# EDGAR Filing Document

**Accession Number:** 0001480207
**File Stem:** 0001145549-23-011693
**Filing Date:** 2023-2
**Character Count:** 507317
**Document Hash:** 94aefdd373642695fef1f3b104741adf
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-011693.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001145549-23-011693

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20230331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** DoubleLine Funds Trust
- **CENTRAL INDEX KEY:** 0001480207
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22378
- **FILM NUMBER:** 23675442

**BUSINESS ADDRESS:**
- **STREET 1:** 2002 N. TAMPA ST.,
- **STREET 2:** SUITE 200
- **CITY:** TAMPA
- **STATE:** FL
- **ZIP:** 33602
- **BUSINESS PHONE:** (813) 791-7333

**MAIL ADDRESS:**
- **STREET 1:** 2002 N. TAMPA ST.,
- **STREET 2:** SUITE 200
- **CITY:** TAMPA
- **STATE:** FL
- **ZIP:** 33602

## Series and Classes Contracts Data

### DoubleLine Shiller Enhanced CAPE (Series ID: S000042768)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000132287 | Class I      | DSEEX           |
| C000132288 | Class N      | DSENX           |
| C000213587 | Class R6     | DDCPX           |

## Nport-Ex

------

**DoubleLine Shiller Enhanced CAPE<sup>®</sup>** 

Schedule of Investments

December 31, 2022 (Unaudited)

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
|  **Asset Backed Obligations - 7.9%** | **Asset Backed Obligations - 7.9%** | **Asset Backed Obligations - 7.9%** | **Asset Backed Obligations - 7.9%** | **Asset Backed Obligations - 7.9%** |
| 6000000 | Affirm Asset Securitization Trust, Series 2021-B-A | 1.03 % (a) | 08/17/2026 | 5692442 |
| 4200000 | Affirm Asset Securitization Trust, Series 2021-B-B | 1.24 % (a) | 08/17/2026 | 3879841 |
| 6000000 | Aligned Data Centers Issuer LLC, Series 2021-1A-A2 | 1.94 % (a) | 08/15/2046 | 5136828 |
| 4000000 | Amur Equipment Finance Receivables LLC, Series 2021-1A-D | 2.30 % (a) | 11/22/2027 | 3630643 |
| 2089214 | Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A-A | 1.19 % (a) | 01/15/2027 | 2019469 |
| 4036468 | Business Jet Securities LLC, Series 2021-1A-A | 2.16 % (a) | 04/15/2036 | 3543135 |
| 9806094 | CAL Funding Ltd., Series 2020-1A-A | 2.22 % (a) | 09/25/2045 | 8490377 |
| 3036331 | Castlelake Aircraft Structured Trust, Series 2019-1A-A | 3.97 % (a) | 04/15/2039 | 2566747 |
| 944247 | College Avenue Student Loans LLC, Series 2017-A-B | 4.50 % (a) | 11/26/2046 | 877355 |
| 2709598 | Credit Suisse ABS Trust, Series 2020-AT1-A | 2.61 % (a) | 10/15/2026 | 2589725 |
| 2396561 | Diamond Resorts Owner Trust, Series 2021-1A-C | 2.70 % (a) | 11/21/2033 | 2185297 |
| 1494236 | DRB Prime Student Loan Trust, Series 2017-A-B | 3.10 % (a)(b) | 05/27/2042 | 1481884 |
| 5000000 | Exeter Automobile Receivables Trust, Series 2021-1A-D | 1.08% | 11/16/2026 | 4676756 |
| 10000000 | Exeter Automobile Receivables Trust, Series 2021-1A-E | 2.21 % (a) | 02/15/2028 | 9124820 |
| 2490000 | ExteNet LLC, Series 2019-1A-A2 | 3.20 % (a) | 07/26/2049 | 2339890 |
| 1630445 | Foundation Finance Trust, Series 2019-1A-A | 3.86 % (a) | 11/15/2034 | 1597021 |
| 10000000 | Genesis Sales Finance Master Trust, Series 2021-AA-C | 1.65 % (a) | 12/21/2026 | 9146888 |
| 3750653 | Global SC Finance SRL, Series 2020-1A-A | 2.17 % (a) | 10/17/2040 | 3328383 |
| 901607 | HERO Funding Trust, Series 2016-1A-A | 4.05 % (a) | 09/20/2041 | 857906 |
| 18685732 | Horizon Aircraft Finance Ltd., Series 2019-2-A | 3.43 % (a) | 11/15/2039 | 14417388 |
| 4435988 | Jack in the Box Funding LLC, Series 2019-1A-A2II | 4.48 % (a) | 08/25/2049 | 4054612 |
| 11572875 | Jimmy Johns Funding LLC, Series 2017-1A-A2II | 4.85 % (a) | 07/30/2047 | 10671157 |
| 515396 | Laurel Road Prime Student Loan Trust, Series 2017-B-CFX | 3.61 % (a) | 08/25/2042 | 465005 |
| 7453339 | Lendbuzz Securitization Trust, Series 2022-1A-A | 4.22 % (a) | 05/17/2027 | 7136724 |
| 7324377 | Loanpal Solar Loan Ltd., Series 2020-3GS-A | 2.47 % (a) | 12/20/2047 | 5583232 |
| 4648196 | Loanpal Solar Loan Ltd., Series 2021-1GS-A | 2.29 % (a) | 01/20/2048 | 3547410 |
| 7760000 | ME Funding LLC, Series 2019-1-A2 | 6.45 % (a) | 07/30/2049 | 7471538 |
| 762199 | Mosaic Solar Loan Trust, Series 2017-1A-A | 4.45 % (a) | 06/20/2042 | 730216 |
| 5855748 | Mosaic Solar Loan Trust, Series 2020-2A-B | 2.21 % (a) | 08/20/2046 | 4981772 |
| 4500000 | Navient Private Education Loan Trust, Series 2018-A-B | 3.68 % (a) | 02/18/2042 | 4255271 |
| 7946058 | Pagaya AI Debt Selection Trust, Series 2021-2-NOTE | 3.00 % (a) | 01/25/2029 | 7404632 |
| 7499116 | Pagaya AI Debt Selection Trust, Series 2021-5-B | 2.63 % (a) | 08/15/2029 | 6726395 |
| 8498998 | Pagaya AI Debt Selection Trust, Series 2021-5-C | 3.93 % (a) | 08/15/2029 | 7162603 |
| 16647798 | Pagaya AI Debt Selection Trust, Series 2022-1-B | 3.34 % (a) | 10/15/2029 | 14997261 |
| 10090325 | Purewest Funding LLC, Series 2021-1-A1 | 4.09 % (a) | 12/22/2036 | 9576423 |
| 7000000 | Santander Drive Auto Receivables Trust, Series 2020-4-D | 1.48% | 01/15/2027 | 6681453 |
| 16799190 | Sapphire Aviation Finance Ltd., Series 2020-1A-A | 3.23 % (a) | 03/15/2040 | 12745696 |
| 2361034 | Sierra Timeshare Receivables Funding LLC, Series 2021-2A-C | 1.95 % (a) | 09/20/2038 | 2154469 |
| 18502270 | SoFi Alternative Consumer Loan Program, Series 2021-2-A | 1.25 % (a) | 08/15/2030 | 17483443 |
| 15905347 | SoFi Alternative Trust, Series 2021-1-PT1 | 9.72 % (a)(b) | 05/25/2030 | 15639934 |
| 30562179 | SoFi Alternative Trust, Series 2021-3-A | 1.50 % (a) | 11/15/2030 | 28868179 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 178873 | SoFi Professional Loan Program LLC, Series 2017-A-A2B | 2.40 % (a) | 03/26/2040 | 177425 |
| 2685287 | Start Ltd., Series 2018-1-A | 4.09 % (a) | 05/15/2043 | 2297440 |
| 5940000 | Taco Bell Funding LLC, Series 2021-1A-A2I | 1.95 % (a) | 08/25/2051 | 5037718 |
| 4926188 | TAL Advantage LLC, Series 2020-1A-A | 2.05 % (a) | 09/20/2045 | 4328241 |
| 8000000 | Theorem Funding Trust, Series 2021-1A-B | 1.84 % (a) | 12/15/2027 | 7454030 |
| 10173872 | Thunderbolt Aircraft Lease Ltd., Series 2018-A-A | 4.15 % (a) (l) | 09/15/2038 | 7736029 |
| 6385937 | TIF Funding LLC, Series 2021-1A-A | 1.65 % (a) | 02/20/2046 | 5308634 |
| 4749314 | Upgrade Master Pass-Thru Trust, Series 2021-PT3-A | 15.57 % (a) (b) | 07/15/2027 | 4550498 |
| 2591863 | Upstart Pass-Through Trust, Series 2020-ST5-A | 3.00 % (a) | 12/20/2026 | 2477086 |
| 4560216 | Upstart Pass-Through Trust, Series 2020-ST6-A | 3.00 % (a) | 01/20/2027 | 4334739 |
| 2082907 | Upstart Pass-Through Trust, Series 2021-ST3-A | 2.00 % (a) | 05/20/2027 | 1953492 |
| 1900000 | Upstart Securitization Trust, Series 2021-1-B | 1.89 % (a) | 03/20/2031 | 1853818 |
| 7170000 | Upstart Securitization Trust, Series 2021-2-B | 1.75 % (a) | 06/20/2031 | 6810219 |
| 3000000 | Upstart Securitization Trust, Series 2021-3-B | 1.66 % (a) | 07/20/2031 | 2791203 |
| 6331962 | Willis Engine Structured Trust, Series 2020-A-A | 3.23 % (a) | 03/15/2045 | 4841621 |
|  **Total Asset Backed Obligations** (Cost $366,958,971) | **Total Asset Backed Obligations** (Cost $366,958,971) | **Total Asset Backed Obligations** (Cost $366,958,971) | **Total Asset Backed Obligations** (Cost $366,958,971) | 327872413 |
|  **Bank Loans - 8.3%** | **Bank Loans - 8.3%** | **Bank Loans - 8.3%** | **Bank Loans - 8.3%** | **Bank Loans - 8.3%** |
|  | 1011778 B.C. Unlimited Liability Company, Senior Secured First Lien Term Loan |  |  |  |
| 2839186 | (3 Month LIBOR USD + 1.75%) | 6.16% | 11/19/2026 | 2795832 |
| 9547494 | (1 Month LIBOR USD + 1.75%) | 6.13% | 11/19/2026 | 9401703 |
| 8154578 | Ali Group North America Corporation, Senior Secured First Lien (1 Month Secured Overnight Financing Rate + 2.00%) | 6.44% | 07/30/2029 | 8103612 |
| 363482 | Alliance Laundry Systems LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.50%, 0.75% Floor) | 7.41% | 10/08/2027 | 356849 |
| 315000 | Almonde, Inc., Senior Secured Second Lien Term Loan (6 Month LIBOR USD + 7.25%, 1.00% Floor) | 10.62% | 06/16/2025 | 236475 |
|  | Amentum Government Services Holdings LLC, Senior Secured First Lien Term Loan |  |  |  |
| 252349 | (1 Month LIBOR USD + 4.00%) | 8.38% | 02/01/2027 | 247406 |
| 84026 | (6 Month LIBOR USD + 4.00%) | 8.17% | 02/01/2027 | 82381 |
| 343000 | American Airlines, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) | 6.14% | 01/29/2027 | 326462 |
| 1393638 | Api Group DE, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) | 6.57% | 10/01/2026 | 1386377 |
| 1725000 | Aramark Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) | 6.13% | 03/11/2025 | 1719342 |
| 694713 | Aramark Services, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) | 6.13% | 01/15/2027 | 685073 |
| 12483199 | Asplundh Tree Expert LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) | 6.13% | 09/07/2027 | 12477956 |
| 10413889 | Avantor Funding, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 0.50% Floor) | 6.63% | 11/08/2027 | 10381345 |
| 4900000 | Axalta Coating Systems US Holdings, Inc. | 7.32 % (c) | 12/20/2029 | 4911025 |
| 6028965 | Berry Global, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) | 6.02% | 07/01/2026 | 5991977 |
| 5054984 | Cable One, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) | 6.38% | 05/03/2028 | 4951988 |

