-09-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-NPL3                            | PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 NPL3 A2 144A       | CUSIP: 74143NAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3365604.20   | 0.08%             | 2052-06-25      | Variable      | 7.87%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-27CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 27CB A7           | CUSIP: 02147YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     226930 | PA      | $133930.64    | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 RN1 A2 144A        | CUSIP: 69363JAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2100000 | PA      | $1951241.67   | 0.05%             | 2051-07-25      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TR 2005-5                                                  | PRIME MORTGAGE TRUST PRIME 2005 5 1A1                       | CUSIP: 74160MLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50784 | PA      | $43788.94     | 0.00%             | 2034-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2006-1                                               | PRIME MORTGAGE TRUST PRIME 2006 1 3A1                       | CUSIP: 74161BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1572115 | PA      | $1103854.35   | 0.03%             | 2036-06-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| PROFRAC HOLDINGS II LLC                                                   | PROFRAC SERVICES LLC 2022 TERM LOAN                         | CUSIP: 945AEHII6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   18040391 | PA      | $18671804.30  | 0.43%             | 2025-03-04      | Floating      | 12.10%                | No            |                  3 | On Loan: No      |
| PROJECT ANFORA                                                            | PROJECT ANFORA SENIOR TERM LOAN                             | CUSIP: 938BZJII6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   35447345 | PA      | $37041511.62  | 0.86%             | 2026-10-01      | Floating      | 4.13%                 | Yes           |                  3 | On Loan: No      |
| PROJECT QUASAR HOLDCO SLU                                                 | PROJECT QUASAR PLEDGCO SLU 2022 EUR TERM LOAN A1            | CUSIP: 944ZSGII9<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |   19235078 | PA      | $20150211.96  | 0.47%             | 2026-03-15      | Floating      | 4.94%                 | No            |                  3 | On Loan: No      |
| PROJECT QUASAR INVESTMENTS 2017 SLU                                       | NEPTUNE QUASAR PPN                                          | CUSIP: 936TNJII2<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |          1 | PA      | $0.00         | 0.00%             | 2028-03-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                     | PROMOTORA DE INFORMACIONES SA 2022 EUR PIK JUNIOR TERM LOAN | CUSIP: 945BECII5<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |   24619438 | PA      | $23059632.14  | 0.54%             | 2027-06-30      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                     | PROMOTORA DE INFORMACIONES SA 2022 EUR SENIOR TERM LOAN     | CUSIP: 945BEBII7<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |   78496346 | PA      | $72262681.05  | 1.68%             | 2026-12-31      | Floating      | 6.71%                 | No            |                  3 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                     | PROMOTORA DE INFORMACIONES SA 2022 EUR TERM LOAN            | CUSIP: 943TQNII1<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |   15200000 | PA      | $16108123.96  | 0.37%             | 2026-06-30      | Floating      | 5.00%                 | No            |                  3 | On Loan: No      |
| ALTICE FINANCING SA                                                       | ALTICE FINANCING SA SR SECURED 144A 08/29 5.75              | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |   15830000 | PA      | $12480971.48  | 0.29%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                 | PROSUS NV SR UNSECURED 144A 01/34 2.778                     | CUSIP: ACI22XT05<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     900000 | PA      | $696052.08    | 0.02%             | 2034-01-19      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                 | PROSUS NV SR UNSECURED 144A 08/32 2.031                     | CUSIP: ACI1PPLN7<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     500000 | PA      | $380689.84    | 0.01%             | 2032-08-03      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                 | PROSUS NV SR UNSECURED REGS 02/51 3.832                     | CUSIP: N7163RAQ6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    2100000 | PA      | $1276047.28   | 0.03%             | 2051-02-08      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                 | PROSUS NV SR UNSECURED REGS 08/50 4.027                     | CUSIP: N7163RAD5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    3300000 | PA      | $2070212.56   | 0.05%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                                        | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR      | CUSIP: ACI11ZNP4<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |   75030000 | PA      | $245268.89    | 0.01%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                                        | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR      | CUSIP: P1910WRC5<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        | 2195848000 | PA      | $7178104.78   | 0.17%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| PRPM-2022-1                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2022 1 A2 144A          | CUSIP: 693582AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $933029.30    | 0.02%             | 2027-02-25      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO GOVT                                                          | PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR                 | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |   38261844 | PA      | $16787383.96  | 0.39%             | 2043-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO GOVT                                                          | PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR                 | CUSIP: 74514L4G9<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |   10354772 | PA      | $3494735.57   | 0.08%             | 2051-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PUTNAM STRUCTURED PRODUCT FUNDING 2003-1A LTD                             | PUTNAM STRUCTURED PRODUCT FUND PTNM 2003 1A B 144A          | CUSIP: 74686PAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     829320 | PA      | $558614.32    | 0.01%             | 2038-10-15      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| QUANTUM BIDCO LIMITED                                                     | ADDO AND WINTERBOTHAM GBP TERM LOAN                         | CUSIP: 937ICLII2<br>LEI: 259400QEGOEU126C6775 | Long             | LON              | CORP              | GB        |   16500000 | PA      | $17045888.12  | 0.40%             | 2028-01-29      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| QVC INC                                                                   | QVC INC SR SECURED 03/43 5.95                               | CUSIP: 747262AM5<br>LEI: 549300WBLU5NKPX5X472 | Long             | DBT              | CORP              | US        |    3234000 | PA      | $1603595.07   | 0.04%             | 2043-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-RP1                                                      | RAAC SERIES RAAC 2007 RP1 M2 144A                           | CUSIP: 74977YAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17151000 | PA      | $15347239.62  | 0.36%             | 2046-05-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                       | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MI1 144A       | CUSIP: 760985X89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     709821 | PA      | $692646.94    | 0.02%             | 2034-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                       | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MI2 144A       | CUSIP: 760985X97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1737782 | PA      | $1564333.33   | 0.04%             | 2034-04-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                       | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MII1 144A      | CUSIP: 760985Y88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1578709 | PA      | $1538396.48   | 0.04%             | 2034-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                       | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MII2 144A      | CUSIP: 760985Y96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1041433 | PA      | $947157.04    | 0.02%             | 2034-04-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-13                                      | RBSSP RESECURITIZATION TRUST RBSSP 2009 13 11A4 144A        | CUSIP: 74928GBN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3469824 | PA      | $2054323.71   | 0.05%             | 2035-09-26      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-6                                       | RBSSP RESECURITIZATION TRUST RBSSP 2009 6 17A3 144A         | CUSIP: 74928XDE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     419493 | PA      | $358753.62    | 0.01%             | 2037-06-26      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-7                                       | RBSSP RESECURITIZATION TRUST RBSSP 2009 7 3A2 144A          | CUSIP: 75524MAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3540021 | PA      | $2048742.44   | 0.05%             | 2036-03-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-1                                       | RBSSP RESECURITIZATION TRUST RBSSP 2010 1 2A2 144A          | CUSIP: 74928YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10864590 | PA      | $10152566.23  | 0.24%             | 2045-07-26      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-3                                       | RBSSP RESECURITIZATION TRUST RBSSP 2010 3 12A2 144A         | CUSIP: 74929FCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2927277 | PA      | $1849272.80   | 0.04%             | 2037-05-26      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                               | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1            | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |     185146 | PA      | $259435.33    | 0.01%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| REGAL TRUST IV 1999-1                                                     | REGAL TRUST IV REGAL 1999 1 A 144A                          | CUSIP: 758842AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        970 | PA      | $933.15       | 0.00%             | 2031-09-29      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF3              | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3152205 | PA      | $953234.88    | 0.02%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS-17                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS17 A3            | CUSIP: 761118PS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1375350 | PA      | $1159098.61   | 0.03%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS10                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 2A            | CUSIP: 761118CW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     670373 | PA      | $558687.08    | 0.01%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA1                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA1 A31            | CUSIP: 761118TD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59113 | PA      | $63210.30     | 0.00%             | 2036-01-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA5                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A1            | CUSIP: 75115BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6921343 | PA      | $2941197.70   | 0.07%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS16                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS16 A10           | CUSIP: 74922LAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1505447 | PA      | $1215952.30   | 0.03%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A13           | CUSIP: 74922EAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75193 | PA      | $60810.77     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A15           | CUSIP: 74922EAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80841 | PA      | $65378.49     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA2                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA2 A3             | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     311733 | PA      | $270993.12    | 0.01%             | 2037-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA4                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA4 A1B            | CUSIP: 74923YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     758487 | PA      | $681061.49    | 0.02%             | 2037-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST                       | AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7                | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     748450 | PA      | $647414.14    | 0.02%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A1            | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     228671 | PA      | $174275.19    | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS10                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS10 A1            | CUSIP: 74924DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     822583 | PA      | $650223.84    | 0.02%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS6                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS6 A62            | CUSIP: 75116CCP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45434 | PA      | $34689.55     | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO5                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO5 A1             | CUSIP: 761118QM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3008059 | PA      | $2436204.29   | 0.06%             | 2046-01-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS12                                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS12 1A4           | CUSIP: 751151AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3115399 | PA      | $1379503.08   | 0.03%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QH4                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH4 A1             | CUSIP: 74922TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7442407 | PA      | $6484543.01   | 0.15%             | 2037-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS11                                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS11 A1            | CUSIP: 74925GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4904446 | PA      | $3765490.41   | 0.09%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS3                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS3 A5             | CUSIP: 75116BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2260038 | PA      | $1757987.21   | 0.04%             | 2037-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTG PROD INC 2003-RS7                                   | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2003 RS7 MII1           | CUSIP: 760985YC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     385075 | PA      | $374122.60    | 0.01%             | 2033-08-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTG PRODS INC 2005-SL1                                  | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 SL1 A7             | CUSIP: 76112BMS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     384279 | PA      | $255756.27    | 0.01%             | 2032-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX3                                      | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX3 M1            | CUSIP: 76113ACB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5974847 | PA      | $5198304.67   | 0.12%             | 2036-04-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX7                                      | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX7 A4            | CUSIP: 74924TAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10279974 | PA      | $9125151.96   | 0.21%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX9                                      | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX9 2A            | CUSIP: 74924VAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4856429 | PA      | $4416180.90   | 0.10%             | 2036-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                       | AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375              | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     625799 | PA      | $523098.30    | 0.01%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A9                                       | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A9 A5              | CUSIP: 45660LTS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     615164 | PA      | $377483.45    | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                       | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A1              | CUSIP: 761136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2431337 | PA      | $836363.91    | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                       | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A8              | CUSIP: 761136AH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     362498 | PA      | $125150.41    | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A8                                       | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A8 2A5             | CUSIP: 761128AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4068563 | PA      | $1161291.27   | 0.03%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A7                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A2              | CUSIP: 76114QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6192903 | PA      | $2503088.84   | 0.06%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX5                                    | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX5 A3            | CUSIP: 76110W7R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7640112 | PA      | $6806356.87   | 0.16%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES CORP 2006-EMX8                               | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX8 1A3           | CUSIP: 74924UAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3849105 | PA      | $3624834.43   | 0.08%             | 2036-10-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2006-A16                           | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A16 1A3            | CUSIP: 76114GAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     165623 | PA      | $77257.45     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES I INC 2005-S7                     | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 S7 A2              | CUSIP: 76111XZS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56520 | PA      | $51689.81     | 0.00%             | 2035-11-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S4                                      | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S4 A14             | CUSIP: 74958YAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     436619 | PA      | $332797.61    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S6                                      | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S6 1A10            | CUSIP: 762009AK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     162074 | PA      | $120761.89    | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA3                                     | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA3 3A4            | CUSIP: 74958TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113448 | PA      | $85581.15     | 0.00%             | 2037-07-27      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-1                                       | RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25            | CUSIP: 76716XAA0<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |    7842551 | PA      | $7960699.24   | 0.18%             | 2024-07-06      | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-1                                       | RIO OIL FINANCE TRUST SR SECURED REGS 07/24 9.25            | CUSIP: U76673AA7<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |     875256 | PA      | $888441.73    | 0.02%             | 2024-07-06      | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| RIVERVIEW HECM TRUST-2007-1                                               | RIVERVIEW HECM TRUST RVMLT 2007 1 A 144A                    | CUSIP: 769422AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9777404 | PA      | $9449533.66   | 0.22%             | 2047-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2017-1A                                            | ROCKFORD TOWER CLO LTD ROCKT 2017 1A SUB 144A               | CUSIP: 77340FAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   22000000 | PA      | $13454897.06  | 0.31%             | 2034-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2017-2                                             | ROCKFORD TOWER CLO LTD ROCKT 2017 2A SUB 144A               | CUSIP: 77340HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11666667 | PA      | $3658550.69   | 0.08%             | 2029-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2017-3                                             | ROCKFORD TOWER CLO LTD ROCKT 2017 3A SUB 144A               | CUSIP: 77341TAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4966667 | PA      | $2526024.49   | 0.06%             | 2030-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2018-2A                                            | ROCKFORD TOWER CLO LTD ROCKT 2018 2A SUB 144A               | CUSIP: 77342LAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4966667 | PA      | $2206690.15   | 0.05%             | 2031-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST                      | AMER AIRLINE 17 2 AA PTT PASS THRU CE 04/31 3.35            | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     605160 | PA      | $523877.93    | 0.01%             | 2031-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| RSA SECURITY (REDSTONE HOLDCO 2 LP)                                       | REDSTONE HOLDCO 2 LP 2021 2ND LIEN TERM LOAN                | CUSIP: 75774EAK1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2000000 | PA      | $1013760.00   | 0.02%             | 2029-04-27      | Floating      | 12.11%                | No            |                  2 | On Loan: No      |
| RSA SECURITY (REDSTONE HOLDCO 2 LP)                                       | REDSTONE HOLDCO 2 LP 2021 TERM LOAN                         | CUSIP: 75774EAG0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   11100000 | PA      | $7738254.00   | 0.18%             | 2028-04-27      | Floating      | 9.11%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                              | RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625            | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    3000000 | PA      | $1905000.00   | 0.04%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                              | RUSSIAN FEDERATION SR UNSECURED REGS 03/35 5.1              | CUSIP: X5424XCG1<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     600000 | PA      | $198000.00    | 0.00%             | 2035-03-28      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                              | RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625            | CUSIP: X74344DS2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    7200000 | PA      | $4572000.00   | 0.11%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                              | RUSSIAN FEDERATION SR UNSECURED REGS 09/43 5.875            | CUSIP: X74359AC8<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     200000 | PA      | $119423.50    | 0.00%             | 2043-09-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| RZD CAPITAL PUBLIC LIMITED COMPANY                                        | RUSSIAN RAIL(RZD CAP) SR UNSECURED REGS 03/31 7.487         | CUSIP: B3SXQ5II3<br>LEI: 635400VKMH1VQDFMW392 | Long             | DBT              | CORP              | IE        |     200000 | PA      | $130642.17    | 0.00%             | 2031-03-25      | Fixed         | 7.49%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                            | SABRE GLBL INC SR SECURED 144A 12/27 11.25                  | CUSIP: 78573NAH5<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2266770.00   | 0.05%             | 2027-12-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MTG SECURITIES 1999-2                                    | SALOMON BROTHERS MORTGAGE SECU SBM7 1999 2 A4               | CUSIP: 79548KH35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130012 | PA      | $122924.47    | 0.00%             | 2029-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                        | SANDERS RE III LTD UNSECURED 144A 04/29 VAR                 | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   11610000 | PA      | $11026597.50  | 0.26%             | 2029-04-09      | Floating      | 11.75%                | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                           | SANDS CHINA LTD SR UNSECURED 01/26 4.3                      | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $184830.19    | 0.00%             | 2026-01-08      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                           | SANDS CHINA LTD SR UNSECURED 08/25 5.625                    | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $191478.42    | 0.00%             | 2025-08-08      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                           | SANDS CHINA LTD SR UNSECURED 08/28 5.9                      | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     215000 | PA      | $201597.55    | 0.00%             | 2028-08-08      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2004-1                                       | SAXON ASSET SECURITIES TRUST SAST 2004 1 M2                 | CUSIP: 805564PP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5163783 | PA      | $2854245.75   | 0.07%             | 2035-03-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-3                                       | SAXON ASSET SECURITIES TRUST SAST 2005 3 M5                 | CUSIP: 805564SW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5547000 | PA      | $3415382.75   | 0.08%             | 2035-11-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| SEAGATE HDD CAYMAN                                                        | SEAGATE HDD CAYMAN COMPANY GUAR 06/29 4.091                 | CUSIP: 81180WBC4<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |    1000000 | PA      | $830487.72    | 0.02%             | 2029-06-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2                         | FREDDIE MAC   SCRT SCRT 2020 2 BXS 144A                     | CUSIP: 35563PRM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6795959 | PA      | $2537541.08   | 0.06%             | 2059-11-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2                         | FREDDIE MAC   SCRT SCRT 2020 2 M 144A                       | CUSIP: 35563PRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4530000 | PA      | $3858044.26   | 0.09%             | 2059-11-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-1                         | FREDDIE MAC   SCRT SCRT 2021 1 BXS 144A                     | CUSIP: 35563PWX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1595731 | PA      | $1159351.42   | 0.03%             | 2060-09-25      | Fixed         | 11.76%                | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-1                         | FREDDIE MAC   SCRT SCRT 2021 1 M 144A                       | CUSIP: 35563PWQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1550202.66   | 0.04%             | 2060-09-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-2                         | FREDDIE MAC   SCRT SCRT 2021 2 BXS 144A                     | CUSIP: 35563P4Q9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1199418 | PA      | $920147.63    | 0.02%             | 2060-11-25      | Variable      | 9.14%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-3                         | FREDDIE MAC   SCRT SCRT 2021 3 BXS 144A                     | CUSIP: 35563P6W4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     499600 | PA      | $256564.94    | 0.01%             | 2061-03-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-3                         | FREDDIE MAC   SCRT SCRT 2021 3 M 144A                       | CUSIP: 35563P6P9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $555688.77    | 0.01%             | 2061-03-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1                         | FREDDIE MAC   SCRT SCRT 2022 1 BXS 144A                     | CUSIP: 35563PD71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4498862 | PA      | $1418703.39   | 0.03%             | 2061-11-25      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1                         | FREDDIE MAC   SCRT SCRT 2022 1 M 144A                       | CUSIP: 35563PC80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3900000 | PA      | $3051455.55   | 0.07%             | 2061-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-2                         | FREDDIE MAC   SCRT SCRT 2022 2 M 144A                       | CUSIP: 35563PJ59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $2646841.18   | 0.06%             | 2062-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| SEAZEN GROUP LIMITED                                                      | SEAZEN GROUP LTD SR SECURED REGS 04/23 6.15                 | CUSIP: ACI1B3VB6<br>LEI: 5493006M8GRAQRCSCD67 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $189500.00    | 0.00%             | 2023-04-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| SEAZEN GROUP LIMITED                                                      | SEAZEN GROUP LTD SR SECURED REGS 07/25 4.45                 | CUSIP: ACI1TYCZ7<br>LEI: 5493006M8GRAQRCSCD67 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $140960.00    | 0.00%             | 2025-07-13      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SEAZEN GROUP LIMITED                                                      | SEAZEN GROUP LTD SR SECURED REGS 08/24 6                    | CUSIP: ACI1Q0RZ8<br>LEI: 5493006M8GRAQRCSCD67 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $157190.00    | 0.00%             | 2024-08-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR1                                         | SECURITIZED ASSET BACKED RECEI SABR 2006 FR1 M1             | CUSIP: 81375WJU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10966248 | PA      | $8918098.02   | 0.21%             | 2035-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                                         | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3             | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15858195 | PA      | $8633512.16   | 0.20%             | 2036-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                     | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C            | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2251585 | PA      | $802908.12    | 0.02%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1                         | SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M2             | CUSIP: 81375WCT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6500 | PA      | $5962.86      | 0.00%             | 2035-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                         | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A1 144A        | CUSIP: 81377AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13279866 | PA      | $10817082.90  | 0.25%             | 2036-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR2                         | SECURITIZED ASSET BACKED RECEI SABR 2007 BR2 A2             | CUSIP: 81378PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230558 | PA      | $106757.78    | 0.00%             | 2037-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5                   | SECURITIZED ASSET BACKED RECEI SABR 2005 FR5 M1             | CUSIP: 81375WFU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1692959 | PA      | $1286194.82   | 0.03%             | 2035-08-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| SEGOVIA EUROPEAN CLO 1 2014-1A                                            | SEGOVIA EUROPEAN CLO 1   2014 SEGOV 2014 1A SUB 144A        | CUSIP: ACI0QFG97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1400000 | PA      | $571927.63    | 0.01%             | 2035-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                                 | SEQUOIA MORTGAGE TRUST SEMT 10 B1                           | CUSIP: 81743VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     275729 | PA      | $247586.00    | 0.01%             | 2027-10-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-1                                             | SEQUOIA MORTGAGE TRUST SEMT 2004 1 A                        | CUSIP: 81744FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     177031 | PA      | $154931.17    | 0.00%             | 2034-02-20      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-2                                             | SEQUOIA MORTGAGE TRUST SEMT 2007 2 2AA1                     | CUSIP: 81744LAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81198 | PA      | $64702.75     | 0.00%             | 2038-01-20      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                             | SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A2                      | CUSIP: 81744MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143757 | PA      | $19685.55     | 0.00%             | 2036-07-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 9                                                  | SEQUOIA MORTGAGE TRUST SEMT 9 2A                            | CUSIP: 81743SAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     226765 | PA      | $202556.05    | 0.00%             | 2032-09-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                    | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 C 144A           | CUSIP: 78432WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1630000 | PA      | $1433112.95   | 0.03%             | 2038-05-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| SG COMMERCIAL MORTGAGE SECURITIES TRUST 2019-787E                         | SG COMMERCIAL MORTGAGE SECURIT SGCMS 2019 787E E 144A       | CUSIP: 78426RAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9000000 | PA      | $6720027.30   | 0.16%             | 2041-02-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| SIERRA HAMILTON HOLDINGS CORPORATION                                      | SIERRA HAMILTON LLC 2ND LIEN NOTES                          | CUSIP: 935ZLRII3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       7055 | PA      | $7055.49      | 0.00%             | 2023-09-12      | Fixed         | 15.00%                | No            |                  3 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-4                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 4 A4                | CUSIP: 026934AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8141960 | PA      | $7171728.08   | 0.17%             | 2037-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2                            | AMERICAN HOME MORTGAGE INVESTM AHM 2007 2 12A1              | CUSIP: 