---

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---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 578200 | Cablevision Lightpath LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%, 0.50% Floor) | 7.57% | 11/30/2027 | 554713 |
| 385058 | Caesars Resort Collection LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) | 7.88% | 07/21/2025 | 384598 |
| 2910932 | Calpine Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) | 6.39% | 04/06/2026 | 2879101 |
| 154800 | Calpine Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) | 6.38% | 08/12/2026 | 153088 |
| 6242376 | Calpine Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) | 6.89% | 12/16/2027 | 6190595 |
| 144726 | Camelot US Acquisition Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 1.00% Floor) | 7.38% | 10/30/2026 | 142736 |
| 429000 | Carnival Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%, 0.75% Floor) | 7.38% | 06/30/2025 | 412529 |
| 4437250 | Catalent Pharma Solutions, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%, 0.50% Floor) | 6.38% | 02/22/2028 | 4376948 |
| 12015759 | Charter Communications Operating LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) | 6.14% | 02/01/2027 | 11751412 |
| 3806550 | Clean Harbors, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) | 6.07% | 10/09/2028 | 3796501 |
| 432763 | Connect US Finco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor) | 7.89% | 12/11/2026 | 428660 |
| 674475 | Conservice Midco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.25%) | 8.63% | 05/13/2027 | 656069 |
| 458302 | Cyanco Intermediate Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) | 7.88% | 03/17/2025 | 441689 |
| 1162275 | Cyxtera DC Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 1.00% Floor) | 7.36% | 05/01/2024 | 996291 |
| 406413 | Diamond Sports Group LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.25%) | 7.57% | 08/24/2026 | 52157 |
| 12499595 | Elanco Animal Health, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) | 5.87% | 07/30/2027 | 12028860 |
| 1754718 | Element Solutions, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 2.00%) | 6.32% | 01/30/2026 | 1754718 |
| 9829267 | Energizer Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 0.50% Floor) | 6.63% | 12/22/2027 | 9669542 |
| 127708 | eResearchTechnology, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor) | 8.88% | 02/04/2027 | 113061 |
| 622670 | Exgen Renewables LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%, 1.00% Floor) | 7.24% | 12/15/2027 | 617676 |
| 697366 | First Advantage Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) | 7.13% | 01/29/2027 | 686034 |
| 12462828 | Fleetcor Technologies Operating Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) | 6.13% | 04/28/2028 | 12353778 |
| 3780732 | Focus Financial Partners LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 2.50%, 0.50% Floor) | 6.82% | 06/30/2028 | 3716932 |
| 1720875 | Froneri US, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) | 6.63% | 01/29/2027 | 1678094 |
| 383133 | Generac Power Systems, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 1.75%) | 5.97% | 12/11/2026 | 375171 |
| 994500 | Go Daddy Operating Company LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) | 6.38% | 08/10/2027 | 986579 |
| 11335469 | Go Daddy Operating Company LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.25%) | 7.57% | 11/09/2029 | 11331501 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 1784016 | GOBP Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.75%) | 7.13% | 10/22/2025 | 1782009 |
| 2378074 | Gray Television, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) | 6.62% | 01/02/2026 | 2320441 |
| 4450050 | Gray Television, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) | 7.12% | 12/01/2028 | 4330922 |
| 1420886 | Hilton Worldwide Finance LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 1.75%) | 6.17% | 06/22/2026 | 1418136 |
| 12467718 | Horizon Therapeutics USA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%, 0.50% Floor) | 6.19% | 03/15/2028 | 12471084 |
| 451053 | Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%, 0.75% Floor) | 10.63% | 07/07/2025 | 428951 |
| 8423321 | ICON Luxembourg SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.25%, 0.50% Floor) | 7.00% | 07/03/2028 | 8408623 |
|  | ICU Medical, Inc., Senior Secured First Lien Term Loan |  |  |  |
| 1565987 | (3 Month Secured Overnight Financing Rate + 2.50%, 0.50% Floor) | 7.23% | 01/08/2029 | 1519007 |
| 210588 | (1 Month Secured Overnight Financing Rate + 2.50%, 0.50% Floor) | 6.92% | 01/08/2029 | 204271 |
| 663931 | IHeartCommunications, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) | 7.38% | 05/01/2026 | 610611 |
| 12382297 | IQVIA, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 1.75%) | 5.42% | 06/11/2025 | 12347502 |
| 13138896 | Iron Mountain Information Management LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) | 6.13% | 01/02/2026 | 12991083 |
| 4646039 | KFC Holding Company, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) | 6.09% | 03/15/2028 | 4593771 |
| 428553 | Lions Gate Capital Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%) | 6.63% | 03/24/2025 | 410340 |
| 264792 | Maravai Intermediate Holdings LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 3.00%, 0.50% Floor) | 6.96% | 10/19/2027 | 260324 |
| 2048872 | Marriott Ownership Resorts, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) | 6.13% | 08/29/2025 | 2032481 |
| 420527 | Nascar Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) | 6.88% | 10/19/2026 | 420100 |
| 465965 | NCR Corporation, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%) | 6.92% | 08/28/2026 | 453733 |
| 11942691 | NortonLifeLock, Inc., Senior Secured First Lien (1 Month Secured Overnight Financing Rate + 2.00%, 0.50% Floor) | 6.42% | 09/12/2029 | 11766059 |
| 486337 | PAI HoldCo, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 0.75% Floor) | 8.16% | 10/28/2027 | 431323 |
| 481378 | PCI Gaming Authority, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) | 6.88% | 05/29/2026 | 479373 |
| 78201 | Phoenix Services International LLC, Senior Secured First Lien Delayed-Draw Term Loan (1 Month Secured Overnight Financing Rate + 12.00%, 2.00% Floor or 10% PIK) | 15.73% | 03/28/2023 | 75464 |
| 52422 | Phoenix Services International LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 12.00%, 2.00% Floor or 10.00% PIK) | 16.33% | 03/28/2023 | 50588 |
| 439200 | Phoenix Services International LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor) | 6.67 % (d) | 03/03/2025 | 47488 |
| 12454998 | Pilot Travel Centers LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 2.00%) | 6.42% | 08/04/2028 | 12335119 |
| 447038 | PointClickCare Technologies, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.00%, 0.75% Floor) | 7.75% | 12/29/2027 | 435862 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 2098676 | PRA Health Sciences, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.25%, 0.50% Floor) | 7.00% | 07/03/2028 | 2095014 |
| 696782 | Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) | 9.13% | 03/11/2026 | 679167 |
| 112512 | Rentpath, Inc., Senior Secured First Lien Term Loan (Prime Rate + 0.00%) | 3.25% | 04/25/2024 | 1688 |
| 12397582 | Reynolds Consumer Products LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) | 6.13% | 02/04/2027 | 12317184 |
| 1824034 | Select Medical Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) | 6.89% | 03/06/2025 | 1792797 |
| 10365000 | Setanta Aircraft Leasing DAC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.00%) | 6.73% | 11/02/2028 | 10333905 |
| 645000 | SkyMiles IP Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor) | 7.99% | 10/20/2027 | 658668 |
| 1392301 | SMG US Midco, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.50%) | 6.91% | 01/23/2025 | 1359819 |
| 1882559 | Sound Inpatient Physicians, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) | 7.38% | 06/27/2025 | 1540969 |
| 3900251 | SS&C Technologies, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) | 6.13% | 04/16/2025 | 3841026 |
| 7288841 | Standard Industries, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 2.25%, 0.50% Floor) | 6.43% | 09/22/2028 | 7209466 |
| 11895017 | Stars Group Holdings B.V., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.25%) | 6.98% | 07/21/2026 | 11749601 |
| 393933 | Sunshine Luxembourg SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 0.75% Floor) | 8.48% | 10/01/2026 | 378231 |
| 6787158 | Trans Union LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) | 6.13% | 11/13/2026 | 6702929 |
| 4101726 | Trans Union LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.25%, 0.50% Floor) | 6.63% | 12/01/2028 | 4068399 |
| 165919 | United Natural Foods, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.25%) | 7.69% | 10/22/2025 | 165744 |
| 2871275 | Univar Solutions USA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.75%) | 6.13% | 06/02/2028 | 2864987 |
| 334650 | Univar Solutions USA, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) | 6.38% | 07/01/2026 | 333884 |
| 2189688 | US Foods, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.00%) | 6.38% | 09/14/2026 | 2172312 |
| 454690 | Victory Capital Holdings, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 2.25%) | 5.96% | 07/01/2026 | 452203 |
| 2694290 | Virgin Media Bristol LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) | 6.82% | 01/31/2028 | 2654118 |
|  | Vistra Operations Company LLC, Senior Secured First Lien Term Loan |  |  |  |
| 2468688 | (1 Month LIBOR USD + 1.75%) | 6.09% | 12/31/2025 | 2450877 |
| 9928184 | (1 Month LIBOR USD + 1.75%) | 6.13% | 12/31/2025 | 9856551 |
| 2187900 | Walker & Dunlop, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 2.25%, 0.50% Floor) | 6.67% | 12/15/2028 | 2149612 |
| 12512934 | WMG Acquisition Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.13%) | 6.51% | 01/20/2028 | 12387804 |
| 235000 | Ziggo Financing Partnership, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 2.50%) | 6.82% | 04/28/2028 | 229695 |
|  **Total Bank Loans** (Cost $349,104,350) | **Total Bank Loans** (Cost $349,104,350) | **Total Bank Loans** (Cost $349,104,350) | **Total Bank Loans** (Cost $349,104,350) | 345656151 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
|  **Collateralized Loan Obligations - 23.4%** | **Collateralized Loan Obligations - 23.4%** | **Collateralized Loan Obligations - 23.4%** | **Collateralized Loan Obligations - 23.4%** | **Collateralized Loan Obligations - 23.4%** |
| 27000000 | 37 Capital, Series 2021-1A-A (3 Month LIBOR USD + 1.20%, 1.20% Floor) | 5.28 % (a) | 10/15/2034 | 25831778 |
| 12250000 | Allegro Ltd., Series 2018-1A-A (3 Month LIBOR USD + 1.10%, 1.10% Floor) | 5.18 % (a) | 06/13/2031 | 12061370 |
| 12000000 | Allegro Ltd., Series 2019-1A-AR (3 Month LIBOR USD + 1.15%, 1.15% Floor) | 5.39 % (a) | 07/20/2032 | 11743337 |
| 2206869 | Anchorage Capital Ltd., Series 2014-3RA-A (3 Month LIBOR USD + 1.05%, 0.00% Floor) | 5.42 % (a) | 01/28/2031 | 2183003 |
| 25000000 | Anchorage Capital Ltd., Series 2016-9A-AR2 (3 Month LIBOR USD + 1.14%, 1.14% Floor) | 5.22 % (a) | 07/15/2032 | 24563665 |
| 23000000 | Anchorage Capital Ltd., Series 2021-19A-A (3 Month LIBOR USD + 1.21%, 1.21% Floor) | 5.29 % (a) | 10/15/2034 | 22169028 |
| 2000000 | Atlas Senior Loan Fund Ltd., Series 2018-11A-B (3 Month LIBOR USD + 1.65%, 0.00% Floor) | 5.98 % (a) | 07/26/2031 | 1886116 |
| 10000000 | Bain Capital Credit Ltd., Series 2019-1A-AR (3 Month LIBOR USD + 1.13%, 0.00% Floor) | 5.36 % (a) | 04/19/2034 | 9722202 |
| 29500000 | Battalion Ltd., Series 2017-11A-AR (3 Month LIBOR USD + 1.15%, 1.15% Floor) | 5.47 % (a) | 04/24/2034 | 28595601 |
| 10000000 | Battalion Ltd., Series 2021-20A-A (3 Month LIBOR USD + 1.18%, 1.18% Floor) | 5.26 % (a) | 07/15/2034 | 9746421 |
| 14000000 | Benefit Street Partners Ltd., Series 2021-24A-A (3 Month LIBOR USD + 1.17%, 1.17% Floor) | 5.41 % (a) | 10/20/2034 | 13419990 |
| 20000000 | BlueMountain Ltd., Series 2021-31A-A1 (3 Month LIBOR USD + 1.15%, 1.15% Floor) | 5.38 % (a) | 04/19/2034 | 19441332 |
| 10500000 | Bridge Street Ltd., Series 2021-1A-A1A (3 Month LIBOR USD + 1.23%, 1.23% Floor) | 5.47 % (a) | 07/20/2034 | 10093211 |
| 5000000 | Carlyle Global Market Strategies Ltd., Series 2016-1A-A1R2 (3 Month LIBOR USD + 1.14%, 1.14% Floor) | 5.38 % (a) | 04/20/2034 | 4864071 |
| 9850000 | Cathedral Lake Ltd., Series 2021-7RA-A (3 Month LIBOR USD + 1.31%, 1.31% Floor) | 5.39 % (a) | 01/15/2032 | 9764159 |
| 20000000 | Cathedral Lake Ltd., Series 2021-8A-A1 (3 Month LIBOR USD + 1.22%, 1.22% Floor) | 5.46 % (a) | 01/20/2035 | 19321318 |
| 20000000 | CBAM Ltd., Series 2017-2A-AR (3 Month LIBOR USD + 1.19%, 1.19% Floor) | 5.27 % (a) | 07/17/2034 | 19267602 |
| 10350000 | CFIP Ltd., Series 2017-1A-AR (3 Month LIBOR USD + 1.23%, 1.23% Floor) | 5.42 % (a) | 10/18/2034 | 10037620 |
| 1800000 | CIFC Funding Ltd., Series 2014-5A-BR2 (3 Month LIBOR USD + 1.80%, 1.80% Floor) | 5.88 % (a) | 10/17/2031 | 1741394 |
| 25000000 | CQS Ltd., Series 2021-1A-A (3 Month LIBOR USD + 1.22%, 1.22% Floor) | 5.46 % (a) | 01/20/2035 | 24015517 |
| 11000000 | CQS Ltd., Series 2021-1A-B (3 Month LIBOR USD + 1.88%, 1.88% Floor) | 6.12 % (a) | 01/20/2035 | 10543478 |
| 25000000 | Dryden Ltd., Series 2020-85A-AR (3 Month LIBOR USD + 1.15%, 1.15% Floor) | 5.23 % (a) | 10/15/2035 | 24378060 |
| 20000000 | Elevation Ltd., Series 2018-9A-A1 (3 Month LIBOR USD + 1.12%, 1.12% Floor) | 5.20 % (a) | 07/15/2031 | 19602604 |
| 20000000 | Galaxy Ltd., Series 2016-22A-ARR (3 Month LIBOR USD + 1.20%, 1.20% Floor) | 5.28 % (a) | 04/16/2034 | 19445006 |
| 13000000 | Gulf Stream Meridian Ltd., Series 2021-4A-A1 (3 Month LIBOR USD + 1.20%, 1.20% Floor) | 5.28 % (a) | 07/15/2034 | 12669008 |
| 13500000 | Gulf Stream Meridian Ltd., Series 2021-IIIA-A1 (3 Month LIBOR USD + 1.32%, 1.32% Floor) | 5.40 % (a) | 04/15/2034 | 13197503 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 133637 | Halcyon Loan Advisors Funding Ltd., Series 2013-2A-D (3 Month LIBOR USD + 3.80%, 0.00% Floor) | 8.24 % (a) | 08/01/2025 | 108039 |
| 9500000 | Hayfin Ltd., Series 2018-8A-A (3 Month LIBOR USD + 1.12%, 1.12% Floor) | 5.36 % (a) | 04/20/2031 | 9309703 |
| 6500000 | Hayfin Ltd., Series 2018-8A-B (3 Month LIBOR USD + 1.48%, 1.48% Floor) | 5.72 % (a) | 04/20/2031 | 6249428 |
| 15000000 | Jamestown Ltd., Series 2016-9A-A1RR (3 Month LIBOR USD + 1.24%, 1.24% Floor) | 5.60 % (a) | 07/25/2034 | 14495505 |
| 20000000 | LCM LP, Series 17A-A2RR (3 Month LIBOR USD + 1.15%, 1.15% Floor) | 5.23 % (a) | 10/15/2031 | 19597896 |
| 14000000 | Logan Ltd., Series 2022-1A-B (Secured Overnight Financing Rate 3 Month + 2.05%, 2.05% Floor) | 6.04 % (a) | 04/21/2035 | 13585733 |
| 3000000 | Madison Park Funding Ltd., Series 2017-26A-BR (3 Month LIBOR USD + 1.60%, 0.00% Floor) | 6.01 % (a) | 07/29/2030 | 2922710 |
| 415012 | Marathon Ltd., Series 2013-5A-A1R (3 Month LIBOR USD + 0.87%, 0.00% Floor) | 5.55 % (a) | 11/21/2027 | 414354 |
| 8625000 | Marathon Ltd., Series 2017-9A-A2 (3 Month LIBOR USD + 1.75%, 0.00% Floor) | 5.83 % (a) | 04/15/2029 | 8496670 |
| 25000000 | Marble Point Ltd., Series 2018-2A-A1R (3 Month LIBOR USD + 1.28%, 1.28% Floor) | 5.52 % (a) | 01/20/2032 | 24366127 |
| 29500000 | Marble Point Ltd., Series 2020-1A-A (3 Month LIBOR USD + 1.30%, 1.30% Floor) | 5.54 % (a) | 04/20/2033 | 28730442 |
| 25000000 | Marble Point Ltd., Series 2021-2A-A (3 Month LIBOR USD + 1.20%, 1.20% Floor) | 5.56 % (a) | 07/25/2034 | 24021187 |
| 23000000 | Marble Point Ltd., Series 2021-3A-A1 (3 Month LIBOR USD + 1.24%, 1.24% Floor) | 5.32 % (a) | 10/17/2034 | 22269709 |
| 24921646 | MKS Ltd., Series 2017-1A-AR (3 Month LIBOR USD + 1.00%, 1.00% Floor) | 5.24 % (a) | 07/20/2030 | 24680998 |
| 6500000 | MKS Ltd., Series 2017-2A-A (3 Month LIBOR USD + 1.19%, 1.19% Floor) | 5.43 % (a) | 01/20/2031 | 6405210 |
| 10000000 | MP Ltd., Series 2015-2A-ARR (3 Month LIBOR USD + 1.20%, 1.20% Floor) | 5.57 % (a) | 04/28/2034 | 9618876 |
| 22600000 | Nassau Ltd., Series 2018-IA-A (3 Month LIBOR USD + 1.15%, 0.00% Floor) | 5.23 % (a) | 07/15/2031 | 21995450 |
| 12000000 | New Mountain Ltd., Series CLO-2A-A (3 Month LIBOR USD + 1.19%, 1.19% Floor) | 5.27 % (a) | 04/15/2034 | 11704216 |
| 8898846 | Northwoods Capital Ltd., Series 2017-16A-A (3 Month LIBOR USD + 1.27%, 0.00% Floor) | 5.88 % (a) | 11/15/2030 | 8760379 |
| 15000000 | OFSI Fund Ltd., Series 2018-1A-A (3 Month LIBOR USD + 1.15%, 1.15% Floor) | 5.23 % (a) | 07/15/2031 | 14619946 |
| 8500000 | OHA Credit Funding Ltd., Series 2012-7A-AR3 (3 Month LIBOR USD + 1.07%, 1.07% Floor) | 5.75 % (a) | 02/20/2034 | 8314538 |
| 17500000 | Palmer Square Ltd., Series 2021-2A-A (3 Month LIBOR USD + 1.15%, 1.15% Floor) | 5.23 % (a) | 07/15/2034 | 17094493 |
| 15000000 | Park Avenue Institutional Advisers Ltd., Series 2016-1A-A1R (3 Month LIBOR USD + 1.20%, 0.00% Floor) | 5.89 % (a) | 08/23/2031 | 14692639 |
| 10000000 | Rad Ltd., Series 2020-7A-A1 (3 Month LIBOR USD + 1.20%, 1.20% Floor) | 5.28 % (a) | 04/17/2033 | 9839698 |
| 18875000 | RR Ltd., Series 2021-14A-A1 (3 Month LIBOR USD + 1.12%, 1.12% Floor) | 5.20 % (a) | 04/15/2036 | 18455545 |
| 14000000 | Sandstone Peak Ltd., Series 2021-1A-A1 (3 Month LIBOR USD + 1.22%, 1.22% Floor) | 5.30 % (a) | 10/15/2034 | 13474709 |
| 25000000 | Shackleton Ltd., Series 2015-7RA-AR (3 Month LIBOR USD + 1.15%, 1.15% Floor) | 5.23 % (a) | 07/15/2031 | 24488582 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 25000000 | Sound Point Ltd., Series 2019-2A-AR (3 Month LIBOR USD + 1.17%, 1.17% Floor) | 5.25 % (a) | 07/15/2034 | 24126518 |
| 11000000 | Steele Creek Ltd., Series 2019-1A-BR (3 Month LIBOR USD + 1.80%, 1.80% Floor) | 5.88 % (a) | 04/15/2032 | 10446106 |
| 18000000 | Steele Creek Ltd., Series 2019-2A-AR (3 Month LIBOR USD + 1.17%, 1.17% Floor) | 5.25 % (a) | 07/15/2032 | 17532857 |
| 9000000 | Steele Creek Ltd., Series 2019-2A-BR (3 Month LIBOR USD + 1.85%, 1.85% Floor) | 5.93 % (a) | 07/15/2032 | 8567147 |
| 3750000 | THL Credit Wind River Ltd., Series 2014-2A-AR (3 Month LIBOR USD + 1.14%, 1.14% Floor) | 5.22 % (a) | 01/15/2031 | 3668818 |
| 20000000 | Trestles Ltd., Series 2021-4A-A (3 Month LIBOR USD + 1.17%, 1.17% Floor) | 5.45 % (a) | 07/21/2034 | 19438266 |
| 20000000 | Trimaran CAVU LLC, Series 2021-3A-A (3 Month LIBOR USD + 1.21%, 1.21% Floor) | 5.40 % (a) | 01/18/2035 | 19172388 |
| 10000000 | Venture Ltd., Series 2018-34A-A (3 Month LIBOR USD + 1.23%, 1.23% Floor) | 5.31 % (a) | 10/15/2031 | 9712310 |
| 15000000 | Wellfleet Ltd., Series 2018-2A-A1 (3 Month LIBOR USD + 1.20%, 1.20% Floor) | 5.44 % (a) | 10/20/2031 | 14601089 |
| 17500000 | Wellfleet Ltd., Series 2020-1A-A1A (3 Month LIBOR USD + 1.31%, 1.31% Floor) | 5.39 % (a) | 04/15/2033 | 17119575 |
| 15990000 | Wellfleet Ltd., Series 2020-2A-AR (3 Month LIBOR USD + 1.22%, 1.22% Floor) | 5.30 % (a) | 07/15/2034 | 15475511 |
| 50000000 | Whitebox Ltd., Series 2021-3A-A1 (3 Month LIBOR USD + 1.22%, 1.22% Floor) | 5.30 % (a) | 10/15/2034 | 48657020 |
| 6000000 | Whitehorse Ltd., Series 2018-12A-A (3 Month LIBOR USD + 1.25%, 1.25% Floor) | 5.33 % (a) | 10/15/2031 | 5854424 |
|  **Total Collateralized Loan Obligations** (Cost $1,001,143,630) | **Total Collateralized Loan Obligations** (Cost $1,001,143,630) | **Total Collateralized Loan Obligations** (Cost $1,001,143,630) | **Total Collateralized Loan Obligations** (Cost $1,001,143,630) | 973389205 |
|  **Foreign Corporate Bonds - 7.8%** | **Foreign Corporate Bonds - 7.8%** | **Foreign Corporate Bonds - 7.8%** | **Foreign Corporate Bonds - 7.8%** | **Foreign Corporate Bonds - 7.8%** |
| 1645313 | Adani International Container Terminal Private Ltd. | 3.00% | 02/16/2031 | 1290513 |
| 2600000 | Adani Ports & Special Economic Zone Ltd. | 3.38% | 07/24/2024 | 2465359 |
| 1500000 | Adani Ports & Special Economic Zone Ltd. | 4.00% | 07/30/2027 | 1311898 |
| 4655000 | AerCap Global Aviation Trust | 1.75% | 10/29/2024 | 4283644 |
| 3850000 | AES Andes S.A. (5 Year CMT Rate + 4.92%) | 6.35% | 10/07/2079 | 3555143 |
| 4425849 | AI Candelaria Spain S.A. | 7.50% | 12/15/2028 | 4199223 |
| 4095000 | AstraZeneca PLC | 3.50% | 08/17/2023 | 4061147 |
| 1145000 | Avolon Holdings Funding Ltd. | 5.13 % (a) | 10/01/2023 | 1132491 |
| 3100000 | Banco Bilbao Vizcaya Argentaria Colombia S.A. | 4.88% | 04/21/2025 | 3000707 |
| 1850000 | Banco Continental SAECA | 2.75 % (a) | 12/10/2025 | 1657350 |
| 1000000 | Banco Continental SAECA | 2.75% | 12/10/2025 | 895865 |
| 200000 | Banco de Credito del Peru S.A. (5 Year CMT Rate + 2.45%) | 3.25% | 09/30/2031 | 176130 |
| 5700000 | Banco de Credito del Peru S.A. (5 Year CMT Rate + 2.45%) | 3.25 % (a) | 09/30/2031 | 5019699 |
| 3550000 | Banco de Credito del Peru S.A. (5 Year CMT Rate + 3.00%) | 3.13% | 07/01/2030 | 3223080 |
| 3300000 | Banco do Brasil S.A. | 3.25 % (a) | 09/30/2026 | 3041874 |
| 3350000 | Banco Internacional del Peru S.A.A. Interbank (1 Year CMT Rate + 3.71%) | 4.00% | 07/08/2030 | 3027646 |
| 1968000 | Banco Internacional del Peru S.A.A. Interbank (3 Month LIBOR USD + 5.76%) | 6.63% | 03/19/2029 | 1967016 |
| 200000 | Banco Latinoamericano de Comercio Exterior S.A. | 2.38 % (a) | 09/14/2025 | 182844 |
| 300000 | Banco Latinoamericano de Comercio Exterior S.A. | 2.38% | 09/14/2025 | 274266 |
| 2200000 | Banco Mercantil del Norte S.A. (5 Year CMT Rate + 4.64%) | 5.88 % (e) | 01/24/2027 | 1965799 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 3800000 | Bancolombia S.A. (5 Year CMT Rate + 2.93%) | 7.14% | 10/18/2027 | 3746749 |
| 7100000 | Bancolombia S.A. (5 Year CMT Rate + 2.94%) | 4.63% | 12/18/2029 | 6251870 |
| 4100000 | Bank Hapoalim B.M. | 3.26 % (a)(b) | 01/21/2032 | 3545434 |
| 4050000 | Bank Leumi (5 Year CMT Rate + 1.63%) | 3.28 % (a) | 01/29/2031 | 3602900 |
| 4470000 | Bank of Montreal | 1.50% | 01/10/2025 | 4172785 |
| 3260000 | Bank of Nova Scotia | 0.55% | 09/15/2023 | 3158827 |
| 4500000 | Barclays PLC (1 Year CMT Rate + 0.80%) | 1.01% | 12/10/2024 | 4285196 |
| 1680000 | BAT Capital Corporation | 2.79% | 09/06/2024 | 1608644 |
| 3020000 | BAT International Finance PLC | 1.67% | 03/25/2026 | 2679309 |
| 200000 | BBVA Banco Continental S.A. (5 Year CMT Rate + 2.75%) | 5.25% | 09/22/2029 | 194631 |
| 3730000 | BBVA Bancomer S.A. (5 Year CMT Rate + 3.00%) | 5.35% | 11/12/2029 | 3658910 |
| 4330000 | BNP Paribas S.A. (3 Month LIBOR USD + 2.24%) | 4.71 % (a) | 01/10/2025 | 4288469 |
| 4455000 | BPCE S.A. | 2.38 % (a) | 01/14/2025 | 4158427 |
| 4800000 | Braskem Netherlands Finance B.V. (5 Year CMT Rate + 8.22%) | 8.50% | 01/23/2081 | 4658637 |
| 1000000 | Camposol S.A. | 6.00% | 02/03/2027 | 664080 |
| 2560000 | Canadian Imperial Bank of Commerce | 0.45% | 06/22/2023 | 2506929 |
| 4340000 | Canadian Pacific Railway Company | 1.35% | 12/02/2024 | 4048437 |
| 700000 | Cencosud S.A. | 5.15% | 02/12/2025 | 695349 |
| 5600000 | Chile Electricity PEC S.p.A. | 0.00 % (a) | 01/25/2028 | 4051512 |
| 4550000 | Commonwealth Bank of Australia (Secured Overnight Financing Rate + 0.40%) | 4.09 % (a) | 07/07/2025 | 4490927 |
| 2850000 | Corporacion Financiera de Desarrollo S.A. (3 Month LIBOR USD + 5.61%) | 5.25% | 07/15/2029 | 2733991 |
| 1100000 | CSN Steel, S.L. | 7.63% | 04/17/2026 | 1099466 |
| 2745000 | Daimler Trucks Finance North America LLC | 1.63 % (a) | 12/13/2024 | 2549452 |
| 6800000 | DBS Group Holdings Ltd. (5 Year CMT Rate + 1.10%) | 1.82% | 03/10/2031 | 6052476 |
| 517764 | Digicel Group Holdings Ltd. (5.00% + 3.00% PIK) | 8.00 % (a) | 04/01/2025 | 141155 |
| 201586 | Digicel Group Holdings Ltd. (7.00% PIK) | 7.00 % (a)(e) | 01/17/2023 | 19403 |
| 2000000 | Ecopetrol S.A. | 5.88% | 09/18/2023 | 1991473 |
| 6450000 | Ecopetrol S.A. | 4.13% | 01/16/2025 | 6156911 |
| 1248085 | Empresa Electrica Angamos S.A. | 4.88% | 05/25/2029 | 1117504 |
| 2455320 | Empresa Electrica Cochrane S.p.A. | 5.50% | 05/14/2027 | 2274608 |
| 100000 | Enbridge, Inc. | 4.00% | 10/01/2023 | 99224 |
| 2149000 | Enbridge, Inc. | 0.55% | 10/04/2023 | 2078258 |
| 2260000 | Enbridge, Inc. | 2.50% | 02/14/2025 | 2133987 |
| 1300000 | Equate Petrochemical B.V. | 4.25% | 11/03/2026 | 1246164 |
| 4855882 | Fenix Power Peru S.A. | 4.32% | 09/20/2027 | 4450999 |
| 2550000 | Freeport Indonesia PT | 4.76% | 04/14/2027 | 2460750 |
| 1550000 | Freeport Indonesia PT | 4.76 % (a) | 04/14/2027 | 1495750 |
| 700000 | Freeport-McMoRan, Inc. | 4.13% | 03/01/2028 | 648644 |
| 4059950 | Galaxy Pipeline Assets Bidco Ltd. | 1.75% | 09/30/2027 | 3767744 |
| 4211000 | Glencore Funding LLC | 4.00 % (a) | 04/16/2025 | 4077422 |
| 4408731 | GNL Quintero S.A. | 4.63% | 07/31/2029 | 4264752 |
| 275000 | Gold Fields Orogen Holdings BVI Ltd. | 5.13% | 05/15/2024 | 272877 |
| 2000000 | Grupo de Inversiones Suramericana S.A. | 5.50% | 04/29/2026 | 1933260 |
| 4395000 | HSBC Holdings PLC (Secured Overnight Financing Rate + 0.58%) | 1.16% | 11/22/2024 | 4187556 |
| 3496000 | Hunt Oil Company of Peru LLC Sucursal Del Peru | 6.38% | 06/01/2028 | 3332796 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 1000000 | Indonesia Asahan Aluminium Persero PT | 4.75% | 05/15/2025 | 985264 |
| 2836000 | Inkia Energy Ltd. | 5.88% | 11/09/2027 | 2684018 |
| 547791 | Interoceanica Finance Ltd. | 0.00% | 11/30/2025 | 505338 |
| 35034 | Invepar Holdings | 0.00 % (d)(f) | 12/30/2028 |  |
| 5900000 | Itau Unibanco Holding S.A. (5 Year CMT Rate + 3.45%) | 3.88% | 04/15/2031 | 5373219 |
| 1850000 | JDE Peet's NV | 0.80 % (a) | 09/24/2024 | 1690863 |
| 1000000 | Korea Development Bank | 0.80% | 04/27/2026 | 878633 |
| 4000000 | Korea Development Bank | 1.00% | 09/09/2026 | 3492035 |
| 1050000 | Korea Electric Power Corporation | 1.13 % (a) | 06/15/2025 | 952190 |
| 1450000 | Korea Electric Power Corporation | 1.13% | 06/15/2025 | 1314929 |
| 2300000 | Korea Hydro & Nuclear Power Company Ltd. | 1.25 % (a) | 04/27/2026 | 2030109 |
| 3000000 | Korea Southern Power Company Ltd. | 0.75 % (a) | 01/27/2026 | 2634349 |
| 6500000 | KT Corporation | 1.00% | 09/01/2025 | 5802622 |
| 1500000 | KT Corporation | 2.50% | 07/18/2026 | 1370747 |
| 1000000 | LG Chem Ltd. | 3.25% | 10/15/2024 | 959801 |
| 4280000 | Lloyds Banking Group PLC (1 Year CMT Rate + 0.55%) | 0.70% | 05/11/2024 | 4198082 |
| 3080000 | Macquarie Group Ltd. (3 Month LIBOR USD + 1.33%) | 4.15 % (a) | 03/27/2024 | 3069034 |
| 400000 | MEGlobal Canada ULC | 5.00% | 05/18/2025 | 393660 |
| 4400000 | MEGlobal Canada ULC | 5.00 % (a) | 05/18/2025 | 4330260 |
| 600000 | Mercury Chile Holdco LLC | 6.50% | 01/24/2027 | 576000 |
| 1500000 | Mercury Chile Holdco LLC | 6.50 % (a) | 01/24/2027 | 1440000 |
| 546800 | Mexico Generadora de Energia S. de R.L. | 5.50% | 12/06/2032 | 527662 |
| 810000 | Millicom International Cellular S.A. | 6.63% | 10/15/2026 | 804516 |
| 2205000 | Millicom International Cellular S.A. | 5.13% | 01/15/2028 | 2054276 |
| 6300000 | Minejesa Capital B.V. | 4.63% | 08/10/2030 | 5545260 |
| 5246000 | Mitsubishi UFJ Financial Group, Inc. (3 Month LIBOR USD + 0.86%) | 5.19% | 07/26/2023 | 5255401 |
| 4280000 | Mizuho Financial Group, Inc. (Secured Overnight Financing Rate + 0.96%) | 5.12% | 05/22/2026 | 4202516 |
| 770850 | MV24 Capital B.V. | 6.75% | 06/01/2034 | 705740 |
| 4490000 | NatWest Group PLC (3 Month LIBOR USD + 1.55%) | 6.27% | 06/25/2024 | 4491730 |
| 2000000 | NongHyup Bank | 1.25% | 07/20/2025 | 1810291 |
| 4333000 | Orazul Energy Peru S.A. | 5.63% | 04/28/2027 | 3919675 |
| 400000 | Orbia Advance Corporation S.A.B. de C.V. | 1.88% | 05/11/2026 | 346056 |
| 6600000 | Oversea-Chinese Banking Corporation Ltd. (5 Year CMT Rate + 1.58%) | 1.83% | 09/10/2030 | 5928681 |
| 1900000 | Oversea-Chinese Banking Corporation Ltd. (5 Year CMT Rate + 1.58%) | 1.83 % (a) | 09/10/2030 | 1706742 |
| 1280000 | Park Aerospace Holdings Ltd. | 4.50 % (a) | 03/15/2023 | 1276936 |
| 3300000 | Periama Holdings LLC | 5.95% | 04/19/2026 | 3091803 |
| 4200000 | Pertamina Persero PT | 1.40% | 02/09/2026 | 3757314 |
| 4315000 | Royal Bank of Canada | 4.40 % (c) | 01/20/2026 | 4191513 |
| 3000000 | SA Global Sukuk Ltd. | 1.60% | 06/17/2026 | 2685024 |
| 5716000 | Sable International Finance Ltd. | 5.75% | 09/07/2027 | 5283013 |
| 1650000 | Sasol Financing USA LLC | 4.38% | 09/18/2026 | 1462720 |
| 4200000 | Scotiabank Peru S.A.A. (3 Month LIBOR USD + 3.86%) | 8.63% | 12/13/2027 | 4151343 |
| 200000 | SingTel Group Treasury Pte Ltd. | 2.38% | 10/03/2026 | 184501 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 2900000 | Sociedad Quimica y Minera de Chile S.A. | 4.38% | 01/28/2025 | 2829646 |
| 4455000 | Sumitomo Mitsui Trust Bank Ltd. | 0.80 % (a) | 09/12/2023 | 4322582 |
| 9200000 | TNB Global Ventures Capital BHD | 3.24% | 10/19/2026 | 8539394 |
| 4490000 | Toronto-Dominion Bank | 0.70% | 09/10/2024 | 4181442 |
| 1500000 | Transportadora de Gas del Peru S.A. | 4.25% | 04/30/2028 | 1407976 |
| 4420000 | UBS Group AG (1 Year CMT Rate + 0.83%) | 1.01 % (a) | 07/30/2024 | 4298772 |
| 7900000 | United Overseas Bank Ltd. (5 Year CMT Rate + 1.52%) | 1.75% | 03/16/2031 | 6986760 |
| 2100000 | UPL Corporation Ltd. | 4.50% | 03/08/2028 | 1765645 |
| 1500000 | Vedanta Resources Ltd. | 7.13% | 05/31/2023 | 1409301 |
| 200000 | Vedanta Resources Ltd. | 6.13% | 08/09/2024 | 126506 |
| 4475000 | Volkswagen Group of America Finance LLC | 0.88 % (a) | 11/22/2023 | 4305999 |
| 4445000 | VTR Comunicaciones S.p.A. | 5.13% | 01/15/2028 | 2767600 |
| 500000 | VTR Finance NV | 6.38% | 07/15/2028 | 193898 |
|  **Total Foreign Corporate Bonds** (Cost $349,882,848) | **Total Foreign Corporate Bonds** (Cost $349,882,848) | **Total Foreign Corporate Bonds** (Cost $349,882,848) | **Total Foreign Corporate Bonds** (Cost $349,882,848) | 324985725 |
|  **Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 0.5%** | **Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 0.5%** | **Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 0.5%** | **Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 0.5%** | **Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations - 0.5%** |
| 2400000 | Banco Nacional de Comercio Exterior (5 Year CMT Rate + 2.00%) | 2.72% | 08/11/2031 | 2011034 |
| 3360000 | BOC Aviation Corporation | 1.63 % (a) | 04/29/2024 | 3190924 |
| 9600000 | Colombia Government International Bond | 4.50% | 01/28/2026 | 9054231 |
| 3000000 | Republic of South Africa Government Bond | 4.67% | 01/17/2024 | 2960910 |
| 1500000 | Republic of South Africa Government Bond | 4.88% | 04/14/2026 | 1456897 |
|  **Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations**<br> (Cost $20,260,870) | **Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations**<br> (Cost $20,260,870) | **Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations**<br> (Cost $20,260,870) | **Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations**<br> (Cost $20,260,870) | 18673996 |
|  **Non-Agency Commercial Mortgage Backed Obligations - 13.8%** | **Non-Agency Commercial Mortgage Backed Obligations - 13.8%** | **Non-Agency Commercial Mortgage Backed Obligations - 13.8%** | **Non-Agency Commercial Mortgage Backed Obligations - 13.8%** | **Non-Agency Commercial Mortgage Backed Obligations - 13.8%** |
| 2000000 | Alen Mortgage Trust, Series 2021-ACEN-B (1 Month LIBOR USD + 1.65%, 1.65% Floor) | 5.97 % (a) | 04/15/2034 | 1794026 |
| 40902000 | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1-XD | 0.55 % (a)(b)(g) | 05/15/2053 | 1247904 |
| 112979938 | Arbor Multifamily Mortgage Securities Trust, Series 2021-MF2-XA | 1.12 % (a)(b)(g) | 06/15/2054 | 7437040 |
| 2000000 | Arbor Realty Ltd., Series 2020-FL1-B (Secured Overnight Financing Rate 1 Month + 1.91%, 1.80% Floor) | 6.25 % (a) | 02/15/2035 | 1919006 |
| 2830000 | Arbor Realty Ltd., Series 2020-FL1-D (Secured Overnight Financing Rate 1 Month + 2.56%, 2.45% Floor) | 6.90 % (a) | 02/15/2035 | 2624256 |
| 12000000 | AREIT Trust, Series 2019-CRE3-C (Secured Overnight Financing Rate 1 Month + 2.01%, 1.90% Floor) | 6.34 % (a) | 09/14/2036 | 11403360 |
| 1251000 | AREIT Trust, Series 2019-CRE3-D (Secured Overnight Financing Rate 1 Month + 2.76%, 2.65% Floor) | 7.09 % (a) | 09/14/2036 | 1164970 |
| 3100000 | BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX-C (1 Month LIBOR USD + 2.00%, 2.00% Floor) | 6.32 % (a) | 09/15/2038 | 2834171 |
| 15176000 | BBCMS Mortgage Trust, Series 2018-TALL-F (1 Month LIBOR USD + 3.24%, 3.24% Floor) | 7.55 % (a) | 03/15/2037 | 9986186 |
| 11001000 | BBCMS Mortgage Trust, Series 2019-BWAY-E (1 Month LIBOR USD + 2.85%, 2.85% Floor) | 7.17 % (a) | 11/15/2034 | 9112639 |
| 29456500 | BBCMS Mortgage Trust, Series 2021-C10-XB | 1.02 % (b)(g) | 07/15/2054 | 1958468 |
| 21205000 | BBCMS Mortgage Trust, Series 2021-C10-XD | 1.70 % (a)(b)(g) | 07/15/2054 | 2185040 |
| 6884599 | BB-UBS Trust, Series 2012-TFT-TE | 3.56 % (a)(b)(f) | 06/05/2030 | 5206574 |
| 4615000 | BDS Ltd., Series 2021-FL10-AS (1 Month LIBOR USD + 1.65%, 1.65% Floor) | 5.99 % (a) | 12/16/2036 | 4407819 |
| 157695000 | Benchmark Mortgage Trust, Series 2020-IG1-XA | 0.51 % (b)(g) | 09/15/2043 | 4172452 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 165041500 | BHMS Mortgage Trust, Series 2018-ATLS-XCP | 0.00 % (a)(b)(g) | 07/15/2035 | 1650 |
| 3000000 | BPR Trust, Series 2021-TY-C (1 Month LIBOR USD + 1.70%, 1.70% Floor) | 6.02 % (a) | 09/15/2038 | 2764954 |
| 13968000 | BRSP Ltd., Series 2021-FL1-AS (1 Month LIBOR USD + 1.60%, 1.60% Floor) | 5.94 % (a) | 08/19/2038 | 13452497 |
| 7507000 | BSPRT Issuer Ltd., Series 2022-FL8-A (Secured Overnight Financing Rate 30 Day Average + 1.50%, 1.50% Floor) | 5.31 % (a) | 02/15/2037 | 7283719 |
| 13155000 | BSREP Commercial Mortgage Trust, Series 2021-DC-D (1 Month LIBOR USD + 1.90%, 1.90% Floor) | 6.22 % (a) | 08/15/2038 | 11394990 |
| 101539 | BX Trust, Series 2018-EXCL-C (1 Month LIBOR USD + 1.98%, 1.98% Floor) | 6.29 % (a)(l) | 09/15/2037 | 98863 |
| 9594000 | BX Trust, Series 2019-OC11-E | 3.94 % (a)(b) | 12/09/2041 | 7467975 |
| 5700000 | BX Trust, Series 2021-MFM1-E (1 Month LIBOR USD + 2.25%, 2.25% Floor) | 6.57 % (a) | 01/15/2034 | 5316018 |
| 7229000 | BX Trust, Series 2021-RISE-D (1 Month LIBOR USD + 1.75%, 1.75% Floor) | 6.07 % (a) | 11/15/2036 | 6811373 |
| 1250000 | BX Trust, Series 2021-SDMF-D (1 Month LIBOR USD + 1.39%, 1.39% Floor) | 5.71 % (a) | 09/15/2034 | 1174706 |
| 3721807 | BX Trust, Series 2021-SOAR-E (1 Month LIBOR USD + 1.80%, 1.80% Floor) | 6.12 % (a) | 06/15/2038 | 3512026 |
| 2915000 | BX Trust, Series 2021-VIEW-E (1 Month LIBOR USD + 3.60%, 3.60% Floor) | 7.92 % (a) | 06/15/2036 | 2657796 |
| 1900000 | BXHPP Trust, Series 2021-FILM-D (1 Month LIBOR USD + 1.50%, 1.50% Floor) | 5.82 % (a) | 08/15/2036 | 1691531 |
| 1650000 | BXHPP Trust, Series 2021-FILM-E (1 Month LIBOR USD + 2.00%, 2.00% Floor) | 6.32 % (a) | 08/15/2036 | 1432002 |
| 6029069 | Carbon Capital Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor) | 7.17 % (a) | 10/15/2035 | 5704492 |
| 45206521 | CD Commercial Mortgage Trust, Series 2017-CD3-XA | 0.97 % (b)(g) | 02/10/2050 | 1361846 |
| 53709121 | CD Commercial Mortgage Trust, Series 2017-CD4-XA | 1.23 % (b)(g) | 05/10/2050 | 2130217 |
| 2950000 | CD Commercial Mortgage Trust, Series 2017-CD6-C | 4.23 % (b) | 11/13/2050 | 2482254 |
| 19605930 | CFCRE Commercial Mortgage Trust, Series 2016-C4-XA | 1.61 % (b)(g) | 05/10/2058 | 774993 |
| 16201000 | CFCRE Commercial Mortgage Trust, Series 2017-C8-XB | 0.90 % (b)(g) | 06/15/2050 | 544606 |
| 39410000 | CFCRE Commercial Mortgage Trust, Series 2018-TAN-X | 1.63 % (a)(b)(g) | 02/15/2033 | 1844 |
| 6665484 | Citigroup Commercial Mortgage Trust, Series 2014-GC25-XA | 0.95 % (b)(g) | 10/10/2047 | 82807 |
| 4583821 | Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA | 1.31 % (b)(g) | 02/10/2048 | 93775 |
| 10750000 | Citigroup Commercial Mortgage Trust, Series 2015-GC31-C | 4.04 % (b) | 06/10/2048 | 9449947 |
| 17692960 | Citigroup Commercial Mortgage Trust, Series 2016-GC36-XA | 1.21 % (b)(g) | 02/10/2049 | 499039 |
| 11652901 | Citigroup Commercial Mortgage Trust, Series 2016-P3-XA | 1.66 % (b)(g) | 04/15/2049 | 445116 |
| 2519000 | Citigroup Commercial Mortgage Trust, Series 2016-P4-B | 3.38% | 07/10/2049 | 2180929 |
| 11970626 | Citigroup Commercial Mortgage Trust, Series 2016-P4-XA | 1.89 % (b)(g) | 07/10/2049 | 584223 |
| 11309294 | Citigroup Commercial Mortgage Trust, Series 2017-P7-XA | 1.11 % (b)(g) | 04/14/2050 | 410248 |
| 19958000 | CLNC Ltd., Series 2019-FL1-D (Secured Overnight Financing Rate 1 Month + 3.01%, 2.90% Floor) | 7.34 % (a) | 08/20/2035 | 19015184 |
| 5727996 | Commercial Mortgage Pass-Through Trust, Series 2013-CR10-XA | 0.64 % (b)(g) | 08/10/2046 | 10549 |
| 22166910 | Commercial Mortgage Pass-Through Trust, Series 2013-CR12-XA | 1.06 % (b)(g) | 10/10/2046 | 118325 |
| 2228828 | Commercial Mortgage Pass-Through Trust, Series 2014-CR17-XA | 0.95 % (b)(g) | 05/10/2047 | 19920 |
| 233000 | Commercial Mortgage Pass-Through Trust, Series 2014-CR19-C | 4.70 % (b) | 08/10/2047 | 218853 |
| 433909 | Commercial Mortgage Pass-Through Trust, Series 2014-FL5-D (1 Month LIBOR USD + 4.00%, 4.00% Floor) | 8.32 % (a) | 10/15/2031 | 435915 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 14886685 | Commercial Mortgage Pass-Through Trust, Series 2015-CR22-XA | 0.82 % (b)(g) | 03/10/2048 | 213835 |
| 31291296 | Commercial Mortgage Pass-Through Trust, Series 2015-CR25-XA | 0.80 % (b)(g) | 08/10/2048 | 537960 |
| 34776437 | Commercial Mortgage Pass-Through Trust, Series 2015-CR27-XA | 0.91 % (b)(g) | 10/10/2048 | 697094 |
| 5373000 | Commercial Mortgage Pass-Through Trust, Series 2015-DC1-C | 4.30 % (b) | 02/10/2048 | 4632518 |
| 8261202 | Commercial Mortgage Pass-Through Trust, Series 2015-DC1-XA | 0.98 % (b)(g) | 02/10/2048 | 125655 |
| 9657000 | Commercial Mortgage Pass-Through Trust, Series 2015-LC21-B | 4.33 % (b) | 07/10/2048 | 8955234 |
| 42584957 | Commercial Mortgage Pass-Through Trust, Series 2015-LC21-XA | 0.65 % (b)(g) | 07/10/2048 | 542788 |
| 13178498 | Commercial Mortgage Pass-Through Trust, Series 2016-DC2-XA | 0.94 % (b)(g) | 02/10/2049 | 297304 |
| 11396000 | Commercial Mortgage Pass-Through Trust, Series 2018-HCLV-D (1 Month LIBOR USD + 2.28%, 2.18% Floor) | 6.59 % (a) | 09/15/2033 | 9960048 |
| 25875127 | CSAIL Commercial Mortgage Trust, Series 2015-C1-XA | 0.82 % (b)(g) | 04/15/2050 | 319729 |
| 6850000 | CSAIL Commercial Mortgage Trust, Series 2015-C4-B | 4.31 % (b) | 11/15/2048 | 6290667 |
| 2922106 | CSAIL Commercial Mortgage Trust, Series 2016-C6-XA | 1.86 % (b)(g) | 01/15/2049 | 137202 |
| 122826584 | CSAIL Commercial Mortgage Trust, Series 2021-C20-XA | 1.04 % (b)(g) | 03/15/2054 | 7022008 |
| 9873828 | CSMC Trust, Series 2014-USA-X1 | 0.54 % (a)(b)(g) | 09/15/2037 | 112577 |
| 6295000 | CSMC Trust, Series 2020-NET-D | 3.70 % (a)(b) | 08/15/2037 | 5566531 |
| 3350000 | CSMC Trust, Series 2021-ADV-C (1 Month LIBOR USD + 2.30%, 2.30% Floor) | 6.62 % (a) | 07/15/2038 | 2996583 |
| 16434254 | DBJPM Mortgage Trust, Series 2016-C1-XA | 1.37 % (b)(g) | 05/10/2049 | 550316 |
| 2433468 | FREMF Mortgage Trust, Series 2016-KF18-B (1 Month LIBOR USD + 5.50%, 5.50% Floor) | 9.64 % (a) | 05/25/2026 | 2377257 |
| 124762277 | FREMF Mortgage Trust, Series 2017-K67-X2B | 0.10 % (a)(g) | 09/25/2049 | 475020 |
| 1401628 | FREMF Mortgage Trust, Series 2017-KF27-B (1 Month LIBOR USD + 4.35%, 4.35% Floor) | 8.49 % (a) | 12/25/2026 | 1367633 |
| 2481119 | FREMF Mortgage Trust, Series 2017-KF30-B (1 Month LIBOR USD + 3.25%, 3.25% Floor) | 7.39 % (a) | 03/25/2027 | 2444656 |
| 845940 | FREMF Mortgage Trust, Series 2018-KF44-B (1 Month LIBOR USD + 2.15%, 2.15% Floor) | 6.29 % (a) | 02/25/2025 | 833309 |
| 1464889 | FREMF Mortgage Trust, Series 2018-KF49-B (1 Month LIBOR USD + 1.90%, 1.90% Floor) | 6.04 % (a) | 06/25/2025 | 1382442 |
| 1962211 | FREMF Mortgage Trust, Series 2019-KF61-B (1 Month LIBOR USD + 2.20%, 2.20% Floor) | 6.34 % (a) | 04/25/2029 | 1827940 |
| 1409624 | FREMF Mortgage Trust, Series 2019-KF69-B (1 Month LIBOR USD + 2.30%, 2.30% Floor) | 6.44 % (a) | 08/25/2029 | 1322130 |
| 3559200 | FREMF Mortgage Trust, Series 2019-KF72-B (1 Month LIBOR USD + 2.10%, 2.10% Floor) | 6.24 % (a) | 11/25/2026 | 3299399 |
| 10700000 | Greystone Commercial Real Estate Notes, Series 2021-FL3-C (1 Month LIBOR USD + 2.00%, 2.00% Floor) | 6.32 % (a)(l) | 07/15/2039 | 9876539 |
| 2314000 | GS Mortgage Securities Corporation Trust, Series<br>2018-GS10-WLSD | 4.90 % (a)(b) | 03/10/2033 | 1947971 |
| 2893000 | GS Mortgage Securities Corporation Trust, Series<br>2018-GS10-WLSE | 4.90 % (a)(b) | 03/10/2033 | 2380889 |
| 5000000 | GS Mortgage Securities Corporation Trust, Series 2018-TWR-E (1 Month LIBOR USD + 2.35%, 2.10% Floor) | 6.67 % (a) | 07/15/2031 | 4341534 |
| 5000000 | GS Mortgage Securities Corporation Trust, Series 2018-TWR-F (1 Month LIBOR USD + 3.05%, 2.80% Floor) | 7.37 % (a) | 07/15/2031 | 4199035 |
| 5000000 | GS Mortgage Securities Corporation Trust, Series 2018-TWR-G (1 Month LIBOR USD + 4.17%, 3.93% Floor) | 8.49 % (a) | 07/15/2031 | 4011599 |
| 10950000 | GS Mortgage Securities Corporation Trust, Series 2021-ARDN-E (1 Month LIBOR USD + 3.35%, 3.35% Floor) | 7.67 % (a) | 11/15/2036 | 10146122 |