02660CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2627948 | PA      | $1044802.53   | 0.02%             | 2037-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVT TR 2007-A                                     | AMERICAN HOME MORTGAGE INVESTM AHM 2007 A 13A1 144A         | CUSIP: 026931AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4652680 | PA      | $905793.61    | 0.02%             | 2037-01-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2013-M1                                            | SLM STUDENT LOAN TRUST SLMA 2013 M1 M1R 144A                | CUSIP: 78447T103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      36440 | PA      | $20458915.55  | 0.48%             | 2029-10-28      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SLM STUDENT LOAN TRUST-2007-4                                             | SLM STUDENT LOAN TRUST SLMA 2007 4 R                        | CUSIP: 78444A107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      30999 | PA      | $10600674.28  | 0.25%             | 2042-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| AMERICAN HOME MTGE ASSETS 2005-1                                          | AMERICAN HOME MORTGAGE ASSETS AHMA 2005 1 3A11              | CUSIP: 02660VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     569762 | PA      | $527830.08    | 0.01%             | 2035-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-A                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A            | CUSIP: 78448P100<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8000 | PA      | $2590137.68   | 0.06%             | 2048-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2005-2                                       | AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 1A1               | CUSIP: 02660TEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2882715 | PA      | $2506808.68   | 0.06%             | 2045-09-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA R 144A          | CUSIP: 78449VAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14580487 | PA      | $18213181.33  | 0.42%             | 2054-09-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB R 144A          | CUSIP: 78449DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   46146081 | PA      | $58889300.13  | 1.37%             | 2054-09-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-A                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 A R 144A            | CUSIP: 78450FAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       5200 | PA      | $5027955.98   | 0.12%             | 2054-11-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B D 144A            | CUSIP: 83206NAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11206000 | PA      | $10447147.61  | 0.24%             | 2055-02-16      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A            | CUSIP: 83206NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9288 | PA      | $13873020.36  | 0.32%             | 2055-02-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| AMERICAN HOME MTGE INVEST TR 2004-2                                       | AMERICAN HOME MORTGAGE INVESTM AHM 2004 2 M1                | CUSIP: 02660TBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9131901 | PA      | $8088255.09   | 0.19%             | 2044-02-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                            | SMRT SMRT 2022 MINI E 144A                                  | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29800000 | PA      | $27304598.66  | 0.63%             | 2039-01-15      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2016-D                                 | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2016 D R 144A           | CUSIP: 83404L101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   33000000 | PA      | $2595225.93   | 0.06%             | 2039-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-B                                 | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 B R 144A           | CUSIP: 83403Y104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   31475000 | PA      | $3191520.94   | 0.07%             | 2040-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-C                                 | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 C R1 144A          | CUSIP: 83405D108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     156587 | PA      | $1874688.87   | 0.04%             | 2040-07-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D                                 | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 D R1 144A          | CUSIP: 78471C109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14219400 | PA      | $1945320.00   | 0.05%             | 2040-09-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOFTBANK VISION FUND II                                                   | SOFTBANK VISION FUND II FIXED TERM LOAN                     | CUSIP: 944YFGII6<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |   36625336 | PA      | $35232990.02  | 0.82%             | 2025-12-21      | Variable      | 5.00%                 | No            |                  3 | On Loan: No      |
| SOLENIS (OLYMPUS WATER US HOLDING CORPORATION)                            | OLYMPUS WTR US HLDG CORP SR UNSECURED 144A 10/29 5.375      | CUSIP: ACI20N5P0<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $1717403.86   | 0.04%             | 2029-10-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SOLOSO CDO LTD 2007-1A                                                    | SOLOSO CDO LTD SLOSO 2007 1A A1LB 144A                      | CUSIP: 83438JAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17418036 | PA      | $14436068.24  | 0.34%             | 2037-10-07      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A2           | CUSIP: 83612TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2347341 | PA      | $1681449.87   | 0.04%             | 2037-06-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A4           | CUSIP: 83612TAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5800581 | PA      | $4155016.05   | 0.10%             | 2037-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT4 2A3           | CUSIP: 83613AAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1789037 | PA      | $1465938.63   | 0.03%             | 2037-09-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 2A2           | CUSIP: 83613FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4470308 | PA      | $3304321.47   | 0.08%             | 2037-10-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A2           | CUSIP: 83612NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7154860 | PA      | $2074297.71   | 0.05%             | 2037-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A3           | CUSIP: 83612NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8303576 | PA      | $2432411.43   | 0.06%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                    | SOUTH COAST FUNDING SCF 7A A1AN 144A                        | CUSIP: 83743YAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  158546224 | PA      | $30756064.81  | 0.71%             | 2041-01-06      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                    | SOUTH COAST FUNDING SCF 7A A1AV 144A                        | CUSIP: 83743YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9983006 | PA      | $1936583.30   | 0.04%             | 2041-01-06      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                    | SOUTH COAST FUNDING SCF 7A A1B 144A                         | CUSIP: 83743YAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      47526 | PA      | $9219.50      | 0.00%             | 2041-01-06      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-AB2                                   | SPECIALTY UNDERWRITING + RESID SURF 2006 AB2 A2C            | CUSIP: 84751VAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3086018 | PA      | $1519849.67   | 0.04%             | 2037-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-BC2                                   | SPECIALTY UNDERWRITING + RESID SURF 2006 BC2 A2D            | CUSIP: 84751PLP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2589759 | PA      | $1033962.65   | 0.02%             | 2037-02-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2007-AB1                                   | SPECIALTY UNDERWRITING + RESID SURF 2007 AB1 A2D            | CUSIP: 84752CAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     299802 | PA      | $180522.34    | 0.00%             | 2037-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES PASS THROUGH TRUST 2015-1A                                | SPIRIT AIR 2015 1 PTT A PASS THRU CE 10/29 4.1              | CUSIP: 84858DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     305760 | PA      | $272805.98    | 0.01%             | 2029-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)                                 | AGFC CAPITAL TRUST I COMPANY GUAR 144A 01/67 VAR            | CUSIP: 00846NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   35500000 | PA      | $19908708.85  | 0.46%             | 2067-01-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| START IRELAND 2019-1                                                      | START LTD. STARR 2019 1 A 144A                              | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |     686962 | PA      | $587101.65    | 0.01%             | 2044-03-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B1 144A           | CUSIP: 85573RAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $63421.61     | 0.00%             | 2066-11-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B2 144A           | CUSIP: 85573RAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $239631.48    | 0.01%             | 2066-11-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 1 SARL                                                 | STEENBOK LUX FINCO 2 SARL EUR PIK TERM LOAN A1              | CUSIP: 943ZWJII9<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   46327031 | PA      | $22191859.23  | 0.52%             | 2023-06-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                 | STEENBOK LUX FINCO 2 SARL EUR 1ST LIEN FIXED RATE TL A1     | CUSIP: 935YNSII2<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |     129756 | PA      | $138896.93    | 0.00%             | 2023-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                 | STEENBOK LUX FINCO 2 SARL EUR 2ND LIEN FIXED RATE TL A2     | CUSIP: 935YNTII0<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |  121831414 | PA      | $83900131.85  | 1.95%             | 2023-06-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| STRATTON HAWKSMOOR 2022-1 PLC 22-1A                                       | STRATTON HAWKSMOOR PLC HWKSM 2022 1A E 144A                 | CUSIP: ACI27FLZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1967000 | PA      | $2138251.07   | 0.05%             | 2053-02-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| STRATTON HAWKSMOOR 2022-1 PLC 22-1A                                       | STRATTON HAWKSMOOR PLC HWKSM 2022 1A F 144A                 | CUSIP: ACI27FLY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    4300000 | PA      | $4594377.23   | 0.11%             | 2053-02-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2020-1 PLC 20-1                                 | STRATTON MORTGAGE FUNDING PLC STRA 2020 1 F REGS            | CUSIP: ACI280LW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    2500000 | PA      | $2899618.46   | 0.07%             | 2052-03-12      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 21-2X                                           | STRATTON MORTGAGE FUNDING PLC STRA 2021 2X G REGS           | CUSIP: ACI1W8V48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    2000000 | PA      | $2342208.80   | 0.05%             | 2060-07-20      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2002-AR1                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 AR1 M2             | CUSIP: 03072SDC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1147647 | PA      | $979328.34    | 0.02%             | 2032-09-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-7                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 7 4A1              | CUSIP: 86361BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2292053 | PA      | $632200.07    | 0.01%             | 2036-08-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-23                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 23 3A1             | CUSIP: 863579L48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     584545 | PA      | $368060.84    | 0.01%             | 2036-01-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-1                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 1 2A3              | CUSIP: 86362TAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6259278 | PA      | $4372610.17   | 0.10%             | 2037-02-25      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-3                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 3 3A1              | CUSIP: 86363GAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1111737 | PA      | $573585.99    | 0.01%             | 2047-04-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                 | CAESARS ENTERTAINMENT INC COMMON STOCK                      | CUSIP: 12769G100<br>LEI: 549300FA4CTCW903Y781 | Long             | EC               | CORP              | US        |          2 | NS      | $83.20        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERIQUEST MTAGE SEC INC 2004-R3                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R3 M2              | CUSIP: 03072SQD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153997 | PA      | $146825.43    | 0.00%             | 2034-05-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1            | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60039 | PA      | $52527.52     | 0.00%             | 2045-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 3A2            | CUSIP: 86360KBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3024691 | PA      | $1627827.55   | 0.04%             | 2036-02-25      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1A            | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     797432 | PA      | $628320.72    | 0.01%             | 2036-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2002-3                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 3 M3               | CUSIP: 03072SCW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     309300 | PA      | $299390.08    | 0.01%             | 2032-08-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A2            | CUSIP: 86363DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     933631 | PA      | $264079.54    | 0.01%             | 2037-03-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1            | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1041121 | PA      | $787266.18    | 0.02%             | 2036-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A1            | CUSIP: 86360UAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9232936 | PA      | $6397217.56   | 0.15%             | 2046-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-40A                                        | STRUCTURED ASSET SECURITIES CO SASC 2003 40A 3A2            | CUSIP: 86359BEK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      78757 | PA      | $75016.99     | 0.00%             | 2034-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-BC1                                        | STRUCTURED ASSET SECURITIES CO SASC 2003 BC1 B1             | CUSIP: 86359AMC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5375802 | PA      | $4475542.24   | 0.10%             | 2032-05-25      | Floating      | 10.39%                | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-9XS                                        | STRUCTURED ASSET SECURITIES CO SASC 2005 9XS 2A1            | CUSIP: 86359DDS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21890 | PA      | $21823.50     | 0.00%             | 2035-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| STUBHUB (PUG LLC)                                                         | PUG LLC 2021 INCREMENTAL TERM LOAN B                        | CUSIP: 74530DAG0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1481250 | PA      | $1233140.63   | 0.03%             | 2027-02-12      | Floating      | 8.63%                 | No            |                  3 | On Loan: No      |