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------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 3432172 | GS Mortgage Securities Trust, Series 2014-GC24-XA | 0.71 % (b)(g) | 09/10/2047 | 30464 |
| 29990698 | GS Mortgage Securities Trust, Series 2015-GC32-XA | 0.71 % (b)(g) | 07/10/2048 | 439151 |
| 8564997 | GS Mortgage Securities Trust, Series 2015-GS1-XA | 0.76 % (b)(g) | 11/10/2048 | 155739 |
| 14229206 | GS Mortgage Securities Trust, Series 2016-GS2-XA | 1.73 % (b)(g) | 05/10/2049 | 626757 |
| 24888840 | GS Mortgage Securities Trust, Series 2016-GS3-XA | 1.20 % (b)(g) | 10/10/2049 | 849628 |
| 14505000 | GSCG Trust, Series 2019-600C-E | 3.99 % (a)(b) | 09/06/2034 | 12106471 |
| 6339000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-C20-B | 4.40 % (b) | 07/15/2047 | 5927191 |
| 14738726 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1-XA | 0.89 % (b)(g) | 01/15/2049 | 332360 |
| 31481166 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4-XA | 0.59 % (b)(g) | 12/15/2049 | 539593 |
| 336000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-CFX | 4.95 % (a) | 07/05/2033 | 295782 |
| 4216000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-C | 4.34 % (a) | 05/05/2032 | 3915753 |
| 4314000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-D | 4.45 % (a)(b) | 05/05/2032 | 3987068 |
| 5040000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-E | 4.45 % (a)(b) | 05/05/2032 | 4640792 |
| 5287000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-F | 4.45 % (a)(b) | 05/05/2032 | 4850130 |
| 5775000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES-G | 4.45 % (a)(b) | 05/05/2032 | 5173903 |
| 11575000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN-EFX | 3.97 % (a) | 01/16/2037 | 9804056 |
| 6273797 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-NLP-A (Secured Overnight Financing Rate 1 Month + 0.60%, 0.60% Floor) | 4.93 % (a) | 04/15/2037 | 5816763 |
| 4114674 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C18-XA | 0.67 % (b)(g) | 02/15/2047 | 18844 |
| 1500000 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-B | 4.48 % (b) | 09/15/2047 | 1396437 |
| 500000 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-C | 4.48 % (b) | 09/15/2047 | 446970 |
| 4240000 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-D | 3.98 % (a)(b) | 09/15/2047 | 3618052 |
| 16306961 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-XA | 0.81 % (b)(g) | 11/15/2047 | 200559 |
| 5287890 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D | 3.81 % (a)(b) | 02/15/2048 | 4309767 |
| 2828000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-B | 4.12 % (b) | 05/15/2048 | 2549659 |
| 13676834 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-XA | 0.57 % (b)(g) | 05/15/2048 | 147193 |
| 22194655 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C30-XA | 0.43 % (b)(g) | 07/15/2048 | 204770 |
| 9462588 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C31-XA | 0.82 % (b)(g) | 08/15/2048 | 165696 |
| 14580881 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XA | 1.11 % (b)(g) | 11/15/2048 | 254511 |
| 7942000 | KREF Ltd., Series 2021-FL2-B (1 Month LIBOR USD + 1.65%, 1.65% Floor) | 5.98 % (a) | 02/15/2039 | 7421878 |
| 3506000 | KREF Ltd., Series 2022-FL3-A (Secured Overnight Financing Rate 1 Month + 1.45%, 1.45% Floor) | 5.77 % (a) | 02/17/2039 | 3403372 |
| 10000000 | LCCM Trust, Series 2017-LC26-C | 4.71 % (a) | 07/12/2050 | 8491896 |

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------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 6367000 | LCCM Trust, Series 2021-FL3-AS (1 Month LIBOR USD + 1.80%, 1.80% Floor) | 6.12 % (a) | 11/15/2038 | 6044900 |
| 2400000 | LCCM Trust, Series 2021-FL3-B (1 Month LIBOR USD + 2.20%, 2.20% Floor) | 6.52 % (a) | 11/15/2038 | 2251970 |
| 1000000 | LoanCore Issuer Ltd., Series 2018-CRE1-C (1 Month LIBOR USD + 2.55%, 2.55% Floor) | 6.87 % (a) | 05/15/2028 | 965072 |
| 2000000 | LoanCore Issuer Ltd., Series 2019-CRE2-B (1 Month LIBOR USD + 1.70%, 1.70% Floor) | 6.02 % (a) | 05/15/2036 | 1946218 |
| 5735000 | LoanCore Issuer Ltd., Series 2022-CRE7-A (Secured Overnight Financing Rate 30 Day Average + 1.55%, 1.55% Floor) | 5.36 % (a) | 01/17/2037 | 5567337 |
| 6445393 | LSTAR Commercial Mortgage Trust, Series 2016-4-XA | 1.70 % (a)(b)(g) | 03/10/2049 | 136941 |
| 64403591 | LSTAR Commercial Mortgage Trust, Series 2017-5-X | 0.79 % (a)(b)(g) | 03/10/2050 | 1321909 |
| 1941818 | Merchants Bank of Indiana Multifamily Housing Mortgage Loan Trust, Series 2021-Q015-B (Secured Overnight Financing Rate 30 Day Average + 2.85%, 0.00% Floor) | 6.65 % (a) | 08/25/2024 | 1939972 |
| 5150000 | MF1 Ltd., Series 2021-FL6-C (1 Month LIBOR USD + 1.85%, 1.85% Floor) | 6.18 % (a) | 07/16/2036 | 4838348 |
| 12550000 | MF1 Ltd., Series 2022-FL8-AS (Secured Overnight Financing Rate 30 Day Average + 1.75%, 1.75% Floor) | 5.58 % (a) | 02/19/2037 | 12023672 |
| 11933000 | MFT Trust, Series 2020-ABC-D | 3.48 % (a)(b) | 02/10/2042 | 7810638 |
| 3575000 | MKT Mortgage Trust, Series 2020-525M-F | 2.94 % (a)(b) | 02/12/2040 | 1946715 |
| 10354630 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV-CK | 4.16 % (a)(b) | 10/15/2030 | 7112788 |
| 3063908 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12-XA | 0.55 % (b)(g) | 10/15/2046 | 6160 |
| 1052357 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7-XA | 0.87 % (b)(g) | 02/15/2046 | 26 |
| 2817161 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14-XA | 0.91 % (b)(g) | 02/15/2047 | 15382 |
| 500000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C | 4.47 % (b) | 10/15/2047 | 462738 |
| 16325838 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C28-XA | 1.15 % (b)(g) | 01/15/2049 | 440631 |
| 711000 | Morgan Stanley Capital Trust, Series 2019-NUGS-F (1 Month LIBOR USD + 2.84%, 4.34% Floor) | 7.16 % (a)(l) | 12/15/2036 | 487353 |
| 13327000 | Morgan Stanley Capital Trust, Series 2019-PLND-E (1 Month LIBOR USD + 2.15%, 2.15% Floor) | 6.47 % (a) | 05/15/2036 | 11528776 |
| 1331000 | Morgan Stanley Capital Trust, Series 2019-PLND-F (1 Month LIBOR USD + 2.80%, 2.80% Floor) | 7.12 % (a) | 05/15/2036 | 899050 |
| 9940000 | Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-C (1 Month LIBOR USD + 2.20%, 2.20% Floor) | 6.52 % (a) | 06/15/2035 | 8886650 |
| 8191000 | Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC-AMZ1 | 3.50 % (a)(b) | 01/15/2037 | 7321655 |
| 4742000 | Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC-AMZ2 | 3.50 % (a)(b) | 01/15/2037 | 4074315 |
| 11000000 | NLY Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 1.90%, 1.90% Floor) | 6.22 % (a) | 02/15/2036 | 10763500 |
| 6900000 | RIAL Issuer Ltd., Series 2022-FL8-A (Secured Overnight Financing Rate 1 Month + 2.25%, 2.25% Floor) | 6.57 % (a) | 01/19/2037 | 6737850 |
| 3865000 | RLGH Trust, Series 2021-TROT-D (1 Month LIBOR USD + 1.71%, 1.71% Floor) | 6.03 % (a) | 04/15/2036 | 3629513 |
| 1500000 | SFO Commercial Mortgage Trust, Series 2021-555-C (1 Month LIBOR USD + 1.80%, 1.80% Floor) | 6.12 % (a) | 05/15/2038 | 1318816 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 168062650 | SLG Office Trust, Series 2021-OVA-X | 0.26 % (a)(b)(g) | 07/15/2041 | 2700531 |
| 32322975 | SLIDE, Series 2018-FUN-XCP | 0.00 % (a)(b)(g) | 06/09/2023 | 323 |
| 16320871 | SMR Mortgage Trust, Series 2022-IND-A (Secured Overnight Financing Rate 1 Month + 1.65%, 1.65% Floor) | 5.99 % (a) | 02/15/2039 | 15459880 |
| 16035000 | Soho Trust, Series 2021-SOHO-B | 2.70 % (a)(b) | 08/10/2038 | 11784817 |
| 3500000 | SREIT Trust, Series 2021-MFP-D (1 Month LIBOR USD + 1.58%, 1.58% Floor) | 5.90 % (a) | 11/15/2038 | 3315661 |
| 459000 | STWD Ltd., Series 2019-FL1-C (Secured Overnight Financing Rate 1 Month + 2.06%, 1.95% Floor) | 6.39 % (a) | 07/15/2038 | 439042 |
| 8744000 | STWD Ltd., Series 2019-FL1-D (Secured Overnight Financing Rate 1 Month + 2.46%, 2.35% Floor) | 6.79 % (a) | 07/15/2038 | 8255412 |
| 11630000 | TRTX Issuer Ltd., Series 2022-FL5-A (Secured Overnight Financing Rate 30 Day Average + 1.65%, 1.65% Floor) | 5.46 % (a) | 02/15/2039 | 11246815 |
| 1500000 | UBS Commercial Mortgage Trust, Series 2017-C4-C | 4.54 % (b) | 10/15/2050 | 1274149 |
| 77120591 | UBS Commercial Mortgage Trust, Series 2018-C13-XA | 0.73 % (b)(g) | 10/15/2051 | 2255692 |
| 6009000 | UBS Commercial Mortgage Trust, Series 2018-C8-C | 4.71 % (b) | 02/15/2051 | 5109573 |
| 1067000 | UBS Commercial Mortgage Trust, Series 2018-C9-C | 4.95 % (b) | 03/15/2051 | 903970 |
| 5893630 | VMC Finance LLC, Series 2019-FL3-D (1 Month LIBOR USD + 2.65%, 2.65% Floor) | 6.98 % (a) | 09/15/2036 | 5516997 |
| 1000000 | VMC Finance LLC, Series 2022-FL5-A (Secured Overnight Financing Rate 30 Day Average + 1.90%, 1.90% Floor) | 5.71 % (a) | 02/18/2039 | 974898 |
| 540000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC18-B | 3.96% | 12/15/2047 | 503645 |
| 9722968 | Wells Fargo Commercial Mortgage Trust, Series 2015-C27-XA | 0.84 % (b)(g) | 02/15/2048 | 135393 |
| 49817029 | Wells Fargo Commercial Mortgage Trust, Series 2015-C30-XA | 0.88 % (b)(g) | 09/15/2058 | 936231 |
| 2651000 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2-C | 4.28 % (b) | 07/15/2058 | 2304253 |
| 23344828 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2-XA | 0.61 % (b)(g) | 07/15/2058 | 290627 |
| 10529245 | Wells Fargo Commercial Mortgage Trust, Series 2016-C33-XA | 1.58 % (b)(g) | 03/15/2059 | 415349 |
| 3546000 | Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6-C | 4.39 % (b) | 11/15/2049 | 3098136 |
| 21146999 | Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6-XA | 1.58 % (b)(g) | 11/15/2049 | 897142 |
| 68227747 | Wells Fargo Commercial Mortgage Trust, Series 2017-C38-XA | 0.97 % (b)(g) | 07/15/2050 | 2212094 |
| 22476565 | Wells Fargo Commercial Mortgage Trust, Series 2019-C52-XA | 1.60 % (b)(g) | 08/15/2052 | 1596225 |
| 62995565 | Wells Fargo Commercial Mortgage Trust, Series 2021-C59-XA | 1.54 % (b)(g) | 04/15/2054 | 5233546 |
| 272707 | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE-D (1 Month LIBOR USD + 2.50%, 2.50% Floor) | 6.82 % (a) | 02/15/2040 | 242097 |
| 5250000 | Wells Fargo Commercial Mortgage Trust, Series 2022-ONL-A | 3.86 % (a) | 12/15/2039 | 4669051 |
| 2238441 | WF-RBS Commercial Mortgage Trust, Series 2014-C19-XA | 0.96 % (b)(g) | 03/15/2047 | 17232 |
| 6338330 | WF-RBS Commercial Mortgage Trust, Series 2014-C21-XA | 1.00 % (b)(g) | 08/15/2047 | 82097 |
|  **Total Non-Agency Commercial Mortgage Backed Obligations** (Cost $695,361,610) | **Total Non-Agency Commercial Mortgage Backed Obligations** (Cost $695,361,610) | **Total Non-Agency Commercial Mortgage Backed Obligations** (Cost $695,361,610) | **Total Non-Agency Commercial Mortgage Backed Obligations** (Cost $695,361,610) | 574741595 |
|  **Non-Agency Residential Collateralized Mortgage Obligations - 15.0%** | **Non-Agency Residential Collateralized Mortgage Obligations - 15.0%** | **Non-Agency Residential Collateralized Mortgage Obligations - 15.0%** | **Non-Agency Residential Collateralized Mortgage Obligations - 15.0%** | **Non-Agency Residential Collateralized Mortgage Obligations - 15.0%** |
| 5134738 | ACE Securities Corporation Home Equity Loan Trust, Series 2006-CW1-A2D (1 Month LIBOR USD + 0.52%, 0.52% Floor) | 4.91% | 07/25/2036 | 4131176 |
| 7301034 | ACE Securities Corporation Home Equity Loan Trust, Series 2007-WM1-A2B (1 Month LIBOR USD + 0.12%, 0.12% Floor) | 4.51% | 11/25/2036 | 3201466 |
| 5053049 | Adjustable Rate Mortgage Trust, Series 2006-1-6A1 (1 Month LIBOR USD + 0.26%, 0.26% Floor) | 4.65% | 03/25/2036 | 3178055 |
| 5054700 | AJAX Mortgage Loan Trust, Series 2021-C-A | 2.12 % (a)(l) | 01/25/2061 | 4705860 |
| 2412018 | American Home Mortgage Investment Trust, Series 2004-2-M1 (1 Month LIBOR USD + 0.90%, 0.90% Floor, 11.00% Cap) | 5.29% | 02/25/2044 | 2136359 |
| 6000000 | Angel Oak Mortgage Trust LLC, Series 2019-1-M1 | 4.50 % (a)(b) | 11/25/2048 | 5811916 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 2594902 | Angel Oak Mortgage Trust LLC, Series 2020-2-A1A | 2.53 % (a)(b) | 01/26/2065 | 2357651 |
| 494926 | Angel Oak Mortgage Trust LLC, Series 2020-6-A3 | 1.78 % (a)(b) | 05/25/2065 | 415326 |
| 8192213 | Angel Oak Mortgage Trust LLC, Series 2021-7-A1 | 1.98 % (a)(b) | 10/25/2066 | 6699125 |
| 1156073 | Arroyo Mortgage Trust, Series 2019-1-A1 | 3.81 % (a)(b) | 01/25/2049 | 1067219 |
| 642952 | Arroyo Mortgage Trust, Series 2019-2-A2 | 3.50 % (a)(b) | 04/25/2049 | 596751 |
| 4721492 | Arroyo Mortgage Trust, Series 2019-3-A3 | 3.42 % (a)(b) | 10/25/2048 | 4346728 |
| 1089737 | Banc of America Funding Trust, Series 2006-7-T2A1 | 5.88 % (b) | 10/25/2036 | 952746 |
| 10716788 | Banc of America Funding Trust, Series 2015-R2-4A2 (1 Month LIBOR USD + 0.17%, 0.17% Floor) | 2.77 % (a) | 09/29/2036 | 8322879 |
| 2202775 | Banc of America Funding Trust, Series 2015-R2-9A2 | 4.01 % (a)(c) | 03/27/2036 | 1843022 |
| 1166500 | Banc of America Mortgage Trust, Series 2005-I-2A5 | 3.85 % (b) | 10/25/2035 | 1072163 |
| 2425489 | Banc of America Mortgage Trust, Series 2007-3-1A1 | 6.00% | 09/25/2037 | 2088755 |
| 6769733 | BCAP LLC Trust, Series 2009-RR4-7A2 | 6.00 % (a)(b) | 03/26/2037 | 2946745 |
| 1355654 | BCAP LLC Trust, Series 2012-RR1-3A4 | 5.50 % (a)(b) | 10/26/2035 | 924730 |
| 162726 | Bellemeade Ltd., Series 2018-3A-M1B (1 Month LIBOR USD + 1.85%, 1.85% Floor) | 6.24 % (a) | 10/25/2028 | 162609 |
| 18378322 | BRAVO Residential Funding Trust, Series 2021-B-A1 | 2.12 % (a)(l) | 04/01/2069 | 17387233 |
| 3473125 | BRAVO Residential Funding Trust, Series 2021-NQM2-A3 | 1.44 % (a)(b) | 03/25/2060 | 3270348 |
| 9014689 | BRAVO Residential Funding Trust, Series 2022-RPL1-A1 | 2.75 % (a)(b) | 09/25/2061 | 7817417 |
| 747720 | CHL Mortgage Pass-Through Trust, Series 2005-10-A2 | 5.50% | 05/25/2035 | 606390 |
| 10059977 | CHL Mortgage Pass-Through Trust, Series 2006-20-1A18 (1 Month LIBOR USD + 0.65%, 0.65% Floor, 6.00% Cap) | 5.04% | 02/25/2037 | 4037439 |
| 1653345 | CHL Mortgage Pass-Through Trust, Series 2006-21-A10 | 5.75% | 02/25/2037 | 815800 |
| 560048 | CHL Mortgage Pass-Through Trust, Series 2007-14-A15 | 6.50% | 09/25/2037 | 327812 |
| 1812226 | Citigroup Mortgage Loan Trust, Series 2020-EXP1-A1A | 1.80 % (a)(b) | 05/25/2060 | 1652236 |
| 669862 | CitiMortgage Alternative Loan Trust, Series 2007-A5-1A10 | 5.75% | 05/25/2037 | 597347 |
| 186693 | COLT Mortgage Loan Trust, Series 2020-3-A3 | 2.38 % (a)(b) | 04/27/2065 | 175578 |
| 3227117 | COLT Mortgage Loan Trust, Series 2021-1R-A1 | 0.86 % (a)(b) | 05/25/2065 | 2721620 |
| 5947646 | COLT Mortgage Loan Trust, Series 2021-5-A1 | 1.73 % (a)(b) | 11/26/2066 | 5036560 |
| 6461216 | COLT Mortgage Loan Trust, Series 2022-2-A1 | 2.99 % (a)(l) | 02/25/2067 | 5834418 |
| 320974 | Countrywide Alternative Loan Trust, Series 2005-23CB-A15 | 5.50% | 07/25/2035 | 260039 |
| 1099150 | Countrywide Alternative Loan Trust, Series 2005-28CB-1A6 | 5.50% | 08/25/2035 | 956951 |
| 4355982 | Countrywide Alternative Loan Trust, Series 2005-49CB-A6 | 5.50% | 11/25/2035 | 2994799 |
| 1581939 | Countrywide Alternative Loan Trust, Series 2005-61-1A2 (1 Month LIBOR USD + 0.74%, 0.74% Floor) | 5.13% | 12/25/2035 | 1324430 |
| 7890545 | Countrywide Alternative Loan Trust, Series 2005-62-1A1 (1 Month LIBOR USD + 0.60%, 0.60% Floor) | 4.99% | 12/25/2035 | 6274934 |
| 7952631 | Countrywide Alternative Loan Trust, Series 2006-16CB-A5 | 6.00% | 06/25/2036 | 4758425 |
| 1525457 | Countrywide Alternative Loan Trust, Series 2006-32CB-A21 | 5.50% | 11/25/2036 | 867166 |
| 2249085 | Countrywide Alternative Loan Trust, Series 2006-34-A6 | 6.25% | 11/25/2046 | 1113314 |
| 5697656 | Countrywide Alternative Loan Trust, Series 2006-36T2-1A3 | 5.75% | 12/25/2036 | 2458076 |
| 1446321 | Countrywide Alternative Loan Trust, Series 2006-J4-2A9 | 6.00% | 07/25/2036 | 919375 |
| 1557307 | Countrywide Alternative Loan Trust, Series 2006-J6-A5 | 6.00% | 09/25/2036 | 867491 |
| 2988995 | Countrywide Alternative Loan Trust, Series 2006-OA12-A1B (1 Month LIBOR USD + 0.19%, 0.19% Floor) | 4.54% | 09/20/2046 | 2839174 |
| 4060390 | Countrywide Alternative Loan Trust, Series 2006-OA21-A1 (1 Month LIBOR USD + 0.19%, 0.19% Floor) | 4.54% | 03/20/2047 | 3223989 |
| 11364199 | Countrywide Alternative Loan Trust, Series 2007-12T1-A11 | 6.00% | 06/25/2037 | 5654901 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 10195557 | Countrywide Alternative Loan Trust, Series 2007-12T1-A5 | 6.00% | 06/25/2037 | 5073376 |
| 301855 | Countrywide Alternative Loan Trust, Series 2007-15CB-A7 | 6.00% | 07/25/2037 | 194174 |
| 4393308 | Countrywide Alternative Loan Trust, Series 2007-8CB-A1 | 5.50% | 05/25/2037 | 2491381 |
| 11186339 | Countrywide Alternative Loan Trust, Series 2007-9T1-1A6 | 6.00% | 05/25/2037 | 5812594 |
| 2452 | Credit Suisse First Boston Mortgage Securities Corporation, Series 2004-8-6A1 | 4.50% | 01/25/2023 | 739 |
| 1143216 | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-11-2A1 | 6.00% | 12/25/2035 | 846061 |
| 52664 | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-11-8A5 | 6.00% | 12/25/2035 | 40915 |
| 502027 | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-9-5A9 | 5.50% | 10/25/2035 | 296628 |
| 44347916 | Credit Suisse Mortgage-Backed Trust, Series 2019-RP10-A1 | 2.96 % (a)(b) | 12/26/2059 | 43788023 |
| 8654054 | CSMC Trust, Series 2009-8R-8A2 | 6.00 % (a)(b) | 03/26/2037 | 3732257 |
| 488655 | CSMC Trust, Series 2011-12R-3A5 | 3.34 % (a)(b) | 07/27/2036 | 465104 |
| 7356530 | CSMC Trust, Series 2020-RPL2-A12 | 3.46 % (a)(b) | 02/25/2060 | 7316293 |
| 5255905 | CSMC Trust, Series 2020-RPL3-A1 | 2.69 % (a)(b) | 03/25/2060 | 5032471 |
| 513030 | CSMC Trust, Series 2021-JR1-A1 | 2.47 % (a)(b) | 09/27/2066 | 490155 |
| 18609780 | CSMC Trust, Series 2022-NQM1-A1 | 2.27 % (a)(b) | 11/25/2066 | 16051978 |
| 6959242 | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR4-A1 (1 Month LIBOR USD + 0.26%, 0.26% Floor) | 4.65% | 12/25/2036 | 2491942 |
| 4617889 | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR4-A2 (1 Month LIBOR USD + 0.38%, 0.38% Floor, 10.50% Cap) | 4.77% | 12/25/2036 | 1660451 |
| 210372 | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2007-OA2-A1 (12 Month US Treasury Average + 0.77%, 0.77% Floor) | 2.82% | 04/25/2047 | 178430 |
| 421078 | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A1A | 6.01 % (b) | 10/25/2036 | 368181 |
| 371374 | Deutsche Mortgage & Asset Receiving Corporation, Series 2014-RS1-1A2 | 6.50 % (a)(b) | 07/27/2037 | 301514 |
| 5041426 | GCAT Trust, Series 2020-3-A1 | 2.98 % (a)(l) | 09/25/2025 | 4883476 |
| 3620372 | GCAT Trust, Series 2020-NQM2-A1 | 1.56 % (a)(l) | 04/25/2065 | 3234154 |
| 7769319 | GCAT Trust, Series 2021-NQM4-A3 | 1.56 % (a)(b) | 08/25/2066 | 5820804 |
| 278093 | GS Mortgage-Backed Securities Trust, Series 2019-SL1-A1 | 2.63 % (a)(b) | 01/25/2059 | 276941 |
| 5383618 | GSAA Home Equity Trust, Series 2006-19-A3A (1 Month LIBOR USD + 0.48%, 0.48% Floor) | 4.87% | 12/25/2036 | 2191565 |
| 333579 | GSR Mortgage Loan Trust, Series 2006-2F-3A4 | 6.00% | 02/25/2036 | 175277 |
| 2370924 | Harborview Mortgage Loan Trust, Series 2006-1-2A1A (1 Month LIBOR USD + 0.48%, 0.48% Floor) | 4.82% | 03/19/2036 | 2063248 |
| 789335 | Impac Secured Assets Trust, Series 2006-5-1A1C (1 Month LIBOR USD + 0.54%, 0.54% Floor, 11.50% Cap) | 4.93% | 02/25/2037 | 706595 |
| 703847 | IndyMac INDX Mortgage Loan Trust, Series 2006-AR5-2A1 | 3.15 % (b) | 05/25/2036 | 600814 |
| 32876362 | JP Morgan Alternative Loan Trust, Series 2005-S1-1A4 | 6.00% | 12/25/2035 | 13839324 |
| 3746064 | JP Morgan Alternative Loan Trust, Series 2007-S1-A2 (1 Month LIBOR USD + 0.68%, 0.68% Floor, 11.50% Cap) | 5.07% | 04/25/2047 | 3570359 |
| 11552135 | JP Morgan Mortgage Acquisition Trust, Series 2006-WMC2-A5 (1 Month LIBOR USD + 0.50%, 0.50% Floor) | 4.89% | 07/25/2036 | 5333021 |
| 6137067 | JP Morgan Resecuritization Trust, Series 2014-4-1C | 0.00 % (a)(b)(f) | 01/26/2036 | 1920254 |
| 1440207 | Legacy Mortgage Asset Trust, Series 2020-SL1-A | 2.73 % (a)(l) | 01/25/2060 | 1409219 |
| 2960797 | Legacy Mortgage Asset Trust, Series 2021-GS1-A1 | 1.89 % (a) | 10/25/2066 | 2720130 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 192315 | Lehman Mortgage Trust, Series 2006-1-1A3 | 5.50% | 02/25/2036 | 99838 |
| 9511804 | Lehman Mortgage Trust, Series 2007-15N-3A1 (1 Month LIBOR USD + 0.25%, 0.25% Floor) | 4.29% | 08/25/2047 | 7699742 |
| 16585522 | Long Beach Mortgage Loan Trust, Series 2006-11-2A2 (1 Month LIBOR USD + 0.10%, 0.10% Floor) | 4.49% | 12/25/2036 | 6302170 |
| 9966985 | Long Beach Mortgage Loan Trust, Series 2006-2-2A3 (1 Month LIBOR USD + 0.38%, 0.38% Floor) | 4.77% | 03/25/2046 | 3674915 |
| 70232 | MASTR Adjustable Rate Mortgages Trust, Series 2006-2-2A1 | 3.96 % (b) | 04/25/2036 | 39599 |
| 1596593 | MASTR Adjustable Rate Mortgages Trust, Series 2006-OA2-4A1A (12 Month US Treasury Average + 0.85%, 0.85% Floor) | 2.90% | 12/25/2046 | 1356574 |
| 338487 | Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A6 | 6.00% | 03/25/2037 | 135518 |
| 1199918 | Merrill Lynch Mortgage Investors Trust, Series 2006-AF1-AF2C | 6.25% | 08/25/2036 | 549880 |
| 36465736 | Merrill Lynch Mortgage Investors Trust, Series 2006-RM2-A1A (1 Month LIBOR USD + 0.37%, 0.37% Floor) | 4.76% | 05/25/2037 | 10635775 |
| 4577852 | Merrill Lynch Mortgage Investors Trust, Series 2007-HE2-A2A (1 Month LIBOR USD + 0.24%, 0.24% Floor) | 4.63% | 02/25/2037 | 1397913 |
| 7078715 | Merrill Lynch Mortgage Investors Trust, Series 2007-HE2-A2B (1 Month LIBOR USD + 0.42%, 0.42% Floor) | 4.81% | 02/25/2037 | 2162101 |
| 5542460 | MFA Trust, Series 2021-NQM2-A3 | 1.47 % (a)(b) | 11/25/2064 | 4291781 |
| 236704 | Morgan Stanley Mortgage Loan Trust, Series 2006-2-7A1 | 5.47 % (b) | 02/25/2036 | 140226 |
| 535607 | Morgan Stanley Residential Mortgage Loan Trust, Series 2020-RPL1-A1 | 2.69 % (a)(b) | 10/25/2060 | 515650 |
| 17322852 | New York Mortgage Trust, Series 2020-SP2-A1 | 2.94 % (a)(b) | 10/25/2060 | 16772528 |
| 4219865 | Nomura Resecuritization Trust, Series 2015-8R-4A4 | 3.07 % (a)(b) | 11/25/2047 | 3447514 |
| 482934 | OBX Trust, Series 2020-EXP2-A3 | 2.50 % (a)(b) | 05/25/2060 | 384478 |
| 3382679 | OBX Trust, Series 2021-NQM2-A3 | 1.56 % (a)(b) | 05/25/2061 | 2578674 |
| 6866057 | OBX Trust, Series 2022-NQM1-A1 | 2.31 % (a)(b) | 11/25/2061 | 5915568 |
| 2763345 | Pretium Mortgage Credit Partners LLC, Series 2021-NPL1-A1 | 2.24 % (a)(l) | 09/27/2060 | 2530272 |
| 3489836 | Pretium Mortgage Credit Partners LLC, Series 2021-NPL2-A1 | 1.99 % (a)(l) | 06/27/2060 | 3095195 |
| 30277396 | Pretium Mortgage Credit Partners LLC, Series 2021-NPL3-A1 | 1.87 % (a)(l) | 07/25/2051 | 26873629 |
| 22124083 | Pretium Mortgage Credit Partners LLC, Series 2021-RN1-A1 | 1.99 % (a)(l) | 02/25/2061 | 20051432 |
| 6227031 | Pretium Mortgage Credit Partners LLC, Series 2021-RN2-A1 | 1.74 % (a) | 07/25/2051 | 5652475 |
| 6859623 | Pretium Mortgage Credit Partners LLC, Series 2022-NPL2-A1 | 5.24 % (a)(l) | 04/25/2052 | 6623647 |
| 8110319 | PRPM LLC, Series 2021-4-A1 | 1.87 % (a)(l) | 04/25/2026 | 7302941 |
| 6227501 | PRPM LLC, Series 2021-6-A1 | 1.79 % (a)(l) | 07/25/2026 | 5653251 |
| 12039239 | PRPM LLC, Series 2021-7-A1 | 1.87 % (a)(l) | 08/25/2026 | 10973491 |
| 8596524 | PRPM LLC, Series 2022-1-A1 | 3.72 % (a)(l) | 02/25/2027 | 8077680 |
| 646775 | RBSSP Resecuritization Trust, Series 2009-2-3A2 (1 Month LIBOR USD + 0.50%, 0.50% Floor) | 4.54 % (a) | 04/26/2035 | 583629 |
| 545673 | Residential Accredit Loans, Inc., Series 2006-QS12-2A3 | 6.00% | 09/25/2036 | 431017 |
| 1435346 | Residential Accredit Loans, Inc., Series 2007-QS4-3A4 | 6.00% | 03/25/2037 | 1185361 |
| 1787358 | Residential Accredit Loans, Inc., Series 2007-QS4-3A9 | 6.00% | 03/25/2037 | 1476021 |
| 1201471 | Residential Accredit Loans, Inc., Series 2007-QS8-A3 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap) | 4.99% | 06/25/2037 | 836809 |
| 790502 | Residential Accredit Loans, Inc., Series 2007-QS9-A33 | 6.50% | 07/25/2037 | 633011 |
| 4655276 | Residential Asset Securities Corporation, Series 2004-KS7-A2A (1 Month LIBOR USD + 0.58%, 0.58% Floor) | 4.17% | 08/25/2034 | 4305884 |
| 688726 | Residential Asset Securitization Trust, Series 2006-A2-A11 | 6.00% | 01/25/2046 | 297569 |
| 2103514 | Residential Asset Securitization Trust, Series 2006-A6-1A4 | 6.00% | 07/25/2036 | 625016 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 4517365 | Residential Funding Mortgage Securities Trust, Series 2007-S1-A1 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap) | 4.99% | 01/25/2037 | 3337632 |
| 5394000 | Residential Mortgage Loan Trust, Series 2019-2-M1 | 3.86 % (a)(b) | 05/25/2059 | 4907850 |
| 6032947 | Securitized Asset Backed Receivables LLC Trust, Series 2006-WM3-A1 (1 Month LIBOR USD + 0.10%, 0.10% Floor) | 4.49% | 10/25/2036 | 2149298 |
| 1774473 | Soundview Home Loan Trust, Series 2007-OPT3-2A3 (1 Month LIBOR USD + 0.18%, 0.18% Floor) | 4.57% | 08/25/2037 | 1698869 |
| 8000000 | Starwood Mortgage Residential Trust, Series 2020-2-M1E | 3.00 % (a) | 04/25/2060 | 7509460 |
| 1307469 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22-4A1 | 4.26 % (b) | 12/25/2035 | 1157553 |
| 11479712 | VCAT LLC, Series 2021-NPL1-A1 | 2.29 % (a)(l) | 12/26/2050 | 10888681 |
| 13173343 | VCAT LLC, Series 2021-NPL4-A1 | 1.87 % (a)(l) | 08/25/2051 | 11992352 |
| 6890044 | VCAT LLC, Series 2021-NPL5-A1 | 1.87 % (a)(l) | 08/25/2051 | 6072191 |
| 3420195 | Velocity Commercial Capital Loan Trust, Series 2020-1-M2 | 2.98 % (a)(b) | 02/25/2050 | 2879998 |
| 2698065 | Velocity Commercial Capital Loan Trust, Series 2021-1-M2 | 2.26 % (a)(b) | 05/25/2051 | 2073705 |
| 1986015 | Velocity Commercial Capital Loan Trust, Series 2021-2-M2 | 2.20 % (a)(b) | 08/25/2051 | 1565684 |
| 296941 | Verus Securitization Trust, Series 2020-4-A3 | 2.32 % (a)(l) | 05/25/2065 | 270451 |
| 1500000 | Verus Securitization Trust, Series 2020-INV1-A2 | 3.04 % (a)(b) | 03/25/2060 | 1384436 |
| 16271543 | Verus Securitization Trust, Series 2021-7-A1 | 1.83 % (a)(b) | 10/25/2066 | 13729315 |
| 2644401 | Verus Securitization Trust, Series 2021-R1-A3 | 1.26 % (a)(b) | 10/25/2063 | 2376639 |
| 5084358 | VOLT LLC, Series 2021-NP10-A1 | 1.99 % (a)(l) | 05/25/2051 | 4535310 |
| 7940417 | VOLT LLC, Series 2021-NP11-A1 | 1.87 % (a) | 08/25/2051 | 6893510 |
| 12855226 | VOLT LLC, Series 2021-NPL1-A1 | 1.89 % (a)(l) | 02/27/2051 | 11160930 |
| 1178660 | VOLT LLC, Series 2021-NPL2-A1 | 1.89 % (a)(l) | 02/27/2051 | 1066202 |
| 5518406 | VOLT LLC, Series 2021-NPL5-A1 | 2.12 % (a)(l) | 03/27/2051 | 5029827 |
| 3165013 | VOLT LLC, Series 2021-NPL6-A1 | 2.24 % (a)(l) | 04/25/2051 | 2800349 |
| 28296824 | VOLT LLC, Series 2021-NPL8-A1 | 2.12 % (a)(l) | 04/25/2051 | 25154510 |
| 6520460 | Washington Mutual Asset-Backed Certificates Trust, Series 2006-HE5-2A2 (1 Month LIBOR USD + 0.18%, 0.18% Floor) | 3.82% | 10/25/2036 | 2483831 |
| 2394625 | Washington Mutual Asset-Backed Certificates Trust, Series 2006-HE5-2A3 (1 Month LIBOR USD + 0.23%, 0.23% Floor) | 3.82% | 10/25/2036 | 912253 |
| 1088760 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-8-2CB3 (1 Month LIBOR USD + 0.41%, 0.41% Floor, 5.50% Cap) | 4.80% | 10/25/2035 | 1022392 |
| 3364966 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR4-A5 | 2.99 % (b) | 04/25/2035 | 3087345 |
| 2953982 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR10-2A1 | 3.56 % (b) | 09/25/2036 | 2523043 |
| 11786958 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR18-1A1 | 2.71 % (b) | 01/25/2037 | 10118707 |
| 1723745 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HE4-2A3 (1 Month LIBOR USD + 0.17%, 0.17% Floor) | 4.56% | 07/25/2047 | 1055291 |
| 552266 | Wells Fargo Alternative Loan Trust, Series 2007-PA5-1A1 | 6.25% | 11/25/2037 | 466683 |
| 2201322 | Wells Fargo Mortgage Backed Securities Trust, Series 2007-15-A1 | 6.00% | 11/25/2037 | 1793950 |
| 7221202 | Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR6-A2 | 4.24 % (b) | 10/25/2037 | 6362117 |
|  **Total Non-Agency Residential Collateralized Mortgage Obligations** (Cost $756,605,960) | **Total Non-Agency Residential Collateralized Mortgage Obligations** (Cost $756,605,960) | **Total Non-Agency Residential Collateralized Mortgage Obligations** (Cost $756,605,960) | **Total Non-Agency Residential Collateralized Mortgage Obligations** (Cost $756,605,960) | 622901529 |
|  **US Corporate Bonds - 6.8%** | **US Corporate Bonds - 6.8%** | **US Corporate Bonds - 6.8%** | **US Corporate Bonds - 6.8%** | **US Corporate Bonds - 6.8%** |
| 2340000 | AbbVie, Inc. | 2.60% | 11/21/2024 | 2240268 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 4090000 | Amazon.com, Inc. | 4.60% | 12/01/2025 | 4084525 |
| 565000 | American Express Company | 3.38% | 05/03/2024 | 553792 |
| 364000 | American Express Company (3 Month LIBOR USD + 0.65%) | 5.39% | 02/27/2023 | 364005 |
| 3310000 | American Express Company (Secured Overnight Financing Rate + 0.93%) | 5.18% | 03/04/2025 | 3308972 |
| 6415000 | Athene Global Funding | 4.90 % (a)(c) | 05/24/2024 | 6304431 |
| 1890000 | Atmos Energy Corporation | 0.63% | 03/09/2023 | 1876235 |
| 1575000 | Avery Dennison Corporation | 0.85% | 08/15/2024 | 1470555 |
| 5660000 | Bank of America Corporation (3 Month LIBOR USD + 0.79%) | 5.56% | 03/05/2024 | 5657351 |
| 2935000 | Bank of America Corporation (Secured Overnight Financing Rate + 0.69%) | 4.64% | 04/22/2025 | 2898761 |
| 2400000 | Bank of America Corporation (Secured Overnight Financing Rate + 1.10%) | 5.07% | 04/25/2025 | 2386807 |
| 1680000 | Boeing Company | 4.51% | 05/01/2023 | 1677116 |
| 425000 | Boeing Company | 4.88% | 05/01/2025 | 422128 |
| 1970000 | Brighthouse Financial Global Funding | 0.60 % (a) | 06/28/2023 | 1921729 |
| 2221000 | Broadcom, Inc. | 3.15% | 11/15/2025 | 2106167 |
| 90000 | Broadcom, Inc. | 3.88% | 01/15/2027 | 85260 |
| 4175000 | Campbell Soup Company | 3.95% | 03/15/2025 | 4080663 |
| 2235000 | Capital One Financial Corporation (Secured Overnight Financing Rate + 2.16%) | 4.99% | 07/24/2026 | 2191139 |
| 6172000 | Cardinal Health, Inc. | 3.08% | 06/15/2024 | 6000692 |
| 3420000 | Caterpillar Financial Services Corporation | 3.65% | 08/12/2025 | 3339842 |
| 4286000 | Charles Schwab Corporation | 5.30 % (c) | 03/03/2027 | 4174579 |
| 1555000 | Cigna Corporation | 0.61% | 03/15/2024 | 1476223 |
| 2917000 | Citigroup, Inc. (3 Month LIBOR USD + 1.02%) | 5.78% | 06/01/2024 | 2921385 |
| 1410000 | Citigroup, Inc. (Secured Overnight Financing Rate + 0.53%) | 1.28% | 11/03/2025 | 1300183 |
| 4160000 | Comcast Corporation | 5.25% | 11/07/2025 | 4219118 |
| 1040000 | Conagra Brands, Inc. | 4.30% | 05/01/2024 | 1026223 |
| 1960000 | Constellation Brands, Inc. | 3.60% | 05/09/2024 | 1922340 |
| 1762000 | Dell International LLC | 4.00% | 07/15/2024 | 1732707 |
| 2385000 | Dell International LLC | 5.85% | 07/15/2025 | 2412624 |
| 2200000 | Dollar General Corporation | 4.15% | 11/01/2025 | 2153647 |
| 3753000 | Dollar Tree, Inc. | 4.00% | 05/15/2025 | 3667337 |
| 2125000 | Duke Energy Corporation | 5.00% | 12/08/2025 | 2122780 |
| 6400000 | Elevance Health, Inc. | 3.50% | 08/15/2024 | 6246699 |
| 4055000 | Energy Transfer LP | 5.88% | 01/15/2024 | 4066475 |
| 4790000 | Entergy Corporation | 0.90% | 09/15/2025 | 4270189 |
| 4640000 | Equinix, Inc. | 1.25% | 07/15/2025 | 4199821 |
| 4169000 | Expedia Group, Inc. | 6.25 % (a) | 05/01/2025 | 4207721 |
| 2240000 | General Mills, Inc. | 4.00% | 04/17/2025 | 2189580 |
| 1675000 | General Mills, Inc. | 5.24% | 11/18/2025 | 1679763 |
| 4270000 | General Motors Financial Company, Inc. | 5.25% | 03/01/2026 | 4208644 |
| 4455000 | Goldman Sachs Group, Inc. | 3.50% | 04/01/2025 | 4287908 |
| 4137000 | HCA, Inc. | 5.00% | 03/15/2024 | 4115202 |
| 3678000 | Hyatt Hotels Corporation | 1.30% | 10/01/2023 | 3576296 |
| 2570000 | Hyundai Capital America | 1.00 % (a) | 09/17/2024 | 2376076 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 4415000 | JPMorgan Chase & Company | 3.90% | 07/15/2025 | 4320500 |
| 2835000 | JPMorgan Chase & Company (Secured Overnight Financing Rate + 0.42%) | 0.56% | 02/16/2025 | 2674842 |
| 5890000 | JPMorgan Chase & Company (Secured Overnight Financing Rate + 1.32%) | 5.27% | 04/26/2026 | 5838753 |
| 4250000 | Keurig Dr Pepper, Inc. | 0.75% | 03/15/2024 | 4036307 |
| 680000 | Kinder Morgan, Inc. | 4.30% | 06/01/2025 | 667495 |
| 1110000 | Lowe's Companies, Inc. | 4.40% | 09/08/2025 | 1094565 |
| 4250000 | Magallanes, Inc. | 3.79 % (a) | 03/15/2025 | 4062885 |
| 4155000 | Marriott International, Inc. | 3.60% | 04/15/2024 | 4073883 |
| 4340000 | Marsh & McLennan Companies, Inc. | 3.88% | 03/15/2024 | 4281849 |
| 940000 | McDonald's Corporation | 3.35% | 04/01/2023 | 936554 |
| 985000 | McDonald's Corporation | 3.38% | 05/26/2025 | 953716 |
| 2515000 | McDonald's Corporation | 1.45% | 09/01/2025 | 2308684 |
| 4651000 | Microchip Technology, Inc. | 0.97% | 02/15/2024 | 4418711 |
| 4510000 | Morgan Stanley (Secured Overnight Financing Rate + 0.46%) | 0.53% | 01/25/2024 | 4479863 |
| 4374000 | Morgan Stanley (Secured Overnight Financing Rate + 0.62%) | 0.73% | 04/05/2024 | 4311719 |
| 3351000 | Mosaic Company | 4.25% | 11/15/2023 | 3324205 |
| 500000 | Mylan, Inc. | 3.13 % (a) | 01/15/2023 | 499622 |
| 1755000 | New York Life Global Funding | 3.60 % (a) | 08/05/2025 | 1693256 |
| 1350000 | NextEra Energy Capital Holdings, Inc. | 4.20% | 06/20/2024 | 1332983 |
| 605000 | NextEra Energy Capital Holdings, Inc. | 4.26% | 09/01/2024 | 597183 |
| 1030000 | Nissan Motor Acceptance Company LLC | 1.13 % (a) | 09/16/2024 | 939181 |
| 3400000 | Northrop Grumman Corporation | 2.93% | 01/15/2025 | 3263240 |
| 4520000 | NVIDIA Corporation | 0.58% | 06/14/2024 | 4267325 |
| 3135000 | Omnicom Group, Inc. | 3.65% | 11/01/2024 | 3075831 |
| 2060000 | Oracle Corporation | 5.80% | 11/10/2025 | 2108408 |
| 1455000 | Pacific Gas and Electric Company | 3.25% | 02/16/2024 | 1420795 |
| 2800000 | Pacific Gas and Electric Company | 4.95% | 06/08/2025 | 2759398 |
| 1895000 | Parker-Hannifin Corporation | 3.65% | 06/15/2024 | 1855237 |
| 4360000 | Penske Truck Leasing Company LP | 2.70 % (a) | 11/01/2024 | 4112833 |
| 1515000 | Phillips 66 | 3.85% | 04/09/2025 | 1479083 |
| 810000 | Phillips 66 | 1.30% | 02/15/2026 | 726552 |
| 2185000 | Pioneer Natural Resources Company | 1.13% | 01/15/2026 | 1949875 |
| 3275000 | Public Service Enterprise Group, Inc. | 0.84% | 11/08/2023 | 3154284 |
| 4407000 | Republic Services, Inc. | 2.50% | 08/15/2024 | 4225909 |
| 4520000 | Royalty Pharma PLC | 0.75% | 09/02/2023 | 4380089 |
| 2210000 | Sabine Pass Liquefaction LLC | 5.63% | 03/01/2025 | 2214775 |
| 1911000 | Shire Acquisitions Investments Ireland DAC | 2.88% | 09/23/2023 | 1878561 |
| 3519000 | Simon Property Group LP | 2.00% | 09/13/2024 | 3344583 |
| 4200000 | Southern California Edison Company | 5.15 % (c) | 04/01/2024 | 4171193 |
| 1270000 | Synchrony Financial | 4.38% | 03/19/2024 | 1247741 |
| 3295000 | Synchrony Financial | 4.25% | 08/15/2024 | 3221395 |
| 2930000 | Thermo Fisher Scientific, Inc. | 0.80% | 10/18/2023 | 2836565 |
| 2210000 | Toyota Motor Credit Corporation | 3.65% | 08/18/2025 | 2149499 |
| 4615000 | Triton Container International Ltd. | 0.80 % (a) | 08/01/2023 | 4454823 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 2453000 | Truist Financial Corporation (Secured Overnight Financing Rate + 0.40%) | 4.68% | 06/09/2025 | 2402580 |
| 890000 | UnitedHealth Group, Inc. | 0.55% | 05/15/2024 | 840180 |
| 1885000 | UnitedHealth Group, Inc. | 3.70% | 05/15/2027 | 1826409 |
| 4150000 | Verizon Communications, Inc. (3 Month LIBOR USD + 1.10%) | 5.71% | 05/15/2025 | 4185099 |
| 2072000 | Viatris, Inc. | 1.65% | 06/22/2025 | 1878442 |
| 1685000 | Wells Fargo & Company (Secured Overnight Financing Rate + 1.32%) | 5.24% | 04/25/2026 | 1680559 |
| 1750000 | Wells Fargo & Company (Secured Overnight Financing Rate + 1.56%) | 4.54% | 08/15/2026 | 1716670 |
| 4355000 | Wells Fargo & Company (Secured Overnight Financing Rate + 1.60%) | 1.65% | 06/02/2024 | 4285364 |
| 4365000 | Welltower, Inc. | 3.63% | 03/15/2024 | 4273568 |
| 1950000 | Williams Companies, Inc. | 4.55% | 06/24/2024 | 1929791 |
| 2245000 | Workday, Inc. | 3.50% | 04/01/2027 | 2101501 |
| 4545000 | Zimmer Biomet Holdings, Inc. | 1.45% | 11/22/2024 | 4228594 |
|  **Total US Corporate Bonds** (Cost $290,988,823) | **Total US Corporate Bonds** (Cost $290,988,823) | **Total US Corporate Bonds** (Cost $290,988,823) | **Total US Corporate Bonds** (Cost $290,988,823) | 280017465 |
|  **US Government and Agency Mortgage Backed Obligations - 2.6%** | **US Government and Agency Mortgage Backed Obligations - 2.6%** | **US Government and Agency Mortgage Backed Obligations - 2.6%** | **US Government and Agency Mortgage Backed Obligations - 2.6%** | **US Government and Agency Mortgage Backed Obligations - 2.6%** |
| 506206 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08626 | 3.00% | 02/01/2045 | 457393 |
| 493813 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08631 | 3.00% | 03/01/2045 | 445584 |
| 8481204 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool SB8119 | 2.00% | 09/01/2036 | 7574499 |
| 6331114 | Federal Home Loan Mortgage Corporation Pass-Thru, Series K722-X1 | 1.37 % (b)(g) | 03/25/2023 | 1763 |
| 294430 | Federal Home Loan Mortgage Corporation REMICS, Series 3417-SM (-1 x 1 Month LIBOR USD + 6.28%, 0.00% Floor, 6.28% Cap) | 1.96 % (g)(h) | 02/15/2038 | 24684 |
| 669942 | Federal Home Loan Mortgage Corporation REMICS, Series 4471-GA | 3.00% | 02/15/2044 | 623526 |
| 9347792 | Federal Home Loan Mortgage Corporation REMICS, Series 4954-LB | 2.50% | 02/25/2050 | 8109982 |
| 6354732 | Federal Home Loan Mortgage Corporation REMICS, Series 5105-NH | 2.00% | 02/25/2037 | 5607749 |
| 945616 | Federal Home Loan Mortgage Corporation, Series 2021-MN1-M1 (Secured Overnight Financing Rate 30 Day Average + 2.00%, 0.00% Floor) | 5.55 % (a) | 01/25/2051 | 886734 |
| 655872 | Federal National Mortgage Association Pass-Thru, Pool AS4645 | 3.00% | 03/01/2045 | 590927 |
| 1613932 | Federal National Mortgage Association Pass-Thru, Pool CB0302 | 1.50% | 05/01/2036 | 1400130 |
| 191231 | Federal National Mortgage Association Pass-Thru, Pool MA1200 | 3.00% | 10/01/2032 | 179988 |
| 807779 | Federal National Mortgage Association Pass-Thru, Pool MA2270 | 3.00% | 05/01/2045 | 716302 |
| 14505804 | Federal National Mortgage Association Pass-Thru, Pool MA4176 | 2.00% | 11/01/2040 | 12371123 |
| 493871 | Federal National Mortgage Association REMICS, Series 2012-32-DA | 2.00% | 11/25/2026 | 481688 |
| 33617 | Federal National Mortgage Association REMICS, Series 2013-40-KP | 3.50% | 04/25/2042 | 33456 |
| 1498902 | Federal National Mortgage Association REMICS, Series 2016-72-PA | 3.00% | 07/25/2046 | 1353155 |
| 7326860 | Federal National Mortgage Association REMICS, Series 2019-25-SB (-1 x 1 Month LIBOR USD + 6.05%, 0.00% Floor, 6.05% Cap) | 1.66 % (g)(h) | 06/25/2049 | 723833 |
| 5672879 | Federal National Mortgage Association REMICS, Series 2020-39-MH | 3.00% | 06/25/2040 | 5090072 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 4796956 | Federal National Mortgage Association REMICS, Series 2021-21-HG | 2.00% | 11/25/2047 | 4241797 |
| 9050263 | Federal National Mortgage Association REMICS, Series 2021-29-CG | 1.25% | 05/25/2041 | 7771959 |
| 1332193 | Federal National Mortgage Association, Pool AL2987 (12 Month LIBOR USD + 1.63%, 1.63% Floor, 7.38% Cap) | 3.88% | 11/01/2042 | 1345882 |
| 2966284 | Federal National Mortgage Association, Pool AP7870 (12 Month LIBOR USD + 1.70%, 1.70% Floor, 7.55% Cap) | 3.95% | 07/01/2042 | 3015609 |
| 794894 | Federal National Mortgage Association, Pool BM3520 (12 Month LIBOR USD + 1.55%, 1.55% Floor, 7.02% Cap) | 3.41% | 05/01/2045 | 800489 |
| 3802065 | Federal National Mortgage Association, Pool BM4513 (12 Month LIBOR USD + 1.67%, 1.67% Floor, 7.73% Cap) | 3.33% | 05/01/2044 | 3879841 |
| 22698479 | Federal National Mortgage Association, Series 2020-M49-1A1 | 1.26 % (b) | 11/25/2030 | 19738631 |
| 10025066 | Federal National Mortgage Association, Series 2021-M20-A1 | 1.84 % (b) | 10/25/2031 | 8759039 |
| 4694505 | Federal National Mortgage Association, Series 2022-M11-A1 | 2.96 % (b) | 10/25/2027 | 4624193 |
| 8748496 | Federal National Mortgage Association, Series 2022-M1S-A1 | 2.08 % (b) | 11/25/2031 | 7787815 |
| 190914 | Government National Mortgage Association, Series 2016-136-UD | 3.00% | 04/20/2045 | 189082 |
| 3150 | Government National Mortgage Association, Series 2017-4-NC | 3.00% | 10/20/2045 | 3140 |
|  **Total US Government and Agency Mortgage Backed Obligations** (Cost $124,583,689) | **Total US Government and Agency Mortgage Backed Obligations** (Cost $124,583,689) | **Total US Government and Agency Mortgage Backed Obligations** (Cost $124,583,689) | **Total US Government and Agency Mortgage Backed Obligations** (Cost $124,583,689) | 108830065 |
|  **US Government and Agency Obligations - 19.2%** | **US Government and Agency Obligations - 19.2%** | **US Government and Agency Obligations - 19.2%** | **US Government and Agency Obligations - 19.2%** | **US Government and Agency Obligations - 19.2%** |
| 119800000 | United States Treasury Notes | 2.50 % (j) | 05/31/2024 | 116248117 |
| 78200000 | United States Treasury Notes | 3.00% | 06/30/2024 | 76336641 |
| 78500000 | United States Treasury Notes | 3.00 % (j) | 07/31/2024 | 76580430 |
| 48900000 | United States Treasury Notes | 3.25 % (j) | 08/31/2024 | 47885707 |
| 77300000 | United States Treasury Notes | 4.25 % (j) | 09/30/2024 | 76916519 |
| 67500000 | United States Treasury Notes | 4.38 % (j) | 10/31/2024 | 67312793 |
| 115800000 | United States Treasury Notes | 4.50% | 11/30/2024 | 115813571 |
| 59000000 | United States Treasury Notes | 3.13 % (j) | 08/15/2025 | 57289921 |
| 49300000 | United States Treasury Notes | 3.50 % (j) | 09/15/2025 | 48321703 |
| 48400000 | United States Treasury Notes | 4.25 % (j) | 10/15/2025 | 48369750 |
| 66900000 | United States Treasury Notes | 4.50 % (j) | 11/15/2025 | 67312899 |
|  **Total US Government and Agency Obligations** (Cost $804,029,483) | **Total US Government and Agency Obligations** (Cost $804,029,483) | **Total US Government and Agency Obligations** (Cost $804,029,483) | **Total US Government and Agency Obligations** (Cost $804,029,483) | 798388051 |
|  **Common Stocks - 0.0% (m)** | **Common Stocks - 0.0% (m)** | **Common Stocks - 0.0% (m)** | **Common Stocks - 0.0% (m)** | **Common Stocks - 0.0% (m)** |
| 58790 | Foresight Equity (f)(i) |  |  | 703130 |
|  **Total Common Stocks** (Cost $851,127) | **Total Common Stocks** (Cost $851,127) | **Total Common Stocks** (Cost $851,127) | **Total Common Stocks** (Cost $851,127) | 703130 |
|  **Warrants - 0.0% (m)** | **Warrants - 0.0% (m)** | **Warrants - 0.0% (m)** | **Warrants - 0.0% (m)** | **Warrants - 0.0% (m)** |
| 29232 | OAS S.A., Expiration 5/16/2039, Strike Price BRL 1.00 (f)(i) |  |  |  |
|  **Total Warrants** (Cost $–) | **Total Warrants** (Cost $–) | **Total Warrants** (Cost $–) | **Total Warrants** (Cost $–) |  |
|  **Short Term Investments - 4.3%** | **Short Term Investments - 4.3%** | **Short Term Investments - 4.3%** | **Short Term Investments - 4.3%** | **Short Term Investments - 4.3%** |
| 23601554 | First American Government Obligations Fund - Class U | 4.10 % (k) |  | 23601554 |
| 23601554 | JP Morgan U.S. Government Money Market Fund - Institutional Share Class | 4.11 % (k) |  | 23601554 |
| 3832316 | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | 4.11 % (k) |  | 3832316 |
| 49000000 | United States Treasury Bills | 0.00 % (j) | 03/23/2023 | 48544471 |
| 80500000 | United States Treasury Bills | 0.00% | 08/10/2023 | 78331163 |
|  **Total Short Term Investments** (Cost $177,904,792) | **Total Short Term Investments** (Cost $177,904,792) | **Total Short Term Investments** (Cost $177,904,792) | **Total Short Term Investments** (Cost $177,904,792) | 177911058 |
|  **Total Investments - 109.6%** (Cost $4,937,676,153) | **Total Investments - 109.6%** (Cost $4,937,676,153) | **Total Investments - 109.6%** (Cost $4,937,676,153) | **Total Investments - 109.6%** (Cost $4,937,676,153) | 4554070383 |
| Liabilities in Excess of Other Assets - (9.6)% | Liabilities in Excess of Other Assets - (9.6)% | Liabilities in Excess of Other Assets - (9.6)% | Liabilities in Excess of Other Assets - (9.6)% | (399278701) |
|  **NET ASSETS - 100.0%** | **NET ASSETS - 100.0%** | **NET ASSETS - 100.0%** | **NET ASSETS - 100.0%** | $**4154791682** |