| STUBHUB (PUG LLC)                                                         | PUG LLC USD TERM LOAN                                       | CUSIP: 74530DAC9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    8014187 | PA      | $6671810.42   | 0.15%             | 2027-02-12      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY CO LTD                                                        | STUDIO CITY CO LTD SR SECURED 144A 02/27 7                  | CUSIP: 86400GAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | VG        |     700000 | PA      | $655647.45    | 0.02%             | 2027-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY FINANCE LIMITED                                               | STUDIO CITY FINANCE LTD COMPANY GUAR 144A 01/28 6.5         | CUSIP: 86389QAF9<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |    3000000 | PA      | $2334298.83   | 0.05%             | 2028-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY FINANCE LIMITED                                               | STUDIO CITY FINANCE LTD COMPANY GUAR 144A 01/29 5           | CUSIP: 86389QAG7<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |    2400000 | PA      | $1775388.00   | 0.04%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY FINANCE LIMITED                                               | STUDIO CITY FINANCE LTD COMPANY GUAR 144A 07/25 6           | CUSIP: 86389QAE2<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |    3200000 | PA      | $2779535.33   | 0.06%             | 2025-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY FINANCE LIMITED                                               | STUDIO CITY FINANCE LTD COMPANY GUAR REGS 01/29 5           | CUSIP: G85381AG9<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |     400000 | PA      | $295898.00    | 0.01%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                     | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS E 144A         | CUSIP: 78486DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9723500 | PA      | $8959063.71   | 0.21%             | 2034-04-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                     | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS F 144A         | CUSIP: 78486DAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6612000 | PA      | $6267310.49   | 0.15%             | 2034-04-15      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                              | SUNAC CHINA HOLDINGS LTD SR SECURED REGS 07/25 7            | CUSIP: ACI1NTG15<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |     600000 | PA      | $131154.55    | 0.00%             | 2025-07-09      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SUNSEEKER ISSUER LLC                                                      | SUNSEEKER TERM LOAN                                         | CUSIP: 943ZJCII9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   25100000 | PA      | $23883356.82  | 0.55%             | 2028-10-31      | Fixed         | 5.55%                 | No            |                  3 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                           | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 3A2             | CUSIP: 78473NAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1226575 | PA      | $1062476.54   | 0.02%             | 2037-02-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ALTERNATIVE LN TRUST 2006-1F                                     | SUNTRUST ALTERNATIVE LOAN TRUS STALT 2006 1F 3S             | CUSIP: 86800RAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3902947 | PA      | $598257.39    | 0.01%             | 2036-04-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XIV LTD 2014-14A                                             | SYMPHONY CLO LTD SYMP 2014 14A E 144A                       | CUSIP: 87159QAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   15100000 | PA      | $14375424.69  | 0.33%             | 2026-07-14      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 16 LTD 2015-16A                                                  | AMERICAN MONEY MANAGEMENT CORP AMMC 2015 16A ER 144A        | CUSIP: 00176KAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6100000 | PA      | $5520745.95   | 0.13%             | 2029-04-14      | Floating      | 10.07%                | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                    | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                      | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |  113337402 | PA      | $99453570.51  | 2.31%             | 2027-05-13      | Floating      | 11.58%                | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING IX LTD 2007-9A                                  | TABERNA PREFERED FUNDING LTD TBRNA 2007 9A A1AD 144A        | CUSIP: 87331XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     715641 | PA      | $681647.81    | 0.02%             | 2038-05-05      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING IX LTD 2007-9A                                  | TABERNA PREFERED FUNDING LTD TBRNA 2007 9A A1LA 144A        | CUSIP: 87331XAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2354513 | PA      | $2242673.87   | 0.05%             | 2038-05-05      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-5A                                     | TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1A 144A         | CUSIP: 87331BAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3022229 | PA      | $2697339.15   | 0.06%             | 2036-08-05      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-5A                                     | TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1AD 144A        | CUSIP: 87331BAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12156994 | PA      | $10850116.99  | 0.25%             | 2036-08-05      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING VII LTD 2006-7A                                 | TABERNA PREFERED FUNDING LTD TBRNA 2006 7A A1LA 144A        | CUSIP: 873315AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14780021 | PA      | $13302019.23  | 0.31%             | 2037-02-05      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| TALON FUNDING LTD 1A                                                      | TALON FUNDING LTD TALON 1A A 144A                           | CUSIP: 87483UAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     675547 | PA      | $105047.63    | 0.00%             | 2035-06-05      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-2                                     | TBW MORTGAGE BACKED PASS THROU TBW 2006 2 4A1               | CUSIP: 878048AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     207821 | PA      | $83911.14     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-2                                     | TBW MORTGAGE BACKED PASS THROU TBW 2006 2 5A1               | CUSIP: 878048AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18323826 | PA      | $4511837.09   | 0.10%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TDA FTA 28                                                                | TITULIZACION DE ACTIVOS TDA 28 A REGS                       | CUSIP: B241Q4II4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |    8425614 | PA      | $4763657.25   | 0.11%             | 2050-10-28      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| TEAM HEALTH HOLDINGS INC                                                  | TEAM HEALTH INC DEL TERM LOAN B                             | CUSIP: 87817JAE8<br>LEI: 549300PVTQ4UDTTMQT11 | Long             | LON              | CORP              | US        |   88181599 | PA      | $75836174.95  | 1.76%             | 2024-02-06      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL                            | TELEMAR NORTE LESTE S A TERM LOAN 1                         | CUSIP: 938VCGII3<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |   31245859 | PA      | $10936050.65  | 0.25%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL                            | TELEMAR NORTE LESTE SA TERM LOAN 2                          | CUSIP: 938VGTII1<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |   37301087 | PA      | $13055380.37  | 0.30%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL                            | TELEMAR NORTE LESTE SA TERM LOAN 3                          | CUSIP: 938VGUII8<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |    8577462 | PA      | $3002111.73   | 0.07%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| TELEPIZZA (FOODCO BONDCO SL)                                              | FOODCO BONDCO SAU SR SECURED REGS 05/26 6.25                | CUSIP: ACI1BNB99<br>LEI: 959800QP38XCGBED7808 | Long             | DBT              | CORP              | ES        |    1200000 | PA      | $578042.73    | 0.01%             | 2026-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TEXGEN POWER LLC                                                          | EXGEN TEXAS POWER LLC 2021 2ND LIEN TERM LOAN               | CUSIP: 941VXVII2<br>LEI: 5493003XDLS9LCQ3SY55 | Long             | LON              | CORP              | US        |   60819174 | PA      | $61123269.69  | 1.42%             | 2026-10-08      | Floating      | 10.58%                | No            |                  3 | On Loan: No      |
| THARALDSON HOTEL PORTFOLIO TRUST 2018                                     | THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL E 144A         | CUSIP: 88327HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7390362 | PA      | $6926788.47   | 0.16%             | 2034-11-11      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                | ENVISION HEALTHCARE CORP 2022 2ND LIEN TERM LOAN            | CUSIP: 943TEZII7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  122798209 | PA      | $100489458.31 | 2.33%             | 2028-04-28      | Fixed         | 15.74%                | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                | ENVISION HEALTHCARE CORPORTION 2022 DELAYED DRAW TERM LOAN  | CUSIP: 945BFLII4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    9476923 | PA      | $9275585.85   | 0.22%             | 2027-04-29      | Floating      | 10.47%                | No            |                  2 | On Loan: No      |
| TIMES SQUARE HOTEL TRUST                                                  | TIMES SQUARE HOTEL TRUST PASS THRU CE 144A 08/26 8.528      | CUSIP: 887367AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2187505 | PA      | $2161770.56   | 0.05%             | 2026-08-01      | Fixed         | 8.53%                 | No            |                  2 | On Loan: No      |
| TITULIZACION DE ACTIVOS 27                                                | TITULIZACION DE ACTIVOS TDA 27 A3 REGS                      | CUSIP: E9053PAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |    2857121 | PA      | $2366714.45   | 0.05%             | 2050-12-28      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                | ENVISION HEALTHCARE CORPORTION 2022 TERM LOAN               | CUSIP: 945BFKII6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   52123077 | PA      | $51015722.16  | 1.18%             | 2027-04-29      | Floating      | 12.12%                | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                      | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0    | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  355485000 | PA      | $26469661.94  | 0.61%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TOLL ROAD INVESTORS PARTNERSHIP II LP                                     | TOLL ROAD INV PART II INSURED 144A 02/43 0.00000            | CUSIP: 88948ABM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   32280594 | PA      | $8224482.02   | 0.19%             | 2043-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                     | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875           | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16144665 | PA      | $14367783.17  | 0.33%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                     | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75            | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   87708498 | PA      | $83370435.69  | 1.94%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ANCESTRY.COM                                                              | ARCHES BUYER INC SR SECURED 144A 06/28 4.25                 | CUSIP: 039524AA1<br>LEI: 2549009ADY4208OH2Y47 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $861785.53    | 0.02%             | 2028-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TROPIC CDO CORP 2006-5A                                                   | TROPIC CDO CORP TROPC 2006 5A A1L2 144A                     | CUSIP: 89708BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3365224 | PA      | $3198645.63   | 0.07%             | 2036-07-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| TROPICANA (NAKED JUICE CO)                                                | NAKED JUICE LLC 2ND LIEN TERM LOAN                          | CUSIP: 62984CAB9<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |    1300000 | PA      | $1050764.00   | 0.02%             | 2030-01-24      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| UCFC HOME EQUITY LOAN 1998-D                                              | UCFC HOME EQUITY LOAN UCFC 1998 D MF2                       | CUSIP: 90263BHE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400270 | PA      | $374311.14    | 0.01%             | 2030-04-15      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                              | UKRAINE GOVERNMENT SR UNSECURED 144A 01/32 4.375            | CUSIP: ACI1J9SD5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |   10155000 | PA      | $2024614.72   | 0.05%             | 2032-01-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                              | UKRAINE GOVERNMENT SR UNSECURED 144A 05/31 6.876            | CUSIP: 90372UAR5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |   13000000 | PA      | $2604095.00   | 0.06%             | 2031-05-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL FARM CREDIT ACA                                                   | CAPITAL FARM CREDIT ACA JR SUBORDINA 144A 12/99 VAR         | CUSIP: 14019TAA4<br>LEI: 254900S6K5I3OISPS518 | Long             | EP               | CORP              | US        |    4300000 | NS      | $3731110.00   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| UNIQUE PUB FINANCE CO PLC                                                 | UNIQUE PUB FINANCE CO ASSET BACKED REGS 03/24 7.395         | CUSIP: 565675II8<br>LEI: 213800FOMWLKHQTI5562 | Long             | DBT              | CORP              | GB        |    3666676 | PA      | $4429577.94   | 0.10%             | 2024-03-28      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| UNIQUE PUB FINANCE CO PLC                                                 | UNIQUE PUB FINANCE CO ASSET BACKED REGS 06/27 5.659         | CUSIP: 743541II7<br>LEI: 213800FOMWLKHQTI5562 | Long             | DBT              | CORP              | GB        |     968012 | PA      | $1155824.00   | 0.03%             | 2027-06-30      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2018-1 CLASS AA PASS THROUGH TRUST                        | UNITED AIR 2018 1 AA PTT PASS THRU CE 09/31 3.5             | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     809114 | PA      | $700539.77    | 0.02%             | 2031-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED GROUP BV                                                           | UNITED GROUP BV SR SECURED REGS 07/24 4.875                 | CUSIP: ACI0W96J3<br>LEI: 213800PC85O8BJ7DU398 | Long             | DBT              | CORP              | NL        |     300000 | PA      | $300082.85    | 0.01%             | 2024-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 01/23 0.00000                                 | CUSIP: 912796X95<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26252000 | PA      | $26246705.75  | 0.61%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 01/23 0.00000                                 | CUSIP: 912796ZM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22036000 | PA      | $21968557.49  | 0.51%             | 2023-01-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ANTHRACITE LTD 2004-HY1A                                                  | ANTHRACITE LTD SER 2004 HY1 CL D 144A                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2067913 | PA      | $38643.09     | 0.00%             | 2041-06-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 02/23 0.00000                                 | CUSIP: 912796YA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3800000 | PA      | $3781126.12   | 0.09%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 03/23 0.00000                                 | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2712000 | PA      | $2686787.92   | 0.06%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 03/23 0.00000                                 | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17818000 | PA      | $17696459.14  | 0.41%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC               | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6           | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   57451000 | PA      | $36428484.12  | 0.85%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC               | UNITI GRP/UNITI HLD/CSL SR SECURED 144A 02/25 7.875         | CUSIP: 91327AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   76481000 | PA      | $74195977.16  | 1.72%             | 2025-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC                | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 02/29 6.5         | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9015000 | PA      | $5989295.55   | 0.14%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UPFIELD BV (AKA: FLORA FOOD GROUP, SIGMA BIDCO BV)                        | SIGMA BIDCO B.V. 2018 EUR TERM LOAN B                       | CUSIP: 933XDNII8<br>LEI: 2549002VGA888UKFKS25 | Long             | LON              | CORP              | NL        |     690000 | PA      | $643514.09    | 0.01%             | 2025-07-02      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| UPFIELD BV (AKA: FLORA FOOD GROUP, SIGMA BIDCO BV)                        | SIGMA BIDCO B.V. 2018 PLN TERM LOAN B                       | CUSIP: 933XDYII4<br>LEI: 2549002VGA888UKFKS25 | Long             | LON              | CORP              | NL        |   85526750 | PA      | $15006490.94  | 0.35%             | 2025-07-02      | Floating      | 10.87%                | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                         | U.S. RENAL CARE, INC. 2019 TERM LOAN B                      | CUSIP: 90290PAN4<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |   81095792 | PA      | $45768437.86  | 1.06%             | 2026-06-26      | Floating      | 9.44%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                         | US RENAL CARE INC 2021 TERM LOAN B                          | CUSIP: 90290PAQ7<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |   10571654 | PA      | $5966377.49   | 0.14%             | 2026-06-26      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                         | US RENAL CARE INC SR UNSECURED 144A 07/27 10.625            | CUSIP: 07335BAA4<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |   33858000 | PA      | $7448760.00   | 0.17%             | 2027-07-15      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| VALARIS LIMITED                                                           | VALARIS LTD SR SECURED 04/28 8.25                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    6673000 | PA      | $6720548.19   | 0.16%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VALARIS LIMITED                                                           | VALARIS LTD SR SECURED 144A 04/28 8.25                      | CUSIP: 91889FAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1259000 | PA      | $1267970.95   | 0.03%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VALE SA                                                                   | VALE SA SUBORDINATED 12/49 VAR                              | CUSIP: B011X9II2<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        |  830470000 | PA      | $59968121.12  | 1.39%             | 2049-12-29      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                           | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25               | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     734000 | PA      | $69730.00     | 0.00%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                           | REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/24 8.25          | CUSIP: P97475AP5<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     136000 | PA      | $11900.00     | 0.00%             | 2024-10-13      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                           | VERAISON RE LTD UNSECURED 144A 03/31 VAR                    | CUSIP: 92335TAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    4600000 | PA      | $4614950.00   | 0.11%             | 2031-03-10      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| VERDE CDO LTD 2005-1A                                                     | VERDE CDO LTD VERDE 2005 1A A1 144A                         | CUSIP: 923367AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  240688457 | PA      | $58583089.02  | 1.36%             | 2045-10-05      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| VERITAS US INC                                                            | VERITAS US INC 2021 TERM LOAN B                             | CUSIP: G9341JAN0<br>LEI: 549300RFUWCPWS8FQ104 | Long             | LON              | CORP              | US        |   35068234 | PA      | $24917207.50  | 0.58%             | 2025-09-01      | Floating      | 9.73%                 | No            |                  2 | On Loan: No      |
| VERITAS US INC / VERITAS BERMUDA LTD                                      | VERITAS US INC/BERMUDA L SR SECURED 144A 09/25 7.5          | CUSIP: 92346LAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   27985000 | PA      | $19333963.37  | 0.45%             | 2025-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-7                                         | VERUS SECURITIZATION TRUST VERUS 2022 7 M1 144A             | CUSIP: 92539NAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4300000 | PA      | $3717247.23   | 0.09%             | 2067-07-25      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| VIAD CORP                                                                 | VIAD CORP INITIAL TERM LOAN                                 | CUSIP: 92553BAL7<br>LEI: 549300PXU4ZW7LPO5Y40 | Long             | LON              | CORP              | US        |    3752500 | PA      | $3559021.10   | 0.08%             | 2028-07-30      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                     | VICI PROPERTIES / NOTE COMPANY GUAR 144A 01/28 4.5          | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $276951.60    | 0.01%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                                        | VIKING CRUISES LTD SR SECURED 144A 05/25 13                 | CUSIP: 92676XAE7<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |   42633000 | PA      | $45047601.81  | 1.05%             | 2025-05-15      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| VIKING OCEAN CRUISES SHIP VII LTD                                         | VIKING OCEAN CRUISES SHI SR SECURED 144A 02/29 5.625        | CUSIP: 92682RAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   12300000 | PA      | $9917490.00   | 0.23%             | 2029-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| VNDO TRUST 2016-350P                                                      | VNO MORTGAGE TRUST VNDO 2016 350P E 144A                    | CUSIP: 91831UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4814000 | PA      | $3657220.35   | 0.08%             | 2035-01-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| VNET GROUP INC                                                            | VNET GROUP INC SR UNSECURED 02/26 0.00000                   | CUSIP: 90138VAB3<br>LEI: 529900672GYJQ3T38I58 | Long             | DBT              | CORP              | KY        |   11800000 | PA      | $9676000.00   | 0.22%             | 2026-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VOC ESCROW LTD                                                            | VOC ESCROW LTD SR SECURED 144A 02/28 5                      | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1300000 | PA      | $1120184.00   | 0.03%             | 2028-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                             | VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5             | CUSIP: 92918XAA3<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | DBT              | CORP              | US        |  122450000 | PA      | $97194687.50  | 2.26%             | 2026-05-09      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A3            | CUSIP: 92925VAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     203164 | PA      | $182519.67    | 0.00%             | 2037-02-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 1A1            | CUSIP: 933634AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     245343 | PA      | $191561.09    | 0.00%             | 2037-03-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 3A3            | CUSIP: 933634AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1702306 | PA      | $1536149.23   | 0.04%             | 2037-03-25      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 1A1            | CUSIP: 92927XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     660499 | PA      | $573310.09    | 0.01%             | 2037-06-25      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 1A1            | CUSIP: 93364FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1039150 | PA      | $765090.02    | 0.02%             | 2037-07-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 3A2            | CUSIP: 93364FAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     522715 | PA      | $475313.41    | 0.01%             | 2037-07-25      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-OA5                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA5 1A1B           | CUSIP: 93364BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1649053 | PA      | $1194356.52   | 0.03%             | 2047-06-25      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A               | CUSIP: ACI0Y9JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     646000 | PA      | $780950.84    | 0.02%             | 2049-12-21      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A               | CUSIP: ACI0Y9JP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     646000 | PA      | $780939.60    | 0.02%             | 2049-12-21      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A             | CUSIP: ACI0YB0Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        176 | PA      | $1667644.80   | 0.04%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A             | CUSIP: ACI0YB0R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        176 | PA      | $110905.21    | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                            | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 1A1             | CUSIP: 93934NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3304060 | PA      | $2105240.19   | 0.05%             | 2036-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR1                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A6             | CUSIP: 939336PC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26144 | PA      | $24599.00     | 0.00%             | 2033-03-25      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR8                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR8 A1             | CUSIP: 92922FTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86696 | PA      | $78017.20     | 0.00%             | 2044-06-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 1A1A           | CUSIP: 92922FR67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     102752 | PA      | $95086.65     | 0.00%             | 2045-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006 AR7                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR7 3A             | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2736002 | PA      | $2226705.34   | 0.05%             | 2046-07-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 1A            | CUSIP: 93363RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     223021 | PA      | $186465.07    | 0.00%             | 2046-10-25      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR14                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR14 2A3           | CUSIP: 93363PAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98255 | PA      | $87220.84     | 0.00%             | 2036-11-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR8                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 2A1            | CUSIP: 93362FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1002168 | PA      | $912348.02    | 0.02%             | 2036-08-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 1A             | CUSIP: 92927BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11857963 | PA      | $9501616.42   | 0.22%             | 2047-07-25      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 2A             | CUSIP: 92927BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     390079 | PA      | $329061.13    | 0.01%             | 2047-07-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-3   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 3 A6              | CUSIP: 93936JAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1412051 | PA      | $1197525.73   | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH 2006-4                            | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 4 3A3             | CUSIP: 939344AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3697317 | PA      | $3204081.99   | 0.07%             | 2036-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3                                   | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR3 1A            | CUSIP: 939336G23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65554 | PA      | $58679.63     | 0.00%             | 2033-06-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR4                                       | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR4 DA            | CUSIP: 939345AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5617205 | PA      | $3124817.70   | 0.07%             | 2046-06-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OC1                                       | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OC1 A1            | CUSIP: 93936FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7640237 | PA      | $6747326.91   | 0.16%             | 2047-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CAYENNE AVIATION LLC                                                      | VOYAGER AVIATION HLD PFD VOYAGER AVIATION 92918X9A5         | CUSIP: 942UCF900<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      97668 | NS      | $26212122.70  | 0.61%             |  |  |  | No            |                  3 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN 2007-PA4                                     | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA4 2A1           | CUSIP: 94984UAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1324053 | PA      | $1160928.12   | 0.03%             | 2037-07-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                  | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 1A1           | CUSIP: 94985GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193187 | PA      | $154440.29    | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W3                                             | ARGENT SECURITIES INC. ARSI 2005 W3 M2                      | CUSIP: 040104PD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29850602 | PA      | $24012460.07  | 0.56%             | 2035-11-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W4                                             | ARGENT SECURITIES INC. ARSI 2005 W4 A2D                     | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22119494 | PA      | $16879199.97  | 0.39%             | 2036-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE LOAN 2011-RR3 TRUST                                  | WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2011 RR3 A5 144A       | CUSIP: 94987VAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3352338 | PA      | $2015019.88   | 0.05%             | 2037-03-27      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE LOAN TRUST 2011-RR1                                  | WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2011 RR1 A3 144A       | CUSIP: 94987TAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3706450 | PA      | $3369487.65   | 0.08%             | 2036-04-27      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                        | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A38             | CUSIP: 94985JBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31408 | PA      | $26188.27     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                        | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A6              | CUSIP: 94985JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30486 | PA      | $25590.19     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR13                                      | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR13 A2           | CUSIP: 94984DAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4385 | PA      | $4064.82      | 0.00%             | 2036-09-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR14                                      | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR14 2A3          | CUSIP: 94984MAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5376 | PA      | $4648.55      | 0.00%             | 2036-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| WESCO AIRCRAFT HOLDINGS INC                                               | WESCO AIRCRAFT HLDGS INC 11/26 10.5                         | CUSIP: 950814AE3<br>LEI: 529900P5VTXZS191P208 | Long             | DBT              | CORP              | US        |    2376757 | PA      | $2192558.33   | 0.05%             | 2026-11-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| WESCO AIRCRAFT HOLDINGS INC                                               | WESCO AIRCRAFT HOLDINGS SR SECURED 144A 11/26 10.5          | CUSIP: 950814AA1<br>LEI: 529900P5VTXZS191P208 | Long             | DBT              | CORP              | US        |  200291467 | PA      | $184768878.31 | 4.29%             | 2026-11-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| WEST MARINE (RISING TIDE HOLDINGS INC)                                    | RISING TIDE HOLDINGS INC TERM LOAN                          | CUSIP: 76770EAB3<br>LEI: 254900T03WM6VU0KWL83 | Long             | LON              | CORP              | US        |   16985000 | PA      | $8067875.00   | 0.19%             | 2028-06-01      | Floating      | 9.48%                 | No            |                  3 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                          | WESTMORELAND COAL CO PIK TERM LOAN                          | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   22679516 | PA      | $17633323.69  | 0.41%             | 2029-03-15      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| WHLN - SV PORTFOLIO                                                       | PREYLOCK REITMAN SANTA CRUZ TERM LOAN                       | CUSIP: 933BWMII7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   37100000 | PA      | $36793394.47  | 0.85%             | 2023-11-09      | Floating      | 9.94%                 | Yes           |                  3 | On Loan: No      |
| WINDSTREAM SERVICES II LLC                                                | WINDSTREAM SERVICES LLC 2020 EXIT TERM LOAN B               | CUSIP: 97381JAE3<br>LEI: 549300KT9GVEBYCD2N29 | Long             | LON              | CORP              | US        |   14237866 | PA      | $12949339.55  | 0.30%             | 2027-09-21      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES II LLC                                                | WINDSTREAM SERVICES LLC 2022 INCREMENTAL TERM LOAN          | CUSIP: 948CQMII5<br>LEI: 549300KT9GVEBYCD2N29 | Long             | LON              | CORP              | US        |   46280000 | PA      | $44151639.26  | 1.03%             | 2027-02-28      | Floating      | 8.42%                 | No            |                  3 | On Loan: No      |