---

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold
in transactions exempt from registration to qualified institutional buyers.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the
weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Coupon rate is variable or floats based on components including but not limited to reference rate and spread.
These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of period end.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Security is in default or has failed to make a scheduled payment. Income is not being accrued.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) Perpetual maturity. The date disclosed is the next call date of the security.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Value determined using significant unobservable inputs.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) Interest only security

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates.
Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) Non-income producing security

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) All or a portion of this security has been pledged as collateral

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(k) Seven-day yield as of period end

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(l) Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate
in effect as of period end

BRL Brazilian Real

PIK A payment-in-kind security in which the issuer may make interest or dividend payments in cash or additional securities. These additional securities generally have the same terms as the original holdings.

------

**<u>SECURITY TYPE BREAKDOWN as a % of Net Assets:</u>**

---

| | |
|:---|:---|
|  Collateralized Loan Obligations | 23.4% |
|  US Government and Agency Obligations | 19.2% |
|  Non-Agency Residential Collateralized Mortgage Obligations | 15.0% |
|  Non-Agency Commercial Mortgage Backed Obligations | 13.8% |
|  Bank Loans | 8.3% |
|  Asset Backed Obligations | 7.9% |
|  Foreign Corporate Bonds | 7.8% |
|  US Corporate Bonds | 6.8% |
|  Short Term Investments | 4.3% |
|  US Government and Agency Mortgage Backed Obligations | 2.6% |
|  Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | 0.5% |
|  Common Stocks | 0.0% (m) |
|  Warrants | 0.0% (m) |
|  Other Assets and Liabilities | (9.6)% |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100.0% |

---

------

**<u>INVESTMENT BREAKDOWN as a % of Net Assets:</u>**

---

| | |
|:---|:---|
|  Collateralized Loan Obligations | 23.4% |
|  US Government and Agency Obligations | 19.2% |
|  Non-Agency Residential Collateralized Mortgage Obligations | 15.0% |
|  Non-Agency Commercial Mortgage Backed Obligations | 13.8% |
|  Asset Backed Obligations | 7.9% |
|  Banking | 5.3% |
|  Short Term Investments | 4.3% |
|  US Government and Agency Mortgage Backed Obligations | 2.6% |
|  Utilities | 2.1% |
|  Healthcare | 1.6% |
|  Business Equipment and Services | 1.2% |
|  Pharmaceuticals | 1.1% |
|  Electronics/Electric | 1.0% |
|  Energy | 0.9% |
|  Media | 0.9% |
|  Food Service | 0.8% |
|  Transportation | 0.8% |
|  Technology | 0.6% |
|  Retailers (other than Food/Drug) | 0.6% |
|  Hotels/Motels/Inns and Casinos | 0.6% |
|  Telecommunications | 0.6% |
|  Containers and Glass Products | 0.5% |
|  Chemicals/Plastics | 0.5% |
|  Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | 0.5% |
|  Automotive | 0.4% |
|  Aerospace & Defense | 0.4% |
|  Food Products | 0.4% |
|  Insurance | 0.3% |
|  Leisure | 0.3% |
|  Building and Development (including Steel/Metals) | 0.3% |
|  Finance | 0.3% |
|  Chemical Products | 0.3% |
|  Mining | 0.2% |
|  Environmental Control | 0.2% |
|  Real Estate | 0.2% |
|  Financial Intermediaries | 0.2% |
|  Commercial Services | 0.1% |
|  Beverage and Tobacco | 0.1% |
|  Construction | 0.1% |
|  Diversified Manufacturing | 0.0% (m) |
|  Food/Drug Retailers | 0.0% (m) |
|  Industrial Equipment | 0.0% (m) |
|  Consumer Products | 0.0% (m) |
|  Other Assets and Liabilities | (9.6)% |
|  | 100.0% |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(m) Represents less than 0.05% of net assets

------

**SWAP AGREEMENTS** 

**EXCESS RETURN SWAPS** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counterparty** | **Long/Short** | **Financing<br>Rate** | **Payment<br>Frequency** | **Termination<br>Date** | **Notional<br>Amount** | **Unrealized<br>Appreciation<br>(Depreciation) /<br>Value** |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Barclays Capital, Inc. | Long | 0.40% | Termination | 12/07/2023 | 100000000 | $2503171 |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | BNP Paribas | Long | 0.39% | Termination | 11/29/2023 | 100000000 | 2444509 |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | BNP Paribas | Long | 0.39% | Termination | 01/31/2024 | 65000000 | 1164821 |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Bank of America<br>Merrill Lynch | Long | 0.38% | Termination | 01/23/2024 | 70000000 | 427378 |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Canadian Imperial<br>Bank of Commerce | Long | 0.40% | Termination | 01/16/2024 | 75000000 | 344826 |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Canadian Imperial<br>Bank of Commerce | Long | 0.40% | Termination | 01/04/2024 | 50000000 | 143204 |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Bank of America<br>Merrill Lynch | Long | 0.38% | Termination | 08/01/2023 | 85000000 | 44316 |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Canadian Imperial<br>Bank of Commerce | Long | 0.40% | Termination | 02/06/2024 | 50000000 | (548) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Barclays Capital, Inc. | Long | 0.40% | Termination | 08/17/2023 | 60000000 | (516676) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Barclays Capital, Inc. | Long | 0.40% | Termination | 11/16/2023 | 60000000 | (584998) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | BNP Paribas | Long | 0.39% | Termination | 01/10/2024 | 70000000 | (824139) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Barclays Capital, Inc. | Long | 0.40% | Termination | 07/27/2023 | 85000000 | (1024945) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Bank of America<br>Merrill Lynch | Long | 0.38% | Termination | 11/21/2023 | 100000000 | (1533725) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | BNP Paribas | Long | 0.39% | Termination | 08/09/2023 | 85000000 | (1949108) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Bank of America<br>Merrill Lynch | Long | 0.38% | Termination | 11/14/2023 | 90000000 | (2639797) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Bank of America<br>Merrill Lynch | Long | 0.38% | Termination | 12/12/2023 | 50000000 | (2872712) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Barclays Capital, Inc. | Long | 0.40% | Termination | 06/15/2023 | 80000000 | (3531880) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | BNP Paribas | Long | 0.39% | Termination | 08/16/2023 | 60000000 | (3580908) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | BNP Paribas | Long | 0.39% | Termination | 12/20/2023 | 90000000 | (4384376) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Canadian Imperial<br>Bank of Commerce | Long | 0.40% | Termination | 12/21/2023 | 80000000 | (4575680) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Barclays Capital, Inc. | Long | 0.40% | Termination | 10/26/2023 | 65000000 | (4628030) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Bank of America<br>Merrill Lynch | Long | 0.38% | Termination | 10/10/2023 | 85000000 | (5026075) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | BNP Paribas | Long | 0.39% | Termination | 12/27/2023 | 100000000 | (5138181) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | BNP Paribas | Long | 0.39% | Termination | 10/18/2023 | 75000000 | (5194513) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Barclays Capital, Inc. | Long | 0.40% | Termination | 11/09/2023 | 100000000 | (5656283) |

---

------

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counterparty** | **Long/Short** | **Financing<br>Rate** | **Payment<br>Frequency** | **Termination<br>Date** | **Notional<br>Amount** | **Unrealized<br>Appreciation<br>(Depreciation) /<br>Value** |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Bank of America<br>Merrill Lynch | Long | 0.38% | Termination | 11/07/2023 | 85000000 | $(5668795) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Canadian Imperial<br>Bank of Commerce | Long | 0.40% | Termination | 10/24/2023 | 70000000 | (6023751) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | BNP Paribas | Long | 0.39% | Termination | 07/19/2023 | 70000000 | (6327531) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Bank of America<br>Merrill Lynch | Long | 0.38% | Termination | 08/22/2023 | 60000000 | (6531127) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Barclays Capital, Inc. | Long | 0.40% | Termination | 06/01/2023 | 60000000 | (7065516) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Barclays Capital, Inc. | Long | 0.40% | Termination | 07/06/2023 | 100000000 | (7840960) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Barclays Capital, Inc. | Long | 0.40% | Termination | 09/28/2023 | 75000000 | (7941521) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Bank of America<br>Merrill Lynch | Long | 0.38% | Termination | 07/25/2023 | 90000000 | (8919498) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Barclays Capital, Inc. | Long | 0.40% | Termination | 08/31/2023 | 100000000 | (9101442) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | BNP Paribas | Long | 0.39% | Termination | 10/04/2023 | 85000000 | (9257332) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Canadian Imperial<br>Bank of Commerce | Long | 0.40% | Termination | 07/11/2023 | 95000000 | (9440701) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Barclays Capital, Inc. | Long | 0.40% | Termination | 09/14/2023 | 80000000 | (9969505) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | BNP Paribas | Long | 0.39% | Termination | 09/20/2023 | 80000000 | (9992822) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Bank of America<br>Merrill Lynch | Long | 0.38% | Termination | 04/11/2023 | 75000000 | (10367121) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Barclays Capital, Inc. | Long | 0.40% | Termination | 06/08/2023 | 95000000 | (10614274) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Barclays Capital, Inc. | Long | 0.40% | Termination | 10/12/2023 | 90000000 | (10828422) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Bank of America<br>Merrill Lynch | Long | 0.38% | Termination | 06/06/2023 | 95000000 | (11711418) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Bank of America<br>Merrill Lynch | Long | 0.38% | Termination | 03/14/2023 | 75000000 | (11757762) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Bank of America<br>Merrill Lynch | Long | 0.38% | Termination | 05/30/2023 | 95000000 | (12858339) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | BNP Paribas | Long | 0.39% | Termination | 09/27/2023 | 95000000 | (13344111) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Canadian Imperial<br>Bank of Commerce | Long | 0.40% | Termination | 09/12/2023 | 95000000 | (13379239) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Canadian Imperial<br>Bank of Commerce | Long | 0.40% | Termination | 02/21/2023 | 100000000 | (13909147) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Canadian Imperial<br>Bank of Commerce | Long | 0.40% | Termination | 05/23/2023 | 90000000 | (14006856) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | BNP Paribas | Long | 0.39% | Termination | 05/24/2023 | 80000000 | (14373330) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | BNP Paribas | Long | 0.39% | Termination | 04/26/2023 | 80000000 | (14513027) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Bank of America<br>Merrill Lynch | Long | 0.38% | Termination | 02/28/2023 | 100000000 | (14760233) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Canadian Imperial<br>Bank of Commerce | Long | 0.40% | Termination | 01/26/2023 | 75000000 | (15263331) |

---

------

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counterparty** | **Long/Short** | **Financing<br>Rate** | **Payment<br>Frequency** | **Termination<br>Date** | **Notional<br>Amount** | **Unrealized<br>Appreciation<br>(Depreciation) /<br>Value** |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Canadian Imperial<br>Bank of Commerce | Long | 0.40% | Termination | 05/16/2023 | 95000000 | $(15308845) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Barclays Capital, Inc. | Long | 0.40% | Termination | 05/04/2023 | 90000000 | (15631643) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Canadian Imperial<br>Bank of Commerce | Long | 0.40% | Termination | 04/18/2023 | 100000000 | (16758135) |
|  Shiller Barclays CAPE<sup>®</sup> US Sector ER II USD Index<sup>(1)</sup> | Canadian Imperial<br>Bank of Commerce | Long | 0.40% | Termination | 01/10/2023 | 100000000 | (18186673) |
|  |  |  |  |  |  |  | $(398242756) |

---

*<sup>(1)</sup>* *Shiller Barclays CAPE<sup>®</sup> US Sector II ER USD Index aims to provide notional long exposure to the top four United States equity sectors that are relatively undervalued, as defined by a modified version of the classic CAPE<sup>®</sup> Ratio (the "Relative CAPE<sup>®</sup> Indicator") and that possess relatively strong price momentum over the prior twelve months. Each U.S. equity sector is represented by an index of equity securities of companies in the relevant sector. Information on the sector constituents as of December 31, 2022, is available on the Barclays Capital, Inc. website at https://indices.barclays/IM/12/en/indices/details.app;ticker=BXIICS2E.* 

------

Notes to Schedule of Investments

December 31, 2022 (Unaudited)

------

**1. Organization** 

DoubleLine Funds Trust, a Delaware statutory trust (the "Trust"), is an open-end investment management company registered under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust consists of 19 funds, DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund, DoubleLine Multi-Asset Growth Fund, DoubleLine Low Duration Bond Fund, DoubleLine Floating Rate Fund, DoubleLine Shiller Enhanced CAPE<sup>®</sup>, DoubleLine Flexible Income Fund, DoubleLine Low Duration Emerging Markets Fixed Income Fund, DoubleLine Selective Credit Fund, DoubleLine Long Duration Total Return Bond Fund, DoubleLine Strategic Commodity Fund, DoubleLine Global Bond Fund, DoubleLine Infrastructure Income Fund, DoubleLine Shiller Enhanced International CAPE<sup>®</sup>, DoubleLine Real Estate and Income Fund (formerly known as DoubleLine Colony Real Estate and Income Fund), DoubleLine Emerging Markets Local Currency Bond Fund, DoubleLine Income Fund and DoubleLine Multi-Asset Trend Fund (each, a "Fund" and, collectively, the "Funds").

Each Fund is classified as a diversified fund under the 1940 Act, except the DoubleLine Global Bond Fund, the DoubleLine Emerging Markets Local Currency Bond Fund, which are classified as non-diversified funds. Currently under the 1940 Act, a diversified fund generally may not, with respect to 75% of its total assets, invest more than 5% of its total assets in the securities of any one issuer or own more than 10% of the outstanding voting securities of such issuer (except, in each case, U.S. Government securities, cash, cash items and the securities of other investment companies). The remaining 25% of a fund's total assets is not subject to this limitation.

The Funds' investment objectives and dates each share class commenced operations are as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | | **Commencement of Operations** | **Commencement of Operations** | **Commencement of Operations** | **Commencement of Operations** |
| <br>**Fund Name** | <br>**Investment Objective** | **I Shares** | **N Shares** | **A Shares** | **R6 Shares** |
|  DoubleLine Total Return Bond Fund | Maximize total return | 4/6/2010 | 4/6/2010 |  | 7/31/2019 |
|  DoubleLine Core Fixed Income Fund | Maximize current income and total return | 6/1/2010 | 6/1/2010 |  | 7/31/2019 |
|  DoubleLine Emerging Markets Fixed Income Fund | Seek high total return from current income and capital appreciation | 4/6/2010 | 4/6/2010 |  |  |
|  DoubleLine Multi-Asset Growth Fund (Consolidated) | Seek long-term capital appreciation | 12/20/2010 |  | 12/20/2010 |  |
|  DoubleLine Low Duration Bond Fund | Seek current income | 9/30/2011 | 9/30/2011 |  | 7/31/2019 |
|  DoubleLine Floating Rate Fund | Seek a high level of current income | 2/1/2013 | 2/1/2013 |  |  |
|  DoubleLine Shiller Enhanced CAPE<sup>®</sup> | Seek total return which exceeds the total<br>return of its benchmark index | 10/31/2013 | 10/31/2013 |  | 7/31/2019 |
|  DoubleLine Flexible Income Fund | Seek long-term total return while striving to generate current income | 4/7/2014 | 4/7/2014 |  | 7/31/2019 |
|  DoubleLine Low Duration Emerging Markets Fixed Income Fund | Seek long-term total return | 4/7/2014 | 4/7/2014 |  |  |
|  DoubleLine Long Duration Total Return Bond Fund | Seek long-term total return | 12/15/2014 | 12/15/2014 |  |  |
|  DoubleLine Strategic Commodity Fund (Consolidated) | Seek long-term total return | 5/18/2015 | 5/18/2015 |  |  |
|  DoubleLine Global Bond Fund | Seek long-term total return | 12/17/2015 | 12/17/2015 |  |  |
|  DoubleLine Infrastructure Income Fund | Seek long-term total return while striving to generate current income | 4/1/2016 | 4/1/2016 |  |  |
|  DoubleLine Shiller Enhanced International CAPE<sup>®</sup> | Seek total return which exceeds the total<br>return of its benchmark index over a full<br>market cycle | 12/23/2016 | 12/23/2016 |  |  |
|  DoubleLine Real Estate and Income Fund | Seek total return which exceeds the total<br>return of its benchmark index over a full<br>market cycle | 12/17/2018 | 12/17/2018 |  |  |
|  DoubleLine Emerging Markets Local Currency Bond Fund | Seek high total return from current income and capital appreciation | 6/28/2019 | 6/28/2019 |  |  |
|  DoubleLine Income Fund | Maximize total return through investment<br>principally in income-producing securities | 9/3/2019 | 9/3/2019 |  |  |
|  DoubleLine Multi-Asset Trend Fund (Consolidated) | Seek total return (capital appreciation and<br>current income) which exceeds the total<br>return of its benchmark index over a full<br>market cycle | 2/26/2021 | 2/26/2021 |  |  |

---

------

**2. Significant Accounting Policies** 

Each Fund is an investment company that applies the accounting and reporting guidance issued in Topic 946, "Financial Services—Investment Companies", by the Financial Accounting Standards Board ("FASB"). The following is a summary of the significant accounting policies of the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America ("US GAAP").

**A. Security Valuation.** The Funds have adopted US GAAP fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:

• Level 1—Unadjusted quoted market prices in active markets for identical securities

• Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from
observable market data

• Level 3—Significant unobservable inputs (including the reporting entity's estimates and assumptions)

Market values for domestic and foreign fixed income securities are normally determined on the basis of valuations provided by independent pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities in which the Funds are authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that use similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable, the values generally would be categorized as Level 3. Assets and liabilities may be transferred between levels.

---

| | |
|:---|:---|
| Fixed-income class | Examples of Inputs |
| All | Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as "standard inputs") |
| Corporate bonds and notes; convertible securities | Standard inputs and underlying equity of the issuer |
| US bonds and notes of government and government agencies | Standard inputs |
| Residential and commercial mortgage-backed obligations; asset-backed obligations (including collateralized loan obligations) | Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information, trustee reports |
| Bank loans | Standard inputs |

---

Investments in registered open-end management investment companies will be valued based upon the net asset value ("NAV") of such investments and are categorized as Level 1 of the fair value hierarchy.

Common stocks, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts, that are traded on a national securities or commodities exchange, are typically valued at the last reported sales price, in the case of common stocks and exchange-traded funds, or, in the case of futures contracts or options contracts, the settlement price determined by the relevant exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

Over-the-counter financial derivative instruments, such as forward currency exchange contracts, options contracts, or swap agreements, derive their values from underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the basis of evaluations provided by independent pricing services or broker dealer quotations. Depending on the instrument and the terms of the transaction, the value of the derivative instruments can be estimated by a pricing service provider using a series of techniques, such as simulation pricing models. The pricing models use issuer details and other inputs that are observed from actively quoted markets such as indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are normally categorized as Level 2 of the fair value hierarchy.

The Board of Trustees (the "Board") has adopted a pricing and valuation policy for use by each Fund and its Valuation Designee (as defined below) in calculating each Fund's NAV. Pursuant to Rule 2a-5 under the 1940 Act, each Fund has designated its primary investment adviser, either DoubleLine Capital LP ("DoubleLine Capital") or DoubleLine Alternatives LP ("DoubleLine Alternatives") (each, an "Adviser" and, collectively, the "Advisers"), as applicable, as the "Valuation Designee" to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by a Valuation Designee in accordance with Rule 2a-5. Each Adviser, as Valuation Designee, is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

------

The following is a summary of the fair valuations according to the inputs used to value the Fund's investments as of December 31, 2022:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Category** | **DoubleLine<br>Total Return<br>Bond Fund** | **DoubleLine<br>Core Fixed<br>Income Fund** | **DoubleLine<br>Emerging<br>Markets Fixed<br>Income Fund** | **DoubleLine<br>Multi-Asset<br>Growth Fund<br>(Consolidated)** | **DoubleLine<br>Low Duration<br>Bond Fund** | **DoubleLine<br>Floating<br>Rate Fund** |
|  **Investments in Securities** |  |  |  |  |  |  |
|  Level 1 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Short Term Investments | $116605968 | $48512955 | $18125987 | $3318807 | $24544755 | $19740772 |
| &nbsp;&nbsp;&nbsp;&nbsp; Affiliated Mutual Funds |  | 448502550 |  | 3881405 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  | 1424793 | 1617312 |  | 632264 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Warrants |  | 11266 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Exchange Traded Funds |  |  |  | 2319023 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Real Estate Investment Trusts |  |  |  | 649550 |  |  |
|  Total Level 1 | 116605969 | 498451564 | 19743299 | 10168785 | 25177019 | 19740772 |
|  Level 2 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; US Government and Agency Mortgage Backed Obligations | 14458512397 | 1218752542 |  | 1674455 | 137509506 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Residential Collateralized Mortgage Obligations | 9039586085 | 886366196 |  | 4372872 | 830325251 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage Backed Obligations | 2979940584 | 464106102 |  |  | 845079852 | 1362534 |
| &nbsp;&nbsp;&nbsp;&nbsp; US Government and Agency Obligations | 2654009112 | 1371292346 |  |  | 1166025790 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations | 1529938005 | 286330803 |  |  | 337032966 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateralized Loan Obligations | 1222234925 | 324625697 |  |  | 1012764366 | 3057119 |
| &nbsp;&nbsp;&nbsp;&nbsp; US Corporate Bonds |  | 1084153669 |  |  | 342675076 | 9775560 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Corporate Bonds |  | 456561144 | 377302033 |  | 598993442 | 612227 |
| &nbsp;&nbsp;&nbsp;&nbsp; Bank Loans |  | 276765038 |  |  | 313871021 | 218910535 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |  | 120102505 | 165738428 |  | 53876644 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Short Term Investments |  | 28150363 |  | 4602283 | 185365983 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds |  | 5555939 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Escrow Notes |  | 3187 |  |  |  |  |
|  Total Level 2 | 31884221108 | 6522765531 | 543040461 | 10649610 | 5823519897 | 233717975 |
|  Level 3 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Residential Collateralized Mortgage Obligations | 142980737 | 783811 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations | 57361634 | 6796039 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  | 1379265 |  |  |  | 739519 |
| &nbsp;&nbsp;&nbsp;&nbsp; Bank Loans |  | 491124 |  |  |  | 393283 |
| &nbsp;&nbsp;&nbsp;&nbsp; Rights |  | 22116 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Warrants |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Escrow Notes |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Corporate Bonds |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateralized Loan Obligations |  |  |  | 92090 |  |  |
|  Total Level 3 | 200342371 | 9472355 |  | 92090 |  | 1132802 |
|  Total | $32201169447 | $7030689450 | $562783760 | $20910485 | $5848696916 | $254591549 |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Category** | **DoubleLine<br>Total Return<br>Bond Fund** | **DoubleLine<br>Core Fixed<br>Income<br>Fund** | **DoubleLine<br>Emerging<br>Markets Fixed<br>Income Fund** | **DoubleLine<br>Multi-Asset<br>Growth Fund<br>(Consolidated)** | **DoubleLine<br>Low Duration<br>Bond Fund** | **DoubleLine<br>Floating<br>Rate Fund** |
|  **Other Financial Instruments** |  |  |  |  |  |  |
|  Level 1 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $(28266221) | $(3012145) | $— | $(142497) | $— | $— |
|  Total Level 1 | (28266221) | (3012145) |  | (142497) |  |  |
|  Level 2 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Excess Return Swaps |  |  |  | 187043 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unfunded Loan Commitments |  | (225330) |  |  |  | (216153) |
|  Total Level 2 |  | (225330) |  | 187043 |  | (216153) |
|  Level 3 |  |  |  |  |  |  |
|  Total | $(28266221) | $(3237475) | $— | $44546 | $— | $(216153) |
| **Category** | **DoubleLine<br>Shiller<br>Enhanced<br>CAPE<sup>®</sup>** | **DoubleLine<br>Flexible<br>Income<br>Fund** | **DoubleLine<br>Low Duration<br>Emerging<br>Markets Fixed<br>Income Fund** | **DoubleLine<br>Long<br>Duration<br>Total Return<br>Bond Fund** | **DoubleLine<br>Strategic<br>Commodity<br>Fund<br>(Consolidated)** | **DoubleLine<br>Global Bond<br>Fund** |
|  **Investments in Securities** |  |  |  |  |  |  |
|  Level 1 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Short Term Investments | $51035424 | $43231152 | $11533492 | $249067 | $6388725 | $4934506 |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  | 39410 | 150391 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Warrants |  | 1270 |  |  |  |  |
|  Total Level 1 | 51035424 | 43271832 | 11683883 | 249067 | 6388725 | 4934506 |
|  Level 2 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateralized Loan Obligations | 973389205 | 188005486 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; US Government and Agency Obligations | 798388051 | 44475586 |  | 10964836 |  | 43716741 |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Residential Collateralized Mortgage Obligations | 620981275 | 175041055 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage Backed Obligations | 569535021 | 124818905 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations | 327872413 | 40325949 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Bank Loans | 345656151 | 80782072 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Corporate Bonds | 324985725 | 67150251 | 200850119 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; US Corporate Bonds | 280017465 | 43896416 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; US Government and Agency Mortgage Backed Obligations | 108830065 | 76241250 |  | 32551388 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | 18673996 | 24785640 | 31982822 |  |  | 70269527 |
| &nbsp;&nbsp;&nbsp;&nbsp; Short Term Investments | 126875634 | 47063033 |  |  | 200044406 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Excrow Notes |  | 752 |  |  |  |  |
|  Total Level 2 | 4495205001 | 912586395 | 232832941 | 43516224 | 200044406 | 113986268 |
|  Level 3 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage Backed Obligations | 5206574 | 987716 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Residential Collateralized Mortgage Obligations | 1920254 | 7167239 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | 703130 | 304112 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations |  | 12496159 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Bank Loans |  | 107387 |  |  |  |  |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Category** | **DoubleLine<br>Shiller<br>Enhanced<br>CAPE<sup>®</sup>** | **DoubleLine<br>Flexible<br>Income<br>Fund** | **DoubleLine<br>Low<br>Duration<br>Emerging<br>Markets<br>Fixed<br>Income<br>Fund** | **DoubleLine<br>Long<br>Duration<br>Total<br>Return<br>Bond Fund** | **DoubleLine<br>Strategic<br>Commodity<br>Fund<br>(Consolidated)** | **DoubleLine<br>Global Bond<br>Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; Rights | $— | $5301 | $— | $— | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Corporate Bonds |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Warrants |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Escrow Notes |  |  |  |  |  |  |
|  Total Level 3 | 7829958 | 21067914 |  |  |  |  |
|  Total | $4554070383 | $976926141 | $244516824 | $43765291 | $206433131 | $118920774 |
|  **Other Financial Instruments** |  |  |  |  |  |  |
|  Level 1 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $— | $— | $— | $(126668) | $— | $— |
|  Total Level 1 |  |  |  | (126668) |  |  |
|  Level 2 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Excess Return Swaps | (398242756) |  |  |  | (1021857) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Exchange Contracts |  |  |  |  |  | (139760) |
| &nbsp;&nbsp;&nbsp;&nbsp; Unfunded Loan Commitments |  | (80056) |  |  |  |  |
|  Total Level 2 | (398242756) | (80056) |  |  | (1021857) | (139760) |
|  Level 3 |  |  |  |  |  |  |
|  Total | $(398242756) | $(80056) | $— | $(126668) | $(1021857) | $(139760) |
| **Category** | **DoubleLine<br>Infrastructure<br>Income Fund** | **DoubleLine<br>Shiller<br>Enhanced<br>International<br>CAPE<sup>®</sup>** | **Doubleline<br>Real Estate<br>and Income<br>Fund** | **Doubleline<br>Emerging<br>Markets<br>Local<br>Currency<br>Bond Fund** | **Doubleline<br>Income Fund** | **DoubleLine<br>Multi-Asset<br>Trend Fund<br>(Consolidated)** |
|  **Investments in Securities** |  |  |  |  |  |  |
|  Level 1 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Short Term Investments | $12198729 | $4048938 | $1705032 | $668110 | $6676975 | $265518 |
| &nbsp;&nbsp;&nbsp;&nbsp; Affiliated Mutual Funds |  | 3887539 |  |  |  | 9699012 |
|  Total Level 1 | 12198729 | 7936477 | 1705032 | 668110 | 6676975 | 9964530 |
|  Level 2 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations | 158701696 | 2477234 |  |  | 1090630 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; US Corporate Bonds | 144623257 | 3501088 | 2573029 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Corporate Bonds | 53279187 | 3147643 | 524972 | 1215732 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateralized Loan Obligations |  | 8706412 | 1448904 |  | 10529910 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Short Term Investments |  | 6865377 | 2029128 |  |  | 2515679 |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Residential Collateralized Mortgage Obligations |  | 6787634 |  |  | 10814693 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; US Government and Agency Obligations |  | 6715565 | 1595988 |  | 2637344 | 2270678 |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage Backed Obligations |  | 5496313 | 1615962 |  | 10163543 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; US Government and Agency Mortgage Backed Obligations |  | 1165168 |  |  | 2596797 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |  | 167586 |  | 7047156 |  |  |
|  Total Level 2 | 356604140 | 45030020 | 9787983 | 8262888 | 37832917 | 4786357 |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Category** | **DoubleLine<br>Infrastructure<br>Income Fund** | **DoubleLine<br>Shiller<br>Enhanced<br>International<br>CAPE<sup>®</sup>** | **Doubleline<br>Real Estate<br>and<br>Income<br>Fund** | **Doubleline<br>Emerging<br>Markets<br>Local<br>Currency<br>Bond<br>Fund** | **Doubleline<br>Income<br>Fund** | **DoubleLine<br>Multi-Asset<br>Trend Fund<br>(Consolidated)** |
|  Level 3 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Corporate Bonds | $2064521 | $— | $— | $— | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations |  |  |  |  | 5247789 |  |
|  Total Level 3 | 2064521 |  |  |  | 5247789 |  |
|  Total | $370867390 | $52966497 | $11493015 | $8930998 | $49757681 | $14750887 |
|  **Other Financial Instruments** |  |  |  |  |  |  |
|  Level 1 | $— | $— | $— | $— | $— | $— |
|  Level 2 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Excess Return Swaps |  | (1991065) | (1805133) |  |  | (1065319) |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Exchange Contracts |  | (1928862) |  |  |  |  |
|  Total Level 2 |  | (3919927) | (1805133) |  |  |  |
|  Level 3 |  |  |  |  |  |  |
|  Total | $— | $(3919927) | $(1805133) | $— | $— | $(1065319) |

---

*See the Schedules of Investments for further disaggregation of investment categories.* 

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **DoubleLine**<br> **Flexible**<br> **Income**<br> **Fund** | **Fair Value<br>as of<br>3/31/2022** | **Net<br>Realized<br>Gain<br>(Loss)** | **Net Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<sup>(c)</sup>** | **Net Accretion<br>(Amortization)** | **Purchases<sup>(a)</sup>** | **Sales<sup>(b)</sup>** | **Transfers<br>Into<br>Level 3<sup>(d)</sup>** | **Transfers <br>Out of<br>Level 3<sup>(d)</sup>** | **Fair Value<br>as of<br>12/31/2022** | **Net Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>on securities<br>held at<br>12/31/2022<sup>(c)</sup>** |
|  **Investments in Securities** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations | $18148394 | $(404145) | $(4322802) | $— | $806374 | $(1731662) | $— | $— | $12496159 | $(4202443) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Residential Collateralized Mortgage Obligations | 8647146 | 104644 | (550093) | 92976 |  | (1127434) |  |  | 7167239 | (477814) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage Backed Obligations | 1134911 | 2554 | (67801) | 6622 |  | (88570) |  |  | 987716 | (81594) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | 502597 | (2247) | (244498) |  | 54043 | (5783) |  |  | 304112 | (207675) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank Loans | 108383 | 334 | (3603) | 3269 |  | (996) |  |  | 107387 | (3250) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rights |  |  | 5301 |  |  |  |  |  | 5301 | 5301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Loan Obligations | 73653 |  | (18385) | 841 | 11955 |  |  | (68064) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warrants | 1287 |  | (17) |  |  |  |  | (1270) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Escrow Notes |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Corporate Bonds |  |  |  |  |  |  |  |  |  |  |
|  **Total** | $28616371 | $(298860) | $(5201898) | $103708 | $872372 | $(2954445) | $— | $(69334) | $21067914 | $(4972793) |

---

------

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **DoubleLine<br>Income Fund** | **Fair Value<br>as of<br>3/31/2022** | **Net<br>Realized<br>Gain<br>(Loss)** | **Net Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<sup>(c)</sup>** | **Net Accretion<br>(Amortization)** | **Purchases<sup>(a)</sup>** | **Sales<sup>(b)</sup>** | **Transfers<br>Into<br>Level 3<sup>(d)</sup>** | **Transfers<br>Out of<br>Level 3<sup>(d)</sup>** | **Fair<br>Value as<br>of<br>12/31/2022** | **Net Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>on securities<br>held at<br>12/31/2022<sup>(c)</sup>** |
|  **Investments in Securities** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations | $7811068 | $(131791) | $(2084252) | $(819) | $307518 | $(653935) | $— | $— | $5247789 | $(2003287) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage Backed Obligations | 1157833 | (97758) | 149266 | 5659 |  | (1215000) |  |  |  |  |
|  **Total** | $8968901 | $(229549) | $(1934986) | $4840 | $307518 | $(1868935) | $— | $— | $5247789 | $(2003287) |

---

*<sup>(a)</sup>* *Purchases include all purchases of securities, payups and corporate actions.* 

*<sup>(b)</sup>* *Sales include all sales of securities, maturities, and paydowns.* 

*<sup>(c)</sup>* *Any difference between Net Change in Unrealized Appreciation (Depreciation) and Net Change in Unrealized Appreciation (Depreciation) on securities held at December 31, 2022 may be due to a security that was not held or categorized as Level 3 at either period end.* 

*<sup>(a)</sup>* *Transfers into or out of Level 3 can be attributed to changes in the availability of pricing sources and/or in the observability of significant inputs used to measure the fair value of those instruments.* 

The following is a summary of quantitative information about Level 3 Fair Value Measurements:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DoubleLine Flexible Income<br>Fund** | **Fair<br>Value as<br>of<br>12/31/2022** | **Valuation<br>Techniques** | **Unobservable<br>Input** | **Unobservable Input Values<br>(Weighted Average)<sup>(e)</sup>** | **Impact to valuation from an<br>increase to input** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations | $12496159 | Market Comparables | Market Quotes | $45.42 - $84.55 ($61.34) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Residential Collateralized Mortgage Obligations | $7167239 | Market Comparables | Market Quotes | $91.47 ($91.47) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage Backed Obligations | $987716 | Market Comparables | Market Quotes | $75.63 ($75.63) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $304112 | Market Comparables | Market Quotes | $0.02 - $24.00 ($15.54) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank Loans | $107387 | Market Comparables | Market Quotes | $100.00 ($100.00) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rights | $5301 | Intrinsic Value | Asset Sale Proceeds | $6.75 - $7.50 ($7.14) | Significant changes in asset sale proceeds would have resulted in direct changes in fair value of the security |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warrants | $— | Intrinsic Value | Underlying Equity Price | $0.00 ($0.00) | Significant changes in the Underlying Equity Price would have resulted in direct changes in the fair value of the security |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Escrow Notes | $— | Income Approach | Expected Value | $0.00 ($0.00) | Significant changes in the expected value would have resulted in direct changes in the fair value of the security |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Corporate Bonds | $— | Market Comparables | EBITDA Multiples | $0.00 ($0.00) | Significant changes in the EBITDA multiple would have resulted in direct changes in the fair value of the security |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DoubleLine Income Fund** | **Fair<br>Value as<br>of<br>12/30/2022** | **Valuation<br>Techniques** | **Unobservable<br>Input** | **Unobservable Input Values<br>(Weighted Average)<sup>(e)</sup>** | **Impact to valuation from an<br>increase to input** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations | $5247789 | Market Comparables | Market Quotes | $32.33 - $5.533.79 ($1,241.25) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |

---

*<sup>(e)</sup>* *Unobservable inputs were weighted by the relative fair value of the instruments.*

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** DoubleLine Funds Trust

- **b. Investment Company Act file number:** 811-22378

- **c. CIK number of Registrant:** 0001480207

- **d. LEI of Registrant:** 549300MUFFXFRMY0RH66

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

  - **Street Address 1:** 2002 North Tampa Street

  - **City:** Tampa

  - **State:** FL

  - **Foreign country:** US

  - **Zip / Postal Code:** 33602

  - **Telephone number:** 813-791-7333

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

- **a. Name of Series:** Doubleline Shiller Enhanced CAPE

- **b. EDGAR series identifier (if any):** S000042768

- **c. LEI of Series:** 549300Q3NIRL0AH36G21

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

- **a. Date of fiscal year-end:** 2023-03-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $4628554594.50

**Total Liabilities:** $456862782.19

**Net Assets:** $4171691812.31

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3656.000000000000 | **1-Year:** 209942.000000000000 | **5-Year:** 514984.000000000000 | **10-Year:** 41045.000000000000 | **30-Year:** 0.000000000000

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

- **3-Month:** 1565.000000000000 | **1-Year:** 71045.000000000000 | **5-Year:** 141570.000000000000 | **10-Year:** 27579.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000132287 | 6.09%                | 6.87%                | -7.55%               |
| Class ID C000132288 | 6.08%                | 6.85%                | -7.57%               |
| Class ID C000213587 | 6.18%                | 6.85%                | -7.62%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-27966294.49            | $-28947375.15                              |
| Month 2  | $-43392982.14            | $65070836.63                               |
| Month 3  | $-39002432.62            | $38583476.07                               |