| WINDSTREAM SERVICES LLC (AKA: WINDSTREAM CORP)                            | WINDSTREAM ESCROW LLC SR SECURED 144A 08/28 7.75            | CUSIP: 97382WAA1<br>LEI: 549300L3SXBFJVGRCF66 | Long             | DBT              | CORP              | US        |   64273000 | PA      | $52523270.22  | 1.22%             | 2028-08-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                             | ARGENT SECURITIES INC. ARSI 2006 M2 A2C                     | CUSIP: 04013BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7788077 | PA      | $2601466.06   | 0.06%             | 2036-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-10                                         | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 10 2A1            | CUSIP: 93934FFZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     846664 | PA      | $781000.87    | 0.02%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR8                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR8 2A            | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     267753 | PA      | $218376.04    | 0.01%             | 2046-10-25      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                            | WORLDWIDE PLAZA TRUST WPT 2017 WWP E 144A                   | CUSIP: 98162JAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8000000 | PA      | $4770942.40   | 0.11%             | 2036-11-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                        | WYNN MACAU LTD SR UNSECURED 144A 01/26 5.5                  | CUSIP: 98313RAG1<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    1800000 | PA      | $1654056.00   | 0.04%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                        | WYNN MACAU LTD SR UNSECURED 144A 08/28 5.625                | CUSIP: 98313RAH9<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    7500000 | PA      | $6422212.50   | 0.15%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W2                                            | ARGENT SECURITIES INC. ARSI 2006 W2 A2B                     | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10361786 | PA      | $5537806.88   | 0.13%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                        | WYNN MACAU LTD SR UNSECURED 144A 10/24 4.875                | CUSIP: 98313RAC0<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |     210000 | PA      | $198600.74    | 0.00%             | 2024-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W3                                            | ARGENT SECURITIES INC. ARSI 2006 W3 A2B                     | CUSIP: 040104SQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1050942 | PA      | $349421.22    | 0.01%             | 2036-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                        | WYNN MACAU LTD SR UNSECURED 144A 10/27 5.5                  | CUSIP: 98313RAD8<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    1200000 | PA      | $1050804.00   | 0.02%             | 2027-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                        | WYNN MACAU LTD SR UNSECURED 144A 12/29 5.125                | CUSIP: 98313RAE6<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |     225000 | PA      | $182413.13    | 0.00%             | 2029-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                        | WYNN MACAU LTD SR UNSECURED REGS 08/28 5.625                | CUSIP: G98149AH3<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |     600000 | PA      | $513777.00    | 0.01%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                                      | AP CORE HOLDINGS II LLC AMORTIZATION TERM LOAN B1           | CUSIP: 00187GAC3<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |    3991327 | PA      | $3629113.86   | 0.08%             | 2027-09-01      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                                      | AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B2             | CUSIP: 00187GAD1<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |   10051000 | PA      | $9093039.19   | 0.21%             | 2027-09-01      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                           | ARGENT SECURITIES INC. ARSI 2006 W5 A2B                     | CUSIP: 04012XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6640787 | PA      | $1872030.01   | 0.04%             | 2036-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| YELLOWSTONE ENERGY LP                                                     | YELLOWSTONE ENERGY LP SR SECURED 12/26 5.75                 | CUSIP: 98580LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2324822 | PA      | $2334364.03   | 0.05%             | 2026-12-31      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                           | ARGENT SECURITIES INC. ARSI 2006 W5 A2C                     | CUSIP: 04012XAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3738631 | PA      | $1053884.32   | 0.02%             | 2036-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -4105546 | PA      | $-4415836.06  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -2837246 | PA      | $-3039166.81  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -8555505 | PA      | $-9164965.80  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -37692511 | PA      | $-38202616.51 | -0.89%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -15462280 | PA      | $-15647524.77 | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -56708645 | PA      | $-57217479.55 | -1.33%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -40306701 | PA      | $-40777035.74 | -0.95%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3772087 | PA      | $-3805938.57  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -51262165 | PA      | $-51990800.04 | -1.21%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | BONCER BONDS 03/23 1.4                                      | CUSIP: ACI1L3HY1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |  859777593 | PA      | $2621874.20   | 0.06%             | 2023-03-25      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | BONCER BONDS 08/23 1.45                                     | CUSIP: ACI1WSBF1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        | 1176948779 | PA      | $3530505.70   | 0.08%             | 2023-08-13      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | FIXED INC CLEARING CORP.REPO                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    9495000 | PA      | $9495000.00   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -94906198 | PA      | $-95983753.11 | -2.23%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA BILLS 05/23 0.00000                   | CUSIP: ACI28ZVJ0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |  660142188 | PA      | $2005712.63   | 0.05%             | 2023-05-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -172219 | PA      | $-173951.11   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6250982 | PA      | $-6314695.42  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1856386 | PA      | $-1874413.57  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -29281041 | PA      | $-29542097.74 | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1923577 | PA      | $-1952788.65  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14454636 | PA      | $-14606529.82 | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8119312 | PA      | $-8243872.79  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -23860916 | PA      | $-24228897.33 | -0.56%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10906158 | PA      | $-11053978.85 | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1723377 | PA      | $-1746058.60  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -15487453 | PA      | $-15688178.51 | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -13413623 | PA      | $-13461652.22 | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14695310 | PA      | $-14734476.58 | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA BILLS 06/23 0.00000                   | CUSIP: ACI28R8F2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   14475162 | PA      | $43525.48     | 0.00%             | 2023-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATIXIS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |   -4988647 | PA      | $-5353251.24  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATIXIS SECURITIE REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -17112574 | PA      | $-20880437.32 | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATIXIS SECURITIE REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -862125 | PA      | $-1051230.74  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1779136 | PA      | $-1803250.21  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -60294960 | PA      | $-60510949.78 | -1.41%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -76841607 | PA      | $-77042355.66 | -1.79%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO UBS AG LONDON                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -449807 | PA      | $-454427.77   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO UBS AG LONDON                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1107939 | PA      | $-1118258.22  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -27690533 | PA      | $-28069016.37 | -0.65%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2634303 | PA      | $-2652775.93  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -58658 | PA      | $-59260.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10355214 | PA      | $-10471427.01 | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4596927 | PA      | $-4654516.75  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -16867993 | PA      | $-17101394.50 | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -20312920 | PA      | $-20522701.59 | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3566900 | PA      | $-3611220.70  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -47469701 | PA      | $-47941314.25 | -1.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -17212999 | PA      | $-17373318.96 | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -44510700 | PA      | $-44972003.90 | -1.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10457634 | PA      | $-10547244.55 | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -21252435 | PA      | $-21490320.99 | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -30288448 | PA      | $-30631346.56 | -0.71%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -17157086 | PA      | $-17300099.83 | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -50839951 | PA      | $-51430965.78 | -1.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4033808 | PA      | $-4080578.88  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12941862 | PA      | $-13095119.32 | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2571471 | PA      | $-2599971.44  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPOS                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1121594 | PA      | $-1368477.55  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REV REPO  CANADIAN IMPERIAL BA                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -7768361 | PA      | $-9423682.64  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| CBL & ASSOCIATES PROPERTIES INC                                           | CBL + ASSOCIATES PROPERTIES REIT USD.01                     | CUSIP: 124830878<br>LEI: 529900EIVFBRS4PUBZ13 | Long             | EC               | CORP              | US        |      17153 | NS      | $395891.24    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -25044421 | PA      | $-25433319.48 | -0.59%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -907099 | PA      | $-909208.03   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14729815 | PA      | $-14764798.31 | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -15637924 | PA      | $-15674673.12 | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19253503 | PA      | $-19299230.07 | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1495668 | PA      | $-1499220.21  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3071625 | PA      | $-3096614.83  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -140678 | PA      | $-141664.74   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3438912 | PA      | $-3464703.77  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2312100 | PA      | $-2329761.88  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -4847359 | PA      | $-5213107.68  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -4213018 | PA      | $-4526084.13  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -47041478 | PA      | $-50531466.96 | -1.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -28347922 | PA      | $-30449402.43 | -0.71%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -8713162 | PA      | $-9353924.66  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -1360027 | PA      | $-1456905.14  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -15063396 | PA      | $-16162347.83 | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -26183253 | PA      | $-28094870.68 | -0.65%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -4759737 | PA      | $-5097809.50  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REV REPO CREDIT AGRICOLE CIB ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -970752 | PA      | $-1043010.15  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REV REPO CREDIT AGRICOLE CIB ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -1741052 | PA      | $-1870752.68  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |   -3237433 | PA      | $-3479084.75  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |    -892146 | PA      | $-954131.55   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |  -19515017 | PA      | $-20908776.07 | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |  -19789953 | PA      | $-21213909.51 | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |   -3077361 | PA      | $-3294159.52  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |   -1566225 | PA      | $-1676564.76  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -1954992 | PA      | $-2099845.76  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -2175285 | PA      | $-2336723.04  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -1642193 | PA      | $-1764248.08  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -8400491 | PA      | $-9025483.23  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -4745311 | PA      | $-5100399.32  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -338934 | PA      | $-363672.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | DEUTSCHE REVERSE REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -13444052 | PA      | $-14444862.28 | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | DEUTSCHE REVERSE REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -7499281 | PA      | $-8059268.23  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | DEUTSCHE REVERSE REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -816719 | PA      | $-872497.63   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | DEUTSCHE REVERSE REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -405272 | PA      | $-432976.09   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -718601 | PA      | $-770888.88   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -9932053 | PA      | $-10672971.32 | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -2477269 | PA      | $-2650364.33  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -4243306 | PA      | $-4545747.08  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -2287030 | PA      | $-2450081.34  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CITIGROUP REVERSE REPO                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -28637581 | PA      | $-28708458.74 | -0.67%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CITIGROUP REVERSE REPO                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -24731340 | PA      | $-24794404.51 | -0.58%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CITIGROUP REVERSE REPO                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14539923 | PA      | $-14577362.91 | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2104983 | PA      | $-2118248.24  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2214680 | PA      | $-2231305.38  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5207144 | PA      | $-5261437.15  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6303760 | PA      | $-6366734.29  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5264710 | PA      | $-5318928.04  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3488789 | PA      | $-3504694.00  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11026800 | PA      | $-11026800.00 | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1794139 | PA      | $-1798669.33  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -545318 | PA      | $-546703.30   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -661612 | PA      | $-663276.28   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3405021 | PA      | $-3405021.05  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11288628 | PA      | $-11288628.00 | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                       | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   31687180 | PA      | $7406878.33   | 0.17%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12048442 | PA      | $-12203224.59 | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3115000 | PA      | $-3126383.60  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3097491 | PA      | $-3109258.43  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2673425 | PA      | $-2680832.92  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -41951997 | PA      | $-42099086.35 | -0.98%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -20622319 | PA      | $-20695253.73 | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -20749147 | PA      | $-20809506.60 | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7391231 | PA      | $-7412916.98  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4497207 | PA      | $-4549907.15  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7338938 | PA      | $-7423613.46  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1421587 | PA      | $-1437823.79  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -562500 | PA      | $-568804.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -384150 | PA      | $-388488.76   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4790347 | PA      | $-4838876.32  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -15456000 | PA      | $-15597877.50 | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3254696 | PA      | $-3289785.43  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5804270 | PA      | $-5860155.65  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -21707535 | PA      | $-21904350.07 | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -16646373 | PA      | $-16803681.59 | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REPO WOOD GUNDY RVPO WOOD GUNDY USD                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  317500000 | PA      | $317500000.00 | 7.37%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BARCLAYS CAPITAL REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  261100000 | PA      | $261100000.00 | 6.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | THE BANK OF NOVA SCOTIA REPO REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   11000000 | PA      | $11000000.00  | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | HSBC REVERSE REPO GBP ZCP                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -10223379 | PA      | $-12452440.64 | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | HSBC REVERSE REPO GBP ZCP                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -6528818 | PA      | $-7953048.12  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPM CHASE REVERSE REPO GBP ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -4550341 | PA      | $-5542477.80  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPM CHASE REVERSE REPO GBP ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -7425900 | PA      | $-9046637.15  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPM CHASE REVERSE REPO GBP ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1803184 | PA      | $-2192913.80  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | MERRILL LYNCH REVERSE REPO GBP ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1367009 | PA      | $-1668993.31  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | MERRILL LYNCH REVERSE REPO GBP ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -2854683 | PA      | $-3486573.71  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | PARIBAS REVERSE REPO GBP ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -7652849 | PA      | $-9310974.11  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REV REPO CREDIT AGRICOLE CIB ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -817358 | PA      | $-993798.12   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -1972384 | PA      | $-2402705.92  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -610022 | PA      | $-743028.57   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -17511926 | PA      | $-17635399.26 | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -17343750 | PA      | $-17494900.78 | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8157968 | PA      | $-8239348.26  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5707841 | PA      | $-5720612.78  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1646922 | PA      | $-1650329.58  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3503977 | PA      | $-3511363.04  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1024859 | PA      | $-1039102.07  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -16454338 | PA      | $-16683017.14 | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -29307425 | PA      | $-29639770.71 | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2015455 | PA      | $-2037811.44  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -22639133 | PA      | $-22890257.79 | -0.53%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -653204 | PA      | $-660522.90   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6348439 | PA      | $-6421001.82  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6817455 | PA      | $-6889038.74  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14945675 | PA      | $-15105718.27 | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -13405924 | PA      | $-13550875.46 | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -17770867 | PA      | $-17954973.05 | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -23363430 | PA      | $-23592028.19 | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                       | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   35144000 | PA      | $8214910.00   | 0.19%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -252000 | PA      | $-254503.90   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6021315 | PA      | $-6080230.22  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -544500 | PA      | $-553707.74   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -31961649 | PA      | $-32248433.47 | -0.75%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14091487 | PA      | $-14222506.90 | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11314908 | PA      | $-11419457.86 | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -16604623 | PA      | $-16759503.06 | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1783566 | PA      | $-1798702.39  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1329907 | PA      | $-1340818.42  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12728954 | PA      | $-12824597.54 | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -33857120 | PA      | $-34106891.89 | -0.79%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3088256 | PA      | $-3107907.35  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -29367665 | PA      | $-29828536.86 | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -829439 | PA      | $-831346.71   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -279296 | PA      | $-279938.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6013725 | PA      | $-6027706.91  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -48281939 | PA      | $-48402643.90 | -1.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -520300 | PA      | $-521236.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -554400 | PA      | $-555522.66   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -672300 | PA      | $-673711.83   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -805451 | PA      | $-811283.81   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5941968 | PA      | $-5988154.94  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -16230231 | PA      | $-16377294.43 | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -757773 | PA      | $-764429.96   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1144723 | PA      | $-1153803.41  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12488033 | PA      | $-12586699.17 | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6841654 | PA      | $-6895925.31  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4706766 | PA      | $-4744698.44  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2991773 | PA      | $-3003750.55  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4595866 | PA      | $-4614636.28  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1896221 | PA      | $-1912733.70  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -598936 | PA      | $-601225.82   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1734599 | PA      | $-1752778.64  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -120716 | PA      | $-121440.52   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6765431 | PA      | $-6817117.61  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5445470 | PA      | $-5480738.90  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -13472243 | PA      | $-13572749.50 | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -10555610 | PA      | $-10665007.03 | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1079585 | PA      | $-1082588.63  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -499114 | PA      | $-500939.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -612269 | PA      | $-618399.10   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -20089969 | PA      | $-20273382.46 | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1727868 | PA      | $-1739099.62  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8371590 | PA      | $-8431639.56  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1605782 | PA      | $-1620998.14  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -13220597 | PA      | $-13351311.52 | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3468863 | PA      | $-3487051.13  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -6611818 | PA      | $-6699022.41  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -46525 | PA      | $-46855.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7032617 | PA      | $-7114445.84  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4767787 | PA      | $-4823612.59  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -207347 | PA      | $-209693.76   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -675535 | PA      | $-681149.16   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -15523577 | PA      | $-15655385.29 | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7413149 | PA      | $-7460561.16  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2603379 | PA      | $-2630796.59  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4282016 | PA      | $-4314218.64  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2014636 | PA      | $-2036075.64  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2102196 | PA      | $-2117016.90  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3150572 | PA      | $-3179903.37  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -70376167 | PA      | $-70591205.43 | -1.64%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2055800 | PA      | $-2083723.13  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7222950 | PA      | $-7322150.27  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -836446 | PA      | $-841426.53   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2219892 | PA      | $-2246420.94  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -9547230 | PA      | $-9638334.38  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -970095 | PA      | $-981256.29   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5334846 | PA      | $-5381709.67  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1876537 | PA      | $-1898127.56  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -746115 | PA      | $-752415.53   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -538994 | PA      | $-543401.36   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1909372 | PA      | $-1925495.59  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2047432 | PA      | $-2062095.27  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -49425661 | PA      | $-49869223.61 | -1.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1279245 | PA      | $-1289287.50  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -34960058 | PA      | $-35241486.95 | -0.82%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -374371 | PA      | $-378387.72   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -227719 | PA      | $-229507.08   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12692508 | PA      | $-12826075.68 | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12474161 | PA      | $-12588872.90 | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12073370 | PA      | $-12199415.81 | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3192811 | PA      | $-3203364.55  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -21313014 | PA      | $-21527032.02 | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19393866 | PA      | $-19482150.72 | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -29680350 | PA      | $-30143508.10 | -0.70%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3831969 | PA      | $-3862244.38  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1962278 | PA      | $-1977053.95  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1841840 | PA      | $-1855709.05  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -846869 | PA      | $-852737.89   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5152479 | PA      | $-5188546.35  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7862795 | PA      | $-7917288.54  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -590712 | PA      | $-594846.98   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -319734 | PA      | $-323243.01   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -22995057 | PA      | $-23254837.12 | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -681501 | PA      | $-689200.07   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -18577697 | PA      | $-18737713.92 | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12285000 | PA      | $-12391736.69 | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5737268 | PA      | $-5779464.40  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA BONDS 10/26 15.5                      | CUSIP: ACI0QD081<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |  555410000 | PA      | $485287.14    | 0.01%             | 2026-10-17      | Fixed         | 15.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO TORONTO DOMINIO                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -237443 | PA      | $-237975.33   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -22217766 | PA      | $-22231467.02 | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -19412182 | PA      | $-19710013.60 | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -40965028 | PA      | $-41561478.30 | -0.97%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1486576 | PA      | $-1508934.10  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2358895 | PA      | $-2390101.62  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -23859308 | PA      | $-24188725.01 | -0.56%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1737332 | PA      | $-1753093.46  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1341220 | PA      | $-1354107.94  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -770404 | PA      | $-778482.97   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -198882 | PA      | $-200989.34   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1387089 | PA      | $-1397085.02  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12015613 | PA      | $-12116437.35 | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR                | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   76360418 | PA      | $24312393.49  | 0.56%             | 2038-01-09      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -547764 | PA      | $-551930.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -234269 | PA      | $-235757.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1955071 | PA      | $-1964757.10  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1311941 | PA      | $-1319725.27  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2862002 | PA      | $-2888644.05  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8495834 | PA      | $-8574082.99  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5649754 | PA      | $-5702346.91  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -573039 | PA      | $-577831.52   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -776292 | PA      | $-778284.48   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -423452 | PA      | $-428116.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -14567468 | PA      | $-14658676.14 | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4802007 | PA      | $-4832379.69  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12296813 | PA      | $-12383232.27 | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -794302 | PA      | $-794302.25   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -369357 | PA      | $-369356.57   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -16965844 | PA      | $-17009954.94 | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -119365 | PA      | $-121079.50   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1733424 | PA      | $-1741081.57  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -17392665 | PA      | $-17541299.76 | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8780092 | PA      | $-8832808.20  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -29050673 | PA      | $-29282352.17 | -0.68%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12008194 | PA      | $-12125967.48 | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -350374 | PA      | $-352717.93   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -834145 | PA      | $-840028.50   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -38721097 | PA      | $-39213629.35 | -0.91%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1845819 | PA      | $-1867968.83  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3205038 | PA      | $-3228482.91  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF MONTREAL REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4065015 | PA      | $-4117860.39  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WOOD GUNDY REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -658291 | PA      | $-664852.24   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11427440 | PA      | $-11571721.17 | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -892788 | PA      | $-901666.61   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -698462 | PA      | $-705498.36   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4366355 | PA      | $-4394139.48  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                  | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    5301539 | PA      | $1418161.68   | 0.03%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ABX.HE.AA.06-1 SP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-409427.59   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ABX.HE.AA.06-2 SP FBF                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-5444872.54  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ABX.HE.PENAAA.07-1 SP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-201464.13   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ATLANTIA SPA SNR SE ICE                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | IT        |          1 | NC      | $-2536.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-137363.76   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-18606.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $136759.98    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20230217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $11793.