**Designated Index Information**

- **Index Name:** Shiller Barclays CAPE US Sector TR USD Index

- **Index Identifier:** BXIICSTU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Affirm Inc                       | Affirm Asset Securitization Trust 2021-B                                       | CUSIP: 00834DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5692441.80   | 0.14%             | 2026-08-17      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust         | Ajax Mortgage Loan Trust 2021-C                                                | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5054700 | PA      | $4705859.97   | 0.11%             | 2061-01-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust    | Alen 2021-ACEN Mortgage Trust                                                  | CUSIP: 01449NAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1794026.00   | 0.04%             | 2034-04-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LL   | Aligned Data Centers Issuer LLC                                                | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5136828.00   | 0.12%             | 2046-08-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                  | AREIT 2019-CRE3 Trust                                                          | CUSIP: 00217LAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12000000 | PA      | $11403360.00  | 0.27%             | 2036-09-14      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                  | AREIT 2019-CRE3 Trust                                                          | CUSIP: 00217LAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1251000 | PA      | $1164969.98   | 0.03%             | 2036-09-14      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                  | Allegro CLO VII Ltd                                                            | CUSIP: 01750CAA1<br>LEI: 635400EBXLHIKFL2MP73 | Long             | ABS-CBDO         | CORP              | US        |  12250000 | PA      | $12061369.60  | 0.29%             | 2031-06-13      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                  | Allegro CLO X Ltd                                                              | CUSIP: 01750FAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12000000 | PA      | $11743336.80  | 0.28%             | 2032-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                       | AbbVie Inc                                                                     | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   2340000 | PA      | $2240267.70   | 0.05%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.             | ACE Securities Corp Home Equity Loan Trust Series 2006-CW1                     | CUSIP: 00441QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5134738 | PA      | $4131175.59   | 0.10%             | 2036-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-16CB                                               | CUSIP: 021460AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7952631 | PA      | $4758425.02   | 0.11%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-36T2                                               | CUSIP: 02146XAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5697656 | PA      | $2458076.02   | 0.06%             | 2036-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-32CB                                               | CUSIP: 02147XAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1525457 | PA      | $867165.57    | 0.02%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-34                                                 | CUSIP: 02148AAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2249085 | PA      | $1113314.04   | 0.03%             | 2046-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.             | ACE Securities Corp Home Equity Loan Trust Series 2007-WM1                     | CUSIP: 004424AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7301034 | PA      | $3201466.19   | 0.08%             | 2036-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                      | CUSIP: 00774MBB0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4655000 | PA      | $4283643.98   | 0.10%             | 2024-10-29      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2007-9T1                                                | CUSIP: 02150JAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11186339 | PA      | $5812594.04   | 0.14%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm   | American Home Mortgage Investment Trust 2004-2                                 | CUSIP: 02660TBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2412018 | PA      | $2136358.98   | 0.05%             | 2044-02-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust            | Arroyo Mortgage Trust 2019-3                                                   | CUSIP: 04285AAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4721492 | PA      | $4346727.68   | 0.10%             | 2048-10-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2015-R2 Trust                                          | CUSIP: 05990TBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2212026 | PA      | $1850762.17   | 0.04%             | 2036-03-27      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust         | Benchmark 2020-IG1 Mortgage Trust                                              | CUSIP: 08162LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 157695000 | PA      | $4172452.01   | 0.10%             | 2043-09-15      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt   | Benefit Street Partners CLO XXIV Ltd                                           | CUSIP: 08182NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14000000 | PA      | $13419989.80  | 0.32%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2021-B                                       | CUSIP: 00834DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4200000 | PA      | $3879841.14   | 0.09%             | 2026-08-17      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2007-8CB                                                | CUSIP: 02150FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4393308 | PA      | $2491380.93   | 0.06%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2007-12T1                                               | CUSIP: 02150LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10195557 | PA      | $5073376.21   | 0.12%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2007-12T1                                               | CUSIP: 02150LAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11364199 | PA      | $5654900.56   | 0.14%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2007-15CB                                               | CUSIP: 02151CAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301855 | PA      | $194174.40    | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                   | Amazon.com Inc                                                                 | CUSIP: 023135CN4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   4090000 | PA      | $4084525.25   | 0.10%             | 2025-12-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO              | American Express Co                                                            | CUSIP: 025816BT5<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    364000 | PA      | $364004.70    | 0.01%             | 2023-02-27      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO              | American Express Co                                                            | CUSIP: 025816CR8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   3310000 | PA      | $3308971.85   | 0.08%             | 2025-03-04      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO              | American Express Co                                                            | CUSIP: 025816CV9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    565000 | PA      | $553792.22    | 0.01%             | 2024-05-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD        | Anchorage Capital CLO 9 Ltd                                                    | CUSIP: 03328WAS7<br>LEI: 5493009A4SIPWYPZDB35 | Long             | ABS-CBDO         | CORP              | US        |  25000000 | PA      | $24563665.00  | 0.59%             | 2032-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD        | Anchorage Capital CLO 3-R Ltd                                                  | CUSIP: 03330AAA0<br>LEI: 549300V7DN3VJ8H1GE96 | Long             | ABS-CBDO         | CORP              | US        |   2206869 | PA      | $2183003.31   | 0.05%             | 2031-01-28      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust         | Angel Oak Mortgage Trust 2021-7                                                | CUSIP: 03464JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8192213 | PA      | $6699125.03   | 0.16%             | 2066-10-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust         | Angel Oak Mortgage Trust I LLC 2019-1                                          | CUSIP: 03464MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5811915.60   | 0.14%             | 2048-11-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust         | Angel Oak Mortgage Trust 2020-2                                                | CUSIP: 03464XAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2594902 | PA      | $2357650.67   | 0.06%             | 2065-01-26      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust         | Angel Oak Mortgage Trust 2020-6                                                | CUSIP: 03465AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    494926 | PA      | $415326.07    | 0.01%             | 2065-05-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo   | Arbor Realty Collateralized Loan Obligation 2020-FL1 Ltd                       | CUSIP: 03880WAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1919006.00   | 0.05%             | 2035-02-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo   | Arbor Realty Collateralized Loan Obligation 2020-FL1 Ltd                       | CUSIP: 03880WAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2830000 | PA      | $2624256.17   | 0.06%             | 2035-02-15      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec   | Arbor Multifamily Mortgage Securities Trust 2020-MF1                           | CUSIP: 03881BBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40902000 | PA      | $1247903.66   | 0.03%             | 2053-05-15      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO II Ltd         | Bridge Street CLO II Ltd                                                       | CUSIP: 10806JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10500000 | PA      | $10093211.10  | 0.24%             | 2034-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management              | CBAM 2017-2 Ltd                                                                | CUSIP: 12481KAS7<br>LEI: 254900JYLIAZT0YFW632 | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $19267602.00  | 0.46%             | 2034-07-17      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| arbor multifamily mortgage sec   | Arbor Multifamily Mortgage Securities Trust 2021-MF2                           | CUSIP: 03881VBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 112979938 | PA      | $7437040.01   | 0.18%             | 2054-06-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11               | BX Trust 2019-OC11                                                             | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9594000 | PA      | $7467975.36   | 0.18%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2021-VIEW                                                             | CUSIP: 05606GAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2915000 | PA      | $2657796.43   | 0.06%             | 2036-06-15      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX 2021-MFM1                                                                   | CUSIP: 05608VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5700000 | PA      | $5316018.36   | 0.13%             | 2034-01-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| BXHPP Trust                      | BXHPP Trust 2021-FILM                                                          | CUSIP: 05609JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1691531.43   | 0.04%             | 2036-08-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO DEL PER         | Banco de Credito del Peru S.A.                                                 | CUSIP: 05971U2D8<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |   5700000 | PA      | $5019699.07   | 0.12%             | 2031-09-30      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO DEL PER         | Banco de Credito del Peru S.A.                                                 | CUSIP: 05971V2C8<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |   3550000 | PA      | $3223079.83   | 0.08%             | 2030-07-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO DEL PER         | Banco de Credito del Peru S.A.                                                 | CUSIP: 05971V2D6<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |    200000 | PA      | $176129.79    | 0.00%             | 2031-09-30      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receiva   | Amur Equipment Finance Receivables IX LLC                                      | CUSIP: 03237KAE4<br>LEI: 549300INEWFFGID70G60 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3630642.80   | 0.09%             | 2027-11-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD        | Anchorage Capital CLO 19 Ltd                                                   | CUSIP: 03328JAA5<br>LEI: 549300ZNOS7Q8W8H3S38 | Long             | ABS-CBDO         | CORP              | US        |  23000000 | PA      | $22169028.40  | 0.53%             | 2034-10-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust     | CD 2017-CD4 Mortgage Trust                                                     | CUSIP: 12515DAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  53709121 | PA      | $2130216.53   | 0.05%             | 2050-05-10      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2007-14                                        | CUSIP: 12544DAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560048 | PA      | $327811.81    | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Rec   | Arivo Acceptance Auto Loan Receivables Trust 2021-1                            | CUSIP: 04047AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2089214 | PA      | $2019468.52   | 0.05%             | 2027-01-15      | Fixed         | 1.19%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust            | Arroyo Mortgage Trust 2019-2                                                   | CUSIP: 042858AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    642952 | PA      | $596751.44    | 0.01%             | 2049-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust            | Arroyo Mortgage Trust 2019-1                                                   | CUSIP: 042859AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1156073 | PA      | $1067218.58   | 0.03%             | 2049-01-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC                  | AstraZeneca PLC                                                                | CUSIP: 046353AR9<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |   4095000 | PA      | $4061146.88   | 0.10%             | 2023-08-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING            | Athene Global Funding                                                          | CUSIP: 04685A2X8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   6415000 | PA      | $6304431.00   | 0.15%             | 2024-05-24      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD       | Atlas Senior Loan Fund XI Ltd                                                  | CUSIP: 04941YAJ8<br>LEI: 635400RPGP64VI1SZW03 | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1886116.40   | 0.05%             | 2031-07-26      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20                  | CUSIP: 46642CBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6339000 | PA      | $5927191.30   | 0.14%             | 2047-07-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS4 Trust                                                     | CUSIP: 74923HAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1435346 | PA      | $1185361.32   | 0.03%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                | Atmos Energy Corp                                                              | CUSIP: 049560AU9<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1876235.13   | 0.04%             | 2023-03-09      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| AVERY DENNISON CORP              | Avery Dennison Corp                                                            | CUSIP: 053611AL3<br>LEI: 549300PW7VPFCYKLIV37 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1470555.32   | 0.04%             | 2024-08-15      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD         | Avolon Holdings Funding Ltd                                                    | CUSIP: 05401AAB7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | IE        |   1145000 | PA      | $1132490.60   | 0.03%             | 2023-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                     | BB-UBS Trust                                                                   | CUSIP: 05490AAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6884599 | PA      | $5206574.00   | 0.12%             | 2030-06-05      | Variable      | 3.56%                 | No            |                  3 | On Loan: No      |
| BANK OF AMERICA CORP             | Bank of America Corp                                                           | CUSIP: 06051GHE2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5660000 | PA      | $5657351.23   | 0.14%             | 2024-03-05      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP             | Bank of America Corp                                                           | CUSIP: 06051GJU4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2935000 | PA      | $2898761.17   | 0.07%             | 2025-04-22      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP             | Bank of America Corp                                                           | CUSIP: 06051GKT5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2386807.22   | 0.06%             | 2025-04-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                 | Bank of Montreal                                                               | CUSIP: 06368FAE9<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   4470000 | PA      | $4172784.60   | 0.10%             | 2025-01-10      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust     | RBSSP Resecuritization Trust 2009-2                                            | CUSIP: 74928EAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    646775 | PA      | $583628.84    | 0.01%             | 2035-04-26      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2007-S1 Trust                                                     | CUSIP: 749581AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4517365 | PA      | $3337631.85   | 0.08%             | 2037-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA              | Bank of Nova Scotia/The                                                        | CUSIP: 064159YM2<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   3260000 | PA      | $3158827.17   | 0.08%             | 2023-09-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                     | Barclays PLC                                                                   | CUSIP: 06738EBQ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   4500000 | PA      | $4285196.06   | 0.10%             | 2024-12-10      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                | Battalion CLO XI Ltd                                                           | CUSIP: 07132LAL3<br>LEI: 549300O0R7FIDPTPCK50 | Long             | ABS-CBDO         | CORP              | US        |  29500000 | PA      | $28595600.80  | 0.69%             | 2034-04-24      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                | Battalion CLO XX Ltd                                                           | CUSIP: 07134UAA5<br>LEI: 549300CDYR56PY734566 | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $9746421.00   | 0.23%             | 2034-07-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                          | BDS 2021-FL10 Ltd                                                              | CUSIP: 07335YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4615000 | PA      | $4407818.81   | 0.11%             | 2036-12-16      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re 2018-3 Ltd                                                       | CUSIP: 07877TAB7<br>LEI: 2549009SOTYJD2MZFC61 | Long             | ABS-MBS          | CORP              | US        |    162726 | PA      | $162608.80    | 0.00%             | 2028-10-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| RLGH Trust                       | RLGH Trust 2021-TROT                                                           | CUSIP: 74969CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3865000 | PA      | $3629512.51   | 0.09%             | 2036-04-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| RR Ltd                           | RR 14 Ltd                                                                      | CUSIP: 74980PAA1<br>LEI: 54930006FTQV76P0VH16 | Long             | ABS-CBDO         | CORP              | US        |  18875000 | PA      | $18455544.65  | 0.44%             | 2036-04-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd             | BlueMountain CLO XXXI Ltd                                                      | CUSIP: 09631BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $19441332.00  | 0.47%             | 2034-04-19      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                      | BNP Paribas SA                                                                 | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4330000 | PA      | $4288468.68   | 0.10%             | 2025-01-10      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| BOEING CO                        | Boeing Co/The                                                                  | CUSIP: 097023CS2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1680000 | PA      | $1677116.18   | 0.04%             | 2023-05-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| BOEING CO                        | Boeing Co/The                                                                  | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    425000 | PA      | $422128.19    | 0.01%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2021-B                                         | CUSIP: 10568JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18378322 | PA      | $17387232.81  | 0.42%             | 2069-04-01      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2021-NQM2                                      | CUSIP: 10569EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3473125 | PA      | $3270348.21   | 0.08%             | 2060-03-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2022-RPL1                                      | CUSIP: 10569XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9014689 | PA      | $7817416.63   | 0.19%             | 2061-09-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| BRIGHTHSE FIN GLBL FUND          | Brighthouse Financial Global Funding                                           | CUSIP: 10921U2D9<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |   1970000 | PA      | $1921729.31   | 0.05%             | 2023-06-28      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| BROADCOM CRP /  CAYMN FI         | Broadcom Corp / Broadcom Cayman Finance Ltd                                    | CUSIP: 11134LAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $85260.42     | 0.00%             | 2027-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                     | Broadcom Inc                                                                   | CUSIP: 11135FBB6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2221000 | PA      | $2106167.28   | 0.05%             | 2025-11-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities, LLC     | Business Jet Securities 2021-1 LLC                                             | CUSIP: 12327BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4036468 | PA      | $3543134.69   | 0.08%             | 2036-04-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2018-EXCL                                                             | CUSIP: 12433WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101539 | PA      | $98863.29     | 0.00%             | 2037-09-15      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2021-SDMF                                                             | CUSIP: 12434CAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1174706.50   | 0.03%             | 2034-09-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2021-RISE                                                             | CUSIP: 12434EAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7229000 | PA      | $6811373.44   | 0.16%             | 2036-11-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust     | CD 2017-CD6 Mortgage Trust                                                     | CUSIP: 125039AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2950000 | PA      | $2482253.61   | 0.06%             | 2050-11-13      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust     | CD 2017-CD3 Mortgage Trust                                                     | CUSIP: 12515GAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  45206521 | PA      | $1361846.43   | 0.03%             | 2050-02-10      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2015-R2 Trust                                          | CUSIP: 05990TAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10716788 | PA      | $8322878.66   | 0.20%             | 2036-09-29      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| CLNC 2019-FL1, Ltd               | CLNC 2019-FL1 Ltd                                                              | CUSIP: 12565DAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19958000 | PA      | $19015184.08  | 0.46%             | 2035-08-20      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A5                             | CUSIP: 12566WAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    669862 | PA      | $597346.54    | 0.01%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2013-CCRE12 Mortgage Trust                                                | CUSIP: 12591KAF2<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |  22166910 | PA      | $118324.75    | 0.00%             | 2046-10-10      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus   | CFCRE Commercial Mortgage Trust 2018-TAN                                       | CUSIP: 12528DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39410000 | PA      | $1844.39      | 0.00%             | 2033-02-15      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| CFIP CLO LTD                     | CFIP CLO 2017-1 Ltd                                                            | CUSIP: 12528JAN6<br>LEI: 635400N9HTJKJSK1AS88 | Long             | ABS-CBDO         | CORP              | US        |  10350000 | PA      | $10037620.44  | 0.24%             | 2034-10-18      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2014-CCRE19 Mortgage Trust                                                | CUSIP: 12592GBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233000 | PA      | $218852.61    | 0.01%             | 2047-08-10      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2015-LC21 Mortgage Trust                                                  | CUSIP: 12593FBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  42584957 | PA      | $542787.87    | 0.01%             | 2048-07-10      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus   | CFCRE Commercial Mortgage Trust 2016-C4                                        | CUSIP: 12531YAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19605930 | PA      | $774992.99    | 0.02%             | 2058-05-10      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus   | CFCRE Commercial Mortgage Trust 2017-C8                                        | CUSIP: 12532CBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16201000 | PA      | $544606.34    | 0.01%             | 2050-06-15      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2006-21                                        | CUSIP: 12543PAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1653345 | PA      | $815800.22    | 0.02%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2006-20                                        | CUSIP: 12544AAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10059977 | PA      | $4037438.80   | 0.10%             | 2037-02-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                 | CIFC Funding 2014-V Ltd                                                        | CUSIP: 12550AAX4<br>LEI: 549300Y56VCWZJQV2Z14 | Long             | ABS-CBDO         | CORP              | US        |   1800000 | PA      | $1741393.62   | 0.04%             | 2031-10-17      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                       | Cigna Corp                                                                     | CUSIP: 125523CN8<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1555000 | PA      | $1476222.58   | 0.04%             | 2024-03-15      | Fixed         | 0.61%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2015-LC21 Mortgage Trust                                                  | CUSIP: 12593FBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9657000 | PA      | $8955234.50   | 0.21%             | 2048-07-10      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2015-CCRE25 Mortgage Trust                                                | CUSIP: 12593PAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31291296 | PA      | $537959.96    | 0.01%             | 2048-08-10      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-NQM1                                                                 | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18609780 | PA      | $16051977.54  | 0.38%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC Series 2009-8R                                                            | CUSIP: 12641RDG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8654054 | PA      | $3732257.45   | 0.09%             | 2037-03-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2020-NET                                                                  | CUSIP: 126438AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6295000 | PA      | $5566531.27   | 0.13%             | 2037-08-15      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC Series 2011-12R                                                           | CUSIP: 12645VCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488655 | PA      | $465103.88    | 0.01%             | 2036-07-27      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2016-DC2 Mortgage Trust                                                   | CUSIP: 12594CBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13178498 | PA      | $297304.28    | 0.01%             | 2049-02-10      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2019-RP10 Trust                                                           | CUSIP: 12597FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  44347916 | PA      | $43788023.21  | 1.05%             | 2059-12-26      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS12 Trust                                                    | CUSIP: 751151AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545673 | PA      | $431017.28    | 0.01%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS9 Trust                                                     | CUSIP: 75116FBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    790502 | PA      | $633011.32    | 0.02%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2020-3 Mortgage Loan Trust                                                | CUSIP: 12597QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186693 | PA      | $175577.62    | 0.00%             | 2065-04-27      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2021-5 Mortgage Loan Trust                                                | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5947646 | PA      | $5036560.24   | 0.12%             | 2066-11-26      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC            | Republic Services Inc                                                          | CUSIP: 760759AU4<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |   4407000 | PA      | $4225908.88   | 0.10%             | 2024-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities C   | RASC Series 2004-KS7 Trust                                                     | CUSIP: 76110WB88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4655276 | PA      | $4305884.29   | 0.10%             | 2034-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2014-USA OA LLC                                                           | CUSIP: 12649AAE9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   9873828 | PA      | $112577.44    | 0.00%             | 2037-09-15      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2020-RPL3 Trust                                                           | CUSIP: 12656PAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5255905 | PA      | $5032471.40   | 0.12%             | 2060-03-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2006-A6                                 | CUSIP: 76113FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2103514 | PA      | $625016.07    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus   | Residential Mortgage Loan Trust 2019-2                                         | CUSIP: 76119DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5394000 | PA      | $4907849.57   | 0.12%             | 2059-05-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Rialto Real Estate Fund LP       | RIAL 2022-FL8 Issuer Ltd                                                       | CUSIP: 76243NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6900000 | PA      | $6737850.00   | 0.16%             | 2037-01-19      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                | NatWest Group PLC                                                              | CUSIP: 780097BH3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   4490000 | PA      | $4491729.68   | 0.11%             | 2024-06-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-JR1 Trust                                                            | CUSIP: 12657XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    513030 | PA      | $490155.40    | 0.01%             | 2066-09-27      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor   | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP                | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6273797 | PA      | $5816763.35   | 0.14%             | 2037-04-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA             | Royal Bank of Canada                                                           | CUSIP: 78016EZP5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   4315000 | PA      | $4191513.07   | 0.10%             | 2026-01-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC               | Royalty Pharma PLC                                                             | CUSIP: 78081BAG8<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | US        |   4520000 | PA      | $4380089.14   | 0.10%             | 2023-09-02      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu   | JPMBB Commercial Mortgage Securities Trust 2014-C18                            | CUSIP: 46641JAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4114674 | PA      | $18843.56     | 0.00%             | 2047-02-15      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust      | Legacy Mortgage Asset Trust 2021-GS1                                           | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2960797 | PA      | $2720129.99   | 0.07%             | 2066-10-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2013-CCRE10 Mortgage Trust                                                | CUSIP: 12626BAF1<br>LEI: 549300YJIXJB9DCDOI21 | Long             | ABS-MBS          | CORP              | US        |   5727996 | PA      | $10548.68     | 0.00%             | 2046-08-10      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus   | CSAIL 2015-C1 Commercial Mortgage Trust                                        | CUSIP: 126281BB9<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |  25875127 | PA      | $319728.59    | 0.01%             | 2050-04-15      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2015-DC1 Mortgage Trust                                                   | CUSIP: 12629NAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8261202 | PA      | $125655.36    | 0.00%             | 2048-02-10      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2015-DC1 Mortgage Trust                                                   | CUSIP: 12629NAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5373000 | PA      | $4632517.86   | 0.11%             | 2048-02-10      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S   | BBCMS 2019-BWAY Mortgage Trust                                                 | CUSIP: 05492NAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11001000 | PA      | $9112638.75   | 0.22%             | 2034-11-15      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch    | BAMLL Commercial Mortgage Securities Trust 2021-JACX                           | CUSIP: 05493LAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3100000 | PA      | $2834170.97   | 0.07%             | 2038-09-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust            | Lehman Mortgage Trust 2006-1                                                   | CUSIP: 52520MEZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192315 | PA      | $99838.27     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust Series 2007-15N                                                | CUSIP: 52524VAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9511804 | PA      | $7699742.41   | 0.18%             | 2047-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                 | BAT Capital Corp                                                               | CUSIP: 05526DBG9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | GB        |   1680000 | PA      | $1608644.12   | 0.04%             | 2024-09-06      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC             | BAT International Finance PLC                                                  | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   3020000 | PA      | $2679308.94   | 0.06%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust    | SFO Commercial Mortgage Trust 2021-555                                         | CUSIP: 78432WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1318815.60   | 0.03%             | 2038-05-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                 | SLG Office Trust 2021-OVA                                                      | CUSIP: 78449RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 168062650 | PA      | $2700531.50   | 0.06%             | 2041-07-15      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2014-CCRE17 Mortgage Trust                                                | CUSIP: 12631DBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2228828 | PA      | $19919.93     | 0.00%             | 2047-05-10      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2014-FL5 Mortgage Trust                                                   | CUSIP: 12635HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    433909 | PA      | $435915.02    | 0.01%             | 2031-10-15      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| SMR 2022-IND Mortgage Trust      | SMR 2022-IND Mortgage Trust                                                    | CUSIP: 78458MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16320871 | PA      | $15459879.64  | 0.37%             | 2039-02-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| SoFi Alternative Trust Consume   | Sofi Alternative Consumer Loan Program 2021-2                                  | CUSIP: 78472QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18502270 | PA      | $17483442.77  | 0.42%             | 2030-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2015-CCRE27 Mortgage Trust                                                | CUSIP: 12635QBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34776437 | PA      | $697093.67    | 0.02%             | 2048-10-10      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus   | CSAIL 2015-C4 Commercial Mortgage Trust                                        | CUSIP: 12635RBC1<br>LEI: 54930025J96YEH8FQE77 | Long             | ABS-MBS          | CORP              | US        |   6850000 | PA      | $6290666.68   | 0.15%             | 2048-11-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus   | CSAIL 2016-C6 Commercial Mortgage Trust                                        | CUSIP: 12636MAG3<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |   2922106 | PA      | $137202.23    | 0.00%             | 2049-01-15      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 2021-1, Ltd.          | CQS US CLO 2021-1 Ltd                                                          | CUSIP: 12659UAA0<br>LEI: 549300GF7PVRIKZNMY06 | Long             | ABS-CBDO         | CORP              | US        |  25000000 | PA      | $24015517.50  | 0.58%             | 2035-01-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 2021-1, Ltd.          | CQS US CLO 2021-1 Ltd                                                          | CUSIP: 12659UAC6<br>LEI: 549300GF7PVRIKZNMY06 | Long             | ABS-CBDO         | CORP              | US        |  11000000 | PA      | $10543478.00  | 0.25%             | 2035-01-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-ADV                                                                  | CUSIP: 12660WAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $2996583.04   | 0.07%             | 2038-07-15      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| MKS CLO Ltd                      | MKS CLO 2017-2 Ltd                                                             | CUSIP: 12662CAA5<br>LEI: 549300JCIKT6NT8T1275 | Long             | ABS-CBDO         | CORP              | US        |   6500000 | PA      | $6405210.50   | 0.15%             | 2031-01-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-23CB                                               | CUSIP: 12667GMY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320974 | PA      | $260038.94    | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-28CB                                               | CUSIP: 12667GWV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1099150 | PA      | $956951.15    | 0.02%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-49CB                                               | CUSIP: 12668AML6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4355982 | PA      | $2994799.46   | 0.07%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-62                                                 | CUSIP: 12668ATN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7890545 | PA      | $6274933.53   | 0.15%             | 2035-12-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-61                                                 | CUSIP: 12668AVM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1581939 | PA      | $1324429.57   | 0.03%             | 2035-12-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-10                                        | CUSIP: 12669GYM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    747720 | PA      | $606389.73    | 0.01%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK           | Canadian Imperial Bank of Commerce                                             | CUSIP: 13607HVC3<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   2560000 | PA      | $2506929.08   | 0.06%             | 2023-06-22      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                      | SREIT Trust 2021-MFP                                                           | CUSIP: 78472UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3315661.30   | 0.08%             | 2038-11-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage T   | STWD 2019-FL1 Ltd                                                              | CUSIP: 78485WAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    459000 | PA      | $439042.22    | 0.01%             | 2038-07-15      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage T   | STWD 2019-FL1 Ltd                                                              | CUSIP: 78485WAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8744000 | PA      | $8255411.51   | 0.20%             | 2038-07-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD               | Shackleton 2015-VII-R CLO Ltd                                                  | CUSIP: 81883AAL3<br>LEI: 549300NCJRO2LKFZ8G86 | Long             | ABS-CBDO         | CORP              | US        |  25000000 | PA      | $24488582.50  | 0.59%             | 2031-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| SHIRE ACQ INV IRELAND DA         | Shire Acquisitions Investments Ireland DAC                                     | CUSIP: 82481LAC3<br>LEI: 549300XK5HGW68R8K327 | Long             | DBT              | CORP              | US        |   1911000 | PA      | $1878561.31   | 0.05%             | 2023-09-23      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co    | Sierra Timeshare 2021-2 Receivables Funding LLC                                | CUSIP: 82652RAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2361034 | PA      | $2154469.26   | 0.05%             | 2038-09-20      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP          | Simon Property Group LP                                                        | CUSIP: 828807DG9<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |   3519000 | PA      | $3344582.59   | 0.08%             | 2024-09-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Slide 2018-Fun                   | SLIDE 2018-FUN                                                                 | CUSIP: 831350AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32322975 | PA      | $323.23       | 0.00%             | 2020-12-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr   | SoFi Professional Loan Program 2017-A LLC                                      | CUSIP: 83404FAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178873 | PA      | $177424.62    | 0.00%             | 2040-03-26      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| SoFi Alternative Trust Consume   | Sofi Alternative Trust 2021-1                                                  | CUSIP: 83406GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15905347 | PA      | $15639934.29  | 0.37%             | 2030-05-25      | Variable      | 9.72%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust    | Lendbuzz Securitization Trust 2022-1                                           | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7453339 | PA      | $7136723.86   | 0.17%             | 2027-05-17      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC         | Lloyds Banking Group PLC                                                       | CUSIP: 53944YAN3<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   4280000 | PA      | $4198081.83   | 0.10%             | 2024-05-11      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                   | BCAP LLC 2009-RR4 Trust                                                        | CUSIP: 05531RAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6769733 | PA      | $2946744.80   | 0.07%             | 2037-03-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                   | BCAP LLC 2012-RR1 Trust                                                        | CUSIP: 05534DAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1355654 | PA      | $924730.12    | 0.02%             | 2035-10-26      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| SoFi Alternative Trust Consume   | SOFI Alternative Trust                                                         | CUSIP: 83407QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  30562179 | PA      | $28868178.75  | 0.69%             | 2030-11-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SOHO Trust 2021-SOHO             | Soho Trust 2021-SOHO                                                           | CUSIP: 83410JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16035000 | PA      | $11784817.42  | 0.28%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| LoanCore 2019-CRE2 Issuer, Ltd   | LoanCore 2019-CRE2 Issuer Ltd                                                  | CUSIP: 53946JAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1946218.00   | 0.05%             | 2036-05-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| LoanCore 2018-CRE1 Issuer, Ltd   | LoanCore 2018-CRE1 Issuer Ltd                                                  | CUSIP: 53946MAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $965072.00    | 0.02%             | 2028-05-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru   | Soundview Home Loan Trust 2007-OPT3                                            | CUSIP: 83612KAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1774473 | PA      | $1698869.03   | 0.04%             | 2037-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD              | Sound Point CLO XXIII                                                          | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  25000000 | PA      | $24126517.50  | 0.58%             | 2034-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA         | Republic of South Africa Government International Bond                         | CUSIP: 836205AQ7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   3000000 | PA      | $2960910.00   | 0.07%             | 2024-01-17      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON              | Southern California Edison Co                                                  | CUSIP: 842400HC0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   4200000 | PA      | $4171193.38   | 0.10%             | 2024-04-01      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S   | BBCMS 2018-TALL Mortgage Trust                                                 | CUSIP: 05548WAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15176000 | PA      | $9986185.88   | 0.24%             | 2037-03-15      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust              | BHMS 2018-ATLS                                                                 | CUSIP: 05549GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 165041500 | PA      | $1650.42      | 0.00%             | 2035-07-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2020-2                                     | CUSIP: 85573DCA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7509460.00   | 0.18%             | 2060-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd             | Steele Creek CLO 2019-1 LTD                                                    | CUSIP: 85817BAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11000000 | PA      | $10446106.00  | 0.25%             | 2032-04-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd             | Steele Creek CLO 2019-2 LTD                                                    | CUSIP: 85817EAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  18000000 | PA      | $17532856.80  | 0.42%             | 2032-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd             | Steele Creek CLO 2019-2 LTD                                                    | CUSIP: 85817EAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9000000 | PA      | $8567146.80   | 0.21%             | 2032-07-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor   | Structured Adjustable Rate Mortgage Loan Trust                                 | CUSIP: 863579G51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1307469 | PA      | $1157553.05   | 0.03%             | 2035-12-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TR BK LT         | Sumitomo Mitsui Trust Bank Ltd                                                 | CUSIP: 86563VAQ2<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |   4455000 | PA      | $4322582.48   | 0.10%             | 2023-09-12      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd                | Trimaran Cavu 2021-3 Ltd                                                       | CUSIP: 89624GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $19172388.00  | 0.46%             | 2035-01-18      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINER                 | Triton Container International Ltd                                             | CUSIP: 89680YAD7<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | US        |   4615000 | PA      | $4454823.00   | 0.11%             | 2023-08-01      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP            | Truist Financial Corp                                                          | CUSIP: 89788MAF9<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   2453000 | PA      | $2402579.93   | 0.06%             | 2025-06-09      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                     | UBS Group AG                                                                   | CUSIP: 902613AB4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   4420000 | PA      | $4298772.26   | 0.10%             | 2024-07-30      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust    | UBS Commercial Mortgage Trust 2017-C4                                          | CUSIP: 90276RBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1274149.05   | 0.03%             | 2050-10-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust    | UBS Commercial Mortgage Trust 2018-C8                                          | CUSIP: 90276VAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6009000 | PA      | $5109573.48   | 0.12%             | 2051-02-15      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust    | UBS Commercial Mortgage Trust 2018-C9                                          | CUSIP: 90291JBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1067000 | PA      | $903969.87    | 0.02%             | 2051-03-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust    | UBS Commercial Mortgage Trust 2018-C13                                         | CUSIP: 90353KAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  77120591 | PA      | $2255692.46   | 0.05%             | 2051-10-15      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                    | United States Treasury Bill                                                    | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  49000000 | PA      | $48544471.99  | 1.16%             | 2023-03-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                  | United States Treasury Note/Bond                                               | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 115800000 | PA      | $115813570.60 | 2.78%             | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LoanCore 2022-CRE7 Issuer Ltd.   | LoanCore 2022-CRE7 Issuer Ltd                                                  | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5735000 | PA      | $5567337.28   | 0.13%             | 2037-01-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan 2020-3 Ltd    | Loanpal Solar Loan Ltd                                                         | CUSIP: 53948NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7324377 | PA      | $5583231.62   | 0.13%             | 2047-12-20      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                | Wellfleet CLO 2018-2 Ltd                                                       | CUSIP: 94949JAA3<br>LEI: 254900QO5AI38SSR4719 | Long             | ABS-CBDO         | CORP              | US        |  15000000 | PA      | $14601088.50  | 0.35%             | 2031-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                | Wellfleet CLO 2020-2 Ltd                                                       | CUSIP: 94950AAN0<br>LEI: 254900T94H3OWOGPUI54 | Long             | ABS-CBDO         | CORP              | US        |  15990000 | PA      | $15475510.56  | 0.37%             | 2034-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO         | Capital One Financial Corp                                                     | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2235000 | PA      | $2191138.82   | 0.05%             | 2026-07-24      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| Carbon Capital VI Commercial M   | Carbon Capital VI Commercial Mortgage 2019-FL2 Trust                           | CUSIP: 140817AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6029069 | PA      | $5704492.04   | 0.14%             | 2035-10-15      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC              | Elevance Health Inc                                                            | CUSIP: 94973VBJ5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   6400000 | PA      | $6246699.20   | 0.15%             | 2024-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2007-AR6 Trust                          | CUSIP: 949794AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7221202 | PA      | $6362116.91   | 0.15%             | 2037-10-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC              | Cardinal Health Inc                                                            | CUSIP: 14149YBH0<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |   6172000 | PA      | $6000691.88   | 0.14%             | 2024-06-15      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi   | Carlyle Global Market Strategies CLO 2016-1 Ltd                                | CUSIP: 14312HAU0<br>LEI: 549300N3CJKPCWZ7KX23 | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $4864071.00   | 0.12%             | 2034-04-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2007-15 Trust                           | CUSIP: 949797AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2201322 | PA      | $1793949.76   | 0.04%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2014-LC18                                | CUSIP: 94989AAZ8<br>LEI: 5493007CD1Q2V06I4172 | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $503644.61    | 0.01%             | 2047-12-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitiza   | Castlelake Aircraft Structured Trust 2019-1                                    | CUSIP: 14855MAA6<br>LEI: 549300MHTIBONNXM3R82 | Long             | ABS-O            | CORP              | US        |   3036331 | PA      | $2566747.03   | 0.06%             | 2039-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SERVICE         | Caterpillar Financial Services Corp                                            | CUSIP: 14913R2Z9<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   3420000 | PA      | $3339842.35   | 0.08%             | 2025-08-12      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2015-C27                                 | CUSIP: 94989DAZ2<br>LEI: 5493001SKB2HKIF64L70 | Long             | ABS-MBS          | CORP              | US        |   9722968 | PA      | $135393.30    | 0.00%             | 2048-02-15      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2015-NXS2                                | CUSIP: 94989MAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23344828 | PA      | $290626.77    | 0.01%             | 2058-07-15      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Cathedral Lake LTD               | Cathedral Lake VIII Ltd                                                        | CUSIP: 14919GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $19321318.00  | 0.46%             | 2035-01-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Cathedral Lake LTD               | Cathedral Lake VII Ltd                                                         | CUSIP: 14919HAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9850000 | PA      | $9764159.22   | 0.23%             | 2032-01-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2015-NXS2                                | CUSIP: 94989MAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2651000 | PA      | $2304253.44   | 0.06%             | 2058-07-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2015-C30                                 | CUSIP: 94989NBH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  49817029 | PA      | $936231.36    | 0.02%             | 2058-09-15      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| CHILE ELEC PEC SPA               | Chile Electricity PEC SpA                                                      | CUSIP: 168831AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |   5600000 | PA      | $4051511.69   | 0.10%             | 2028-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                    | Citigroup Inc                                                                  | CUSIP: 172967MA6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2917000 | PA      | $2921384.51   | 0.07%             | 2024-06-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                    | Citigroup Inc                                                                  | CUSIP: 172967ND9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1300183.02   | 0.03%             | 2025-11-03      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage    | Citigroup Commercial Mortgage Trust 2014-GC25                                  | CUSIP: 17322YAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6665484 | PA      | $82807.31     | 0.00%             | 2047-10-10      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage    | Citigroup Commercial Mortgage Trust 2015-GC27                                  | CUSIP: 17323CAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4583821 | PA      | $93774.90     | 0.00%             | 2048-02-10      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage    | Citigroup Commercial Mortgage Trust 2015-GC31                                  | CUSIP: 17323YAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10750000 | PA      | $9449946.60   | 0.23%             | 2048-06-10      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage    | Citigroup Commercial Mortgage Trust 2016-GC36                                  | CUSIP: 17324TAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17692960 | PA      | $499038.78    | 0.01%             | 2049-02-10      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage    | Citigroup Commercial Mortgage Trust 2017-P7                                    | CUSIP: 17325HBU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11309294 | PA      | $410248.03    | 0.01%             | 2050-04-14      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T   | Wells Fargo Alternative Loan 2007-PA5 Trust                                    | CUSIP: 949922AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    552266 | PA      | $466683.31    | 0.01%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2016-NXS6                                | CUSIP: 95000KBE4<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        |  21146999 | PA      | $897142.39    | 0.02%             | 2049-11-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2016-NXS6                                | CUSIP: 95000KBH7<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        |   3546000 | PA      | $3098135.94   | 0.07%             | 2049-11-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY            | Wells Fargo & Co                                                               | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4355000 | PA      | $4285364.38   | 0.10%             | 2024-06-02      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust    | Citigroup Mortgage Loan Trust 2020-EXP1                                        | CUSIP: 17328JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1812226 | PA      | $1652236.28   | 0.04%             | 2060-05-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans        | College Avenue Student Loans LLC                                               | CUSIP: 194204AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    944247 | PA      | $877355.40    | 0.02%             | 2046-11-26      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA             | Colombia Government International Bond                                         | CUSIP: 195325CX1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   9600000 | PA      | $9054231.07   | 0.22%             | 2026-01-28      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-2 Mortgage Loan Trust                                                | CUSIP: 19685EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6461216 | PA      | $5834417.66   | 0.14%             | 2067-02-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2017-C38                                 | CUSIP: 95001MAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  68227747 | PA      | $2212093.65   | 0.05%             | 2050-07-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2021-C59                                 | CUSIP: 95003CBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  62995565 | PA      | $5233545.59   | 0.13%             | 2054-04-15      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2021-1RMortgage Pass-Through Certificates                                 | CUSIP: 19688BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3227117 | PA      | $2721619.63   | 0.07%             | 2065-05-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                     | Comcast Corp                                                                   | CUSIP: 20030NDZ1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   4160000 | PA      | $4219118.43   | 0.10%             | 2025-11-07      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2021-SAVE                                | CUSIP: 95003LAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    272707 | PA      | $242096.79    | 0.01%             | 2040-02-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2018-HCLV Mortgage Trust                                                  | CUSIP: 20048KAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11396000 | PA      | $9960048.16   | 0.24%             | 2033-09-15      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST           | Commonwealth Bank of Australia                                                 | CUSIP: 2027A0KG3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   4550000 | PA      | $4490926.90   | 0.11%             | 2025-07-07      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC               | Conagra Brands Inc                                                             | CUSIP: 205887CA8<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1026222.52   | 0.02%             | 2024-05-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC         | Constellation Brands Inc                                                       | CUSIP: 21036PBM9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   1960000 | PA      | $1922340.01   | 0.05%             | 2024-05-09      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.          | Loanpal Solar Loan 2021-1 Ltd                                                  | CUSIP: 53948PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4648196 | PA      | $3547410.15   | 0.09%             | 2048-01-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Logan CLO III Ltd                | Logan CLO III Ltd                                                              | CUSIP: 54054PAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14000000 | PA      | $13585733.00  | 0.33%             | 2035-04-21      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor   | CSFB Mortgage-Backed Pass-Through Certificates Series 2004-8                   | CUSIP: 22541SX29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2452 | PA      | $739.43       | 0.00%             | 2019-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor   | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9                   | CUSIP: 2254586G8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    502027 | PA      | $296628.17    | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S   | BBCMS Trust 2021-C10                                                           | CUSIP: 05551VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21205000 | PA      | $2185039.54   | 0.05%             | 2054-07-15      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S   | BBCMS Trust 2021-C10                                                           | CUSIP: 05551VBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29456500 | PA      | $1958468.42   | 0.05%             | 2054-07-15      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust   | Long Beach Mortgage Loan Trust 2006-11                                         | CUSIP: 542512AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16585522 | PA      | $6302170.09   | 0.15%             | 2036-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust   | Long Beach Mortgage Loan Trust 2006-2                                          | CUSIP: 542514TT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9966985 | PA      | $3674915.08   | 0.09%             | 2046-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust   | Adjustable Rate Mortgage Trust 2006-1                                          | CUSIP: 225470B93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5053049 | PA      | $3178055.08   | 0.08%             | 2036-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor   | Credit Suisse First Boston Mortgage Securities Corp                            | CUSIP: 2254W0NF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1143216 | PA      | $846061.44    | 0.02%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor   | Credit Suisse First Boston Mortgage Securities Corp                            | CUSIP: 2254W0PJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52664 | PA      | $40914.57     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse ABS Trust          | Credit Suisse ABS Trust 2020-AT1                                               | CUSIP: 22551XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2709598 | PA      | $2589725.17   | 0.06%             | 2026-10-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus   | CSAIL 2021-C20 Commercial Mortgage Trust                                       | CUSIP: 22945EAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 122826584 | PA      | $7022008.08   | 0.17%             | 2054-03-15      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2020-RPL2 Trust                                                           | CUSIP: 22946BAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7356530 | PA      | $7316293.34   | 0.18%             | 2060-02-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| BPCE SA                          | BPCE SA                                                                        | CUSIP: 05583JAG7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   4455000 | PA      | $4158426.51   | 0.10%             | 2025-01-14      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BSREP Commercial Mortgage Trus   | BSREP Commercial Mortgage Trust 2021-DC                                        | CUSIP: 05591UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13155000 | PA      | $11394989.92  | 0.27%             | 2038-08-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| BrightSpire Capital, Inc         | BRSP 2021-FL1 Ltd                                                              | CUSIP: 05591XAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13968000 | PA      | $13452496.99  | 0.32%             | 2038-08-19      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| BPR Trust                        | BPR Trust 2021-TY                                                              | CUSIP: 05592AAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2764953.60   | 0.07%             | 2038-09-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.               | BSPRT 2022-FL8 Issuer Ltd                                                      | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7507000 | PA      | $7283718.55   | 0.17%             | 2037-02-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Commercial Mortgage Trust 2021-SOAR                                         | CUSIP: 05608WAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3721807 | PA      | $3512025.82   | 0.08%             | 2038-06-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| BXHPP Trust                      | BXHPP Trust 2021-FILM                                                          | CUSIP: 05609JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1432002.33   | 0.03%             | 2036-08-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit   | Bain Capital Credit CLO 2019-1                                                 | CUSIP: 05683VAS3<br>LEI: 549300B0VI605XM3L529 | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $9722202.00   | 0.23%             | 2034-04-19      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BANCO CONTINENTAL S.A.E.         | Banco Continental SAECA                                                        | CUSIP: 059490AB8<br>LEI: 8945005Q0D60A6FCEM55 | Long             | DBT              | CORP              | PY        |   1850000 | PA      | $1657350.25   | 0.04%             | 2025-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur   | Banc of America Mortgage 2005-I Trust                                          | CUSIP: 05949CHU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1166500 | PA      | $1072163.31   | 0.03%             | 2035-10-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2006-7 Trust                                           | CUSIP: 05951KAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1089737 | PA      | $952745.55    | 0.02%             | 2036-10-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur   | Banc of America Mortgage 2007-3 Trust                                          | CUSIP: 05954CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2425489 | PA      | $2088755.07   | 0.05%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANCO DO BRASIL (CAYMAN)         | Banco do Brasil SA/Cayman                                                      | CUSIP: 059578AF1<br>LEI: QE0Q0253K88YAGNPE356 | Long             | DBT              | CORP              | BR        |   3300000 | PA      | $3041874.00   | 0.07%             | 2026-09-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BANCO LATINOAMERICANO SA         | Banco Latinoamericano de Comercio Exterior SA                                  | CUSIP: 05968CAC6<br>LEI: 549300CN3134K4LC0651 | Long             | DBT              | CORP              | PA        |    200000 | PA      | $182844.00    | 0.00%             | 2025-09-14      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-J4                                                 | CUSIP: 23242WAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1446321 | PA      | $919375.26    | 0.02%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA12                                               | CUSIP: 23243AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2988995 | PA      | $2839174.43   | 0.07%             | 2046-09-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-J6                                                 | CUSIP: 23244EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1557307 | PA      | $867491.04    | 0.02%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA21                                               | CUSIP: 23245QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4060390 | PA      | $3223989.18   | 0.08%             | 2047-03-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg   | DBJPM 16-C1 Mortgage Trust                                                     | CUSIP: 23312LAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16434254 | PA      | $550315.80    | 0.01%             | 2049-05-10      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| DRB PRIME STUDENT LOAN TRUST     | DRB Prime Student Loan Trust 2017-A                                            | CUSIP: 23342KAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1494236 | PA      | $1481884.38   | 0.04%             | 2042-05-27      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINAN NA          | Daimler Trucks Finance North America LLC                                       | CUSIP: 233853AD2<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | DE        |   2745000 | PA      | $2549452.43   | 0.06%             | 2024-12-13      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP          | Dell International LLC / EMC Corp                                              | CUSIP: 24703TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1762000 | PA      | $1732706.84   | 0.04%             | 2024-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                   | Lowe's Cos Inc                                                                 | CUSIP: 548661EK9<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1094565.19   | 0.03%             | 2025-09-08      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trus   | LSTAR Commercial Mortgage Trust 2017-5                                         | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  64403591 | PA      | $1321909.47   | 0.03%             | 2050-03-10      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage   | MASTR Adjustable Rate Mortgages Trust 2006-OA2                                 | CUSIP: 55275NAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1596593 | PA      | $1356574.46   | 0.03%             | 2046-12-25      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Massage Envy Franchising, LLC    | ME Funding LLC 2019-1                                                          | CUSIP: 55282GAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7760000 | PA      | $7471538.30   | 0.18%             | 2049-07-30      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP          | Dell International LLC / EMC Corp                                              | CUSIP: 24703TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2385000 | PA      | $2412623.93   | 0.06%             | 2025-07-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR4                  | CUSIP: 25150PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6959242 | PA      | $2491942.30   | 0.06%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR4                  | CUSIP: 25150PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4617889 | PA      | $1660451.07   | 0.04%             | 2036-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA2                  | CUSIP: 25150UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210372 | PA      | $178429.56    | 0.00%             | 2047-04-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                  | CUSIP: 251513AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421078 | PA      | $368181.22    | 0.01%             | 2036-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage and Asset Re   | Deutsche Mortgage & Asset Receiving Corp                                       | CUSIP: 25160HAC9<br>LEI: 529900JBPP7HAVCM8C23 | Long             | ABS-MBS          | CORP              | US        |    371374 | PA      | $301513.89    | 0.01%             | 2037-07-27      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| BANCOLOMBIA SA                   | Bancolombia SA                                                                 | CUSIP: 05968LAK8<br>LEI: 54930052NWJRPNMP1W58 | Long             | DBT              | CORP              | CO        |   3800000 | PA      | $3746748.62   | 0.09%             | 2027-10-18      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| BANCOLOMBIA SA                   | Bancolombia SA                                                                 | CUSIP: 05968LAL6<br>LEI: 54930052NWJRPNMP1W58 | Long             | DBT              | CORP              | CO        |   7100000 | PA      | $6251869.50   | 0.15%             | 2029-12-18      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust      | Diamond Resorts Owner Trust 2021-1                                             | CUSIP: 25273CAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2396561 | PA      | $2185296.77   | 0.05%             | 2033-11-21      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| DIGICEL GROUP HOLDINGS           | Digicel Group Holdings Ltd                                                     | CUSIP: 25381YAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | JM        |    517764 | PA      | $141155.07    | 0.00%             | 2025-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2015-CCRE22 Mortgage Trust                                                | CUSIP: 12592XBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14886685 | PA      | $213835.32    | 0.01%             | 2048-03-10      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| CAL Funding IV Ltd               | CAL Funding IV Ltd                                                             | CUSIP: 12807CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9806094 | PA      | $8490376.81   | 0.20%             | 2045-09-25      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| CAMPBELL SOUP CO                 | Campbell Soup Co                                                               | CUSIP: 134429BF5<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |   4175000 | PA      | $4080663.24   | 0.10%             | 2025-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY         | Canadian Pacific Railway Co                                                    | CUSIP: 13645RBD5<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   4340000 | PA      | $4048437.15   | 0.10%             | 2024-12-02      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae REMICS                                                              | CUSIP: 3136B4YY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7326860 | PA      | $723832.99    | 0.02%             | 2049-06-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae REMICS                                                              | CUSIP: 3136BAAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5672879 | PA      | $5090071.98   | 0.12%             | 2040-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                   | Fannie Mae-Aces                                                                | CUSIP: 3136BCC73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22698479 | PA      | $19738631.22  | 0.47%             | 2030-11-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae REMICS                                                              | CUSIP: 3136BF4T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9050263 | PA      | $7771959.29   | 0.19%             | 2041-05-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae REMICS                                                              | CUSIP: 3136BFP49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4796956 | PA      | $4241797.07   | 0.10%             | 2047-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                   | Fannie Mae-Aces                                                                | CUSIP: 3136BJSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10025066 | PA      | $8759038.59   | 0.21%             | 2031-10-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                   | Fannie Mae-Aces                                                                | CUSIP: 3136BML48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4694505 | PA      | $4624193.38   | 0.11%             | 2027-10-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                   | Fannie Mae-Aces                                                                | CUSIP: 3136BNES1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8748496 | PA      | $7787815.44   | 0.19%             | 2031-11-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac REMICS                                                             | CUSIP: 3137BJGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    669942 | PA      | $623526.35    | 0.01%             | 2044-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137BQC21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6331114 | PA      | $1763.22      | 0.00%             | 2023-03-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga   | MF1 2021-FL6 Ltd                                                               | CUSIP: 55283TAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5150000 | PA      | $4838347.75   | 0.12%             | 2036-07-16      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFA 2021-NQM2 Trust                                                            | CUSIP: 55283WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5542460 | PA      | $4291781.17   | 0.10%             | 2064-11-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac REMICS                                                             | CUSIP: 3137FR2N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9347792 | PA      | $8109981.96   | 0.19%             | 2050-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac REMICS                                                             | CUSIP: 3137H0B49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6354732 | PA      | $5607749.05   | 0.13%             | 2037-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga   | MF1 2022-FL8 Ltd                                                               | CUSIP: 55284JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12550000 | PA      | $12023671.83  | 0.29%             | 2037-02-19      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| MKT 2020-525M Mortgage Trust     | MKT 2020-525M Mortgage Trust                                                   | CUSIP: 55316PAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3575000 | PA      | $1946714.77   | 0.05%             | 2040-02-12      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                | CUSIP: 3138EKJ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1332193 | PA      | $1345881.51   | 0.03%             | 2042-11-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                | CUSIP: 3138MBW85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2966284 | PA      | $3015608.59   | 0.07%             | 2042-07-01      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| MKS CLO Ltd                      | MKS CLO 2017-1 Ltd                                                             | CUSIP: 55317AAA7<br>LEI: 5493003VGNSG059H2J98 | Long             | ABS-CBDO         | CORP              | US        |  24921646 | PA      | $24680997.88  | 0.59%             | 2030-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                  | McDonald's Corp                                                                | CUSIP: 58013MFE9<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    940000 | PA      | $936553.55    | 0.02%             | 2023-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                | CUSIP: 3138WEET2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655872 | PA      | $590927.34    | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                | CUSIP: 3140J74E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794894 | PA      | $800489.11    | 0.02%             | 2045-05-01      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                | CUSIP: 3140J9AP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3802065 | PA      | $3879840.75   | 0.09%             | 2044-05-01      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                | CUSIP: 3140QKKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1613932 | PA      | $1400130.09   | 0.03%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                  | McDonald's Corp                                                                | CUSIP: 58013MFL3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   2515000 | PA      | $2308684.06   | 0.06%             | 2025-09-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS8 Trust                                                     | CUSIP: 74922UAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1201471 | PA      | $836808.53    | 0.02%             | 2037-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                | CUSIP: 31418AKN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191231 | PA      | $179987.96    | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                | CUSIP: 31418BQY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    807779 | PA      | $716302.03    | 0.02%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS4 Trust                                                     | CUSIP: 74923HAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1787358 | PA      | $1476020.54   | 0.04%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION         | Sabine Pass Liquefaction LLC                                                   | CUSIP: 785592AM8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   2210000 | PA      | $2214775.32   | 0.05%             | 2025-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14505804 | PA      | $12371122.66  | 0.30%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| First American Government Obli   | First American Government Obligations Fund                                     | CUSIP: 31846V211<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |  23601554 | NS      | $23601553.76  | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Foundation Finance Trust         | Foundation Finance Trust 2019-1                                                | CUSIP: 35041JAA3<br>LEI: 5493002KPTN6JUQ40J20 | Long             | ABS-O            | CORP              | US        |   1630445 | PA      | $1597021.34   | 0.04%             | 2034-11-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit    | Freddie Mac Multifamily Structured Credit Risk                                 | CUSIP: 35563FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    963057 | PA      | $903089.02    | 0.02%             | 2051-01-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.              | Sandstone Peak Ltd                                                             | CUSIP: 800130AA4<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | US        |  14000000 | PA      | $13474708.80  | 0.32%             | 2034-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl   | Santander Drive Auto Receivables Trust 2020-4                                  | CUSIP: 80286WAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $6681453.10   | 0.16%             | 2027-01-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC             | Freeport-McMoRan Inc                                                           | CUSIP: 35671DCE3<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | ID        |    700000 | PA      | $648644.33    | 0.02%             | 2028-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GCAT                             | GCAT 2020-NQM2 Trust                                                           | CUSIP: 36166RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3620372 | PA      | $3234153.58   | 0.08%             | 2065-04-25      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| GCAT                             | GCAT 2020-3 LLC                                                                | CUSIP: 36168CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5041426 | PA      | $4883476.18   | 0.12%             | 2025-09-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| GCAT                             | GCAT 2021-NQM4 Trust                                                           | CUSIP: 36168HAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7769319 | PA      | $5820803.58   | 0.14%             | 2066-08-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Sapphire Aviation Finance I Li   | SAPPHIRE AVIATION FINANCE II LTD                                               | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16799190 | PA      | $12745696.49  | 0.31%             | 2040-03-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| SASOL FINANCING USA LLC          | Sasol Financing USA LLC                                                        | CUSIP: 80386WAC9<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | ZA        |   1650000 | PA      | $1462720.33   | 0.04%             | 2026-09-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP              | Charles Schwab Corp/The                                                        | CUSIP: 808513BZ7<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   4286000 | PA      | $4174578.79   | 0.10%             | 2027-03-03      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei   | Securitized Asset Backed Receivables LLC Trust 2006-WM3                        | CUSIP: 81377EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6032947 | PA      | $2149297.87   | 0.05%             | 2036-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu   | JPMBB Commercial Mortgage Securities Trust 2015-C27                            | CUSIP: 46644AAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5287890 | PA      | $4309766.78   | 0.10%             | 2048-02-15      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2006-19                                                 | CUSIP: 362244AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5383618 | PA      | $2191565.30   | 0.05%             | 2036-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust          | GSR Mortgage Loan Trust 2006-2F                                                | CUSIP: 362334DL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    333579 | PA      | $175276.81    | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA         | Republic of South Africa Government International Bond                         | CUSIP: 836205AT1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1500000 | PA      | $1456897.50   | 0.03%             | 2026-04-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Start Ltd.                       | Start Ltd/Bermuda                                                              | CUSIP: 85572RAA7<br>LEI: 549300VIQYFIDJQCKZ43 | Long             | ABS-O            | CORP              | US        |   2685287 | PA      | $2297439.88   | 0.06%             | 2043-05-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| DIGICEL GROUP HOLDINGS           | Digicel Group Holdings Ltd                                                     | CUSIP: 25381YAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | JM        |    201586 | PA      | $19402.64     | 0.00%             | 2023-01-13      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DOLLAR GENERAL CORP              | Dollar General Corp                                                            | CUSIP: 256677AD7<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2153647.30   | 0.05%             | 2025-11-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL              | Synchrony Financial                                                            | CUSIP: 87165BAD5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   3295000 | PA      | $3221394.74   | 0.08%             | 2024-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL              | Synchrony Financial                                                            | CUSIP: 87165BAN3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1247740.93   | 0.03%             | 2024-03-19      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| TIF Funding II LLC               | TIF Funding II LLC                                                             | CUSIP: 872480AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6385937 | PA      | $5308634.31   | 0.13%             | 2046-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance          | TRTX 2022-FL5 Issuer Ltd                                                       | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11630000 | PA      | $11246814.76  | 0.27%             | 2039-02-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC           | Taco Bell Funding LLC                                                          | CUSIP: 87342RAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5940000 | PA      | $5037718.16   | 0.12%             | 2051-08-25      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| TAL Advantage VII LLC            | TAL Advantage VII LLC                                                          | CUSIP: 87407RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4926188 | PA      | $4328241.44   | 0.10%             | 2045-09-20      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust     | GS Mortgage Securities Trust 2015-GC32                                         | CUSIP: 36250PAF2<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |  29990698 | PA      | $439150.79    | 0.01%             | 2048-07-10      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust     | GS Mortgage Securities Corp II                                                 | CUSIP: 36250SBK4<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   2314000 | PA      | $1947971.48   | 0.05%             | 2033-03-10      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| DOLLAR TREE INC                  | Dollar Tree Inc                                                                | CUSIP: 256746AG3<br>LEI: 549300PMSTQITB1WHR43 | Long             | DBT              | CORP              | US        |   3753000 | PA      | $3667337.17   | 0.09%             | 2025-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund          | Dryden 85 CLO Ltd                                                              | CUSIP: 26246BAL8<br>LEI: 549300XS2BVK8BZTXN05 | Long             | ABS-CBDO         | CORP              | US        |  25000000 | PA      | $24378060.00  | 0.58%             | 2035-10-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust            | Theorem Funding Trust 2021-1                                                   | CUSIP: 88339VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7454030.40   | 0.18%             | 2027-12-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC         | Thermo Fisher Scientific Inc                                                   | CUSIP: 883556CP5<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   2930000 | PA      | $2836565.02   | 0.07%             | 2023-10-18      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd               | THL Credit Wind River 2014-2 CLO Ltd                                           | CUSIP: 88390AAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3750000 | PA      | $3668818.13   | 0.09%             | 2031-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| 37 Capital CLO Ltd               | 37 Capital CLO I                                                               | CUSIP: 88430TAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  27000000 | PA      | $25831777.50  | 0.62%             | 2034-10-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Thunderbolt Aircraft Lease Lim   | Thunderbolt II Aircraft Lease Ltd                                              | CUSIP: 886065AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10173872 | PA      | $7736029.28   | 0.19%             | 2038-09-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK            | Toronto-Dominion Bank/The                                                      | CUSIP: 89114TZE5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   4490000 | PA      | $4181441.63   | 0.10%             | 2024-09-10      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP         | Toyota Motor Credit Corp                                                       | CUSIP: 89236TKF1<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   2210000 | PA      | $2149498.53   | 0.05%             | 2025-08-18      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                 | Trestles Clo IV Ltd                                                            | CUSIP: 89532WAA7<br>LEI: 254900EO5I6CR0IOWS98 | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $19438266.00  | 0.47%             | 2034-07-21      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu   | JPMBB Commercial Mortgage Securities Trust 2015-C29                            | CUSIP: 46644RBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13676834 | PA      | $147192.82    | 0.00%             | 2048-05-15      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu   | JPMBB Commercial Mortgage Securities Trust 2015-C29                            | CUSIP: 46644RBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2828000 | PA      | $2549658.62   | 0.06%             | 2048-05-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust     | GS Mortgage Securities Corp II                                                 | CUSIP: 36250SBM0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   2893000 | PA      | $2380888.95   | 0.06%             | 2033-03-10      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust     | GS Mortgage Securities Trust 2016-GS3                                          | CUSIP: 36251PAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24888840 | PA      | $849627.84    | 0.02%             | 2049-10-10      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                    | United States Treasury Bill                                                    | CUSIP: 912796XY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  80500000 | PA      | $78331163.37  | 1.88%             | 2023-08-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                  | United States Treasury Note/Bond                                               | CUSIP: 91282CER8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 119800000 | PA      | $116248116.89 | 2.79%             | 2024-05-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu   | JPMBB Commercial Mortgage Securities Trust 2015-C30                            | CUSIP: 46644UBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22194655 | PA      | $204770.10    | 0.00%             | 2048-07-15      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu   | JPMBB Commercial Mortgage Securities Trust 2015-C31                            | CUSIP: 46644YAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9462588 | PA      | $165695.59    | 0.00%             | 2048-08-15      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                  | United States Treasury Note/Bond                                               | CUSIP: 91282CEX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  78200000 | PA      | $76336641.02  | 1.83%             | 2024-06-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                  | United States Treasury Note/Bond                                               | CUSIP: 91282CFA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  78500000 | PA      | $76580430.08  | 1.84%             | 2024-07-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust     | GS Mortgage Securities Corp Trust 2018-TWR                                     | CUSIP: 36251SAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4341534.00   | 0.10%             | 2031-07-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust     | GS Mortgage Securities Corp Trust 2018-TWR                                     | CUSIP: 36251SAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4199035.00   | 0.10%             | 2031-07-15      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                 | Duke Energy Corp                                                               | CUSIP: 26441CBV6<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   2125000 | PA      | $2122779.99   | 0.05%             | 2025-12-08      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                     | Ecopetrol SA                                                                   | CUSIP: 279158AC3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |   2000000 | PA      | $1991473.42   | 0.05%             | 2023-09-18      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                  | United States Treasury Note/Bond                                               | CUSIP: 91282CFE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  59000000 | PA      | $57289921.58  | 1.37%             | 2025-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                  | United States Treasury Note/Bond                                               | CUSIP: 91282CFG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48900000 | PA      | $47885706.91  | 1.15%             | 2024-08-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor   | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4                  | CUSIP: 46645UAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31481166 | PA      | $539593.48    | 0.01%             | 2049-12-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor   | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                  | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336000 | PA      | $295782.41    | 0.01%             | 2033-07-05      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust     | GS Mortgage Securities Corp Trust 2018-TWR                                     | CUSIP: 36251SAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4011599.00   | 0.10%             | 2031-07-15      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust     | GS Mortgage Securities Trust 2015-GS1                                          | CUSIP: 36252AAE6<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |   8564997 | PA      | $155739.05    | 0.00%             | 2048-11-10      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                  | United States Treasury Note/Bond                                               | CUSIP: 91282CFK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  49300000 | PA      | $48321703.13  | 1.16%             | 2025-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                  | United States Treasury Note/Bond                                               | CUSIP: 91282CFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  77300000 | PA      | $76916519.34  | 1.84%             | 2024-09-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2006-1                                          | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2370924 | PA      | $2063248.09   | 0.05%             | 2036-03-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Jack in the Box Funding, LLC     | Jack in the Box Funding LLC                                                    | CUSIP: 466365AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4435988 | PA      | $4054611.90   | 0.10%             | 2049-08-25      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                  | United States Treasury Note/Bond                                               | CUSIP: 91282CFP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48400000 | PA      | $48369750.00  | 1.16%             | 2025-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                  | United States Treasury Note/Bond                                               | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  67500000 | PA      | $67312792.80  | 1.61%             | 2024-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic                | JP Morgan Resecuritization Trust Series 2014-4                                 | CUSIP: 46642RAB3<br>LEI: 549300WXN40VSKU6F732 | Long             | ABS-MBS          | CORP              | US        |   6137067 | PA      | $1920253.95   | 0.05%             | 2036-01-26      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| JPMBB Commercial Mortgage Secu   | JPMBB Commercial Mortgage Securities Trust 2014-C23                            | CUSIP: 46643AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4240000 | PA      | $3618052.21   | 0.09%             | 2047-09-15      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                  | United States Treasury Note/Bond                                               | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  66900000 | PA      | $67312898.77  | 1.61%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC           | UnitedHealth Group Inc                                                         | CUSIP: 91324PEB4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    890000 | PA      | $840180.43    | 0.02%             | 2024-05-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu   | JPMBB Commercial Mortgage Securities Trust 2014-C23                            | CUSIP: 46643ABK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1396436.85   | 0.03%             | 2047-09-15      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu   | JPMBB Commercial Mortgage Securities Trust 2014-C23                            | CUSIP: 46643ABL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $446969.60    | 0.01%             | 2047-09-15      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC           | UnitedHealth Group Inc                                                         | CUSIP: 91324PEG3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1885000 | PA      | $1826409.09   | 0.04%             | 2027-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust   | Upgrade Master Pass-Thru Trust                                                 | CUSIP: 91531XAD6<br>LEI: 54930089533DCF1JSH22 | Long             | ABS-O            | CORP              | US        |   4749314 | PA      | $4550498.26   | 0.11%             | 2027-07-15      | Variable      | 15.57%                | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu   | JPMBB Commercial Mortgage Securities Trust 2014-C25                            | CUSIP: 46643PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16306961 | PA      | $200559.31    | 0.00%             | 2047-11-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO              | JPMorgan Chase & Co                                                            | CUSIP: 46647PBY1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2835000 | PA      | $2674842.43   | 0.06%             | 2025-02-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO              | JPMorgan Chase & Co                                                            | CUSIP: 46647PDB9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5890000 | PA      | $5838752.52   | 0.14%             | 2026-04-26      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor   | JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES             | CUSIP: 46651CAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4216000 | PA      | $3915753.34   | 0.09%             | 2032-05-05      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2021-2                                            | CUSIP: 91680FAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7170000 | PA      | $6810218.72   | 0.16%             | 2031-06-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2020-ST5                                     | CUSIP: 91680WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2591863 | PA      | $2477086.49   | 0.06%             | 2026-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor   | JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES             | CUSIP: 46651CAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4314000 | PA      | $3987067.82   | 0.10%             | 2032-05-05      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor   | JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES             | CUSIP: 46651CAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5287000 | PA      | $4850129.90   | 0.12%             | 2032-05-05      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2020-ST6                                     | CUSIP: 91680XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4560216 | PA      | $4334738.78   | 0.10%             | 2027-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2021-1                                            | CUSIP: 91681NAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900000 | PA      | $1853818.03   | 0.04%             | 2031-03-20      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                     | Ecopetrol SA                                                                   | CUSIP: 279158AK5<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |   6450000 | PA      | $6156911.36   | 0.15%             | 2025-01-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                | Elevation CLO 2018-9 Ltd                                                       | CUSIP: 28622XAA4<br>LEI: 549300BOE42FYBAXFR86 | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $19602604.00  | 0.47%             | 2031-07-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| DRB PRIME STUDENT