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20230313                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $213470.65    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR                | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   17060470 | PA      | $4892089.77   | 0.11%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-103343.86   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-317434.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR                | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     229986 | PA      | $59406.53     | 0.00%             | 2046-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20230505                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-6312.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20230313                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-144701.28   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $138737.25    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $45940.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $29909.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-3436.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $4535.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20230213                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-18718.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20230912                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $35254.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-35267.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20230119                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-29365.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $17663.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20230223                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $20496.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-53.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20230118                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $9279.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20230213                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $17662.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20230321                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-334349.07   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20230912                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-79202.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASG RESECURITIZATION TRUST 2009-4                                         | ASG RESECURITIZATION TRUST ASG 2009 4 M40 144A              | CUSIP: 00212MBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25903501 | PA      | $13415135.45  | 0.31%             | 2037-06-28      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASG RESECURITIZATION TRUST 2010-2                                         | ASG RESECURITIZATION TRUST ASG 2010 2 M30 144A              | CUSIP: 001990BM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9465020 | PA      | $7409503.52   | 0.17%             | 2037-01-28      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $133343.64    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $89230.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $16663.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                       | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF E 144A             | CUSIP: 04410RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6800000 | PA      | $6239042.84   | 0.14%             | 2035-04-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CLP SOLD USD 20230112                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $7851.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-FF1                                        | ASSET BACKED FUNDING CERTIFICA ABFC 2004 FF1 M1             | CUSIP: 04542BHM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     490271 | PA      | $463060.95    | 0.01%             | 2034-03-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-OPT2                                       | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT2 A2            | CUSIP: 04542BFV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     166854 | PA      | $158465.39    | 0.00%             | 2033-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $12183.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $352.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20230125                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $252754.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20230302                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $131804.09    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20230427                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $115415.48    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-1485.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT2                                       | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT2 A3C           | CUSIP: 00075XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1454600 | PA      | $1419464.09   | 0.03%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20230202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-187178.41   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-207265.34   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-22847.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20230321                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $92920.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20230106                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-359.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20230315                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-2929.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20230410                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-545644.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20230120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-7256.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HUF BOUGHT USD 20230113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-78759.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | DIAMOND SPORTS GROUP LLC TL TRS BKL BPS                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-147000.00   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20230510                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $173734.81    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20230120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $12024.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLANTIC AVIATION (AKA: KKR APPLE BIDCO LLC)                              | KKR APPLE BIDCO, LLC 2021 2ND LIEN TERM LOAN                | CUSIP: 938PNZII2<br>LEI: 2549001SCJD3WEYJFM53 | Long             | LON              | CORP              | US        |    1225000 | PA      | $1188250.00   | 0.03%             | 2029-09-21      | Floating      | 10.13%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20230119                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-22204.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20230420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-98110.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20230503                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-134983.21   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20230113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-2439696.42  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | GUARANTEED RATE INC WTS 7214419C9                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |        288 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $5197.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $9440.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-11863490.60 | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-172803.94   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-58232.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-26275.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $24714.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20230214                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-447.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-17552.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20230120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-4424.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | TRS YJL 01/28/36 MYC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | CN        |          1 | NC      | $903113.48    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                       | TRS IBOXHY/SOFRINDX 03/20/2023 BOA                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $7596.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | TRS IBOXHY/SOFRINDX 06/20/23 GST                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-26038.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTIN FAIRMONT HOTEL TRUST 2019-FAIR                                     | AUSTIN FAIRMONT HOTEL TRUST AFHT 2019 FAIR F 144A           | CUSIP: 05223HAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4668361.00   | 0.11%             | 2032-09-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | INTELSAT JACKSON HOLDINGS S A EXP 05DEC25                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |     182955 | NC      | $1372162.50   | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                       | INTELSAT JACKSON HOLDINGS S A RIGHTS                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |     188308 | NC      | $1271079.00   | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                       | INTELSAT EMERGENCE SA CALL EXP 17FEB27                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |       2895 | NC      | $5790.20      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                       | INTELSAT EMERGENCE SA CALL EXP17FEB27                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |      10938 | NC      | $38282.50     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                       | JAGUAR LAND ROVER AUTOMOTIVE  SNR SE ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $-76511.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JAGUAR LAND ROVER AUTOMOTIVE  SNR SE ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $-1883799.21  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-244308.53   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-203125.86   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20230119                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $32.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $14.81        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20230223                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $42981.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-28124.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-27132.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20230118                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $2432.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20230210                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $45201.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20230217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $572.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-34561.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20230313                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-75294.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20230413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-188936.20   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ROLLS-ROYCE PLC SNR SE ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $-444773.22   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ROLLS-ROYCE PLC SNR SE ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $-138576.90   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ROLLS-ROYCE PLC SNR SE ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $-1475269.06  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ROLLS-ROYCE PLC SNR SE ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $-308201.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20230420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1592701.90   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $282160.72    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20230315                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-2162.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20230210                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-19327.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20230912                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-85408.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  DEC23 XCME 20240319                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -179 | NC      | $837518.28    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  DEC24 XCME 20250318                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -93 | NC      | $268499.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  DEC25 XCME 20260317                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -102 | NC      | $273517.09    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  JUN24 XCME 20240917                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -117 | NC      | $411057.34    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  JUN25 XCME 20250916                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -94 | NC      | $257279.94    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  MAR24 XCME 20240618                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -155 | NC      | $632916.83    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  MAR25 XCME 20250617                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -85 | NC      | $237833.13    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  MAR26 XCME 20260616                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -95 | NC      | $252626.32    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  SEP24 XCME 20241217                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -108 | NC      | $334666.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  SEP25 XCME 20251216                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -76 | NC      | $203631.17    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20230223                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $41491.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20230105                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $122.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20230105                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $71.70        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20230106                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $370.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20230109                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $519.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20230112                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $793.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20230117                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $584.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20230119                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $299.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20230119                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $6.91         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20230123                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $174.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20230123                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $57.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20230127                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $26.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20230306                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $56.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20230413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $160928.58    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20230413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $138136.43    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 2 PLC 2A                                                  | AVON FINANCE AVON 2A E 144A                                 | CUSIP: ACI1RJGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   20316000 | PA      | $23962959.30  | 0.56%             | 2048-09-20      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 2 PLC 2A                                                  | AVON FINANCE AVON 2A F 144A                                 | CUSIP: ACI1RJBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    8126000 | PA      | $9538940.27   | 0.22%             | 2048-09-20      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 2 PLC 2A                                                  | AVON FINANCE AVON 2A Y 144A                                 | CUSIP: ACI1RJPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      10000 | PA      | $21879792.21  | 0.51%             | 2048-09-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 2 PLC 2A                                                  | AVON FINANCE AVON 2A Z 144A                                 | CUSIP: ACI1RJCV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   28441000 | PA      | $29269063.85  | 0.68%             | 2048-09-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20230118                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-29747.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20230919                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-3608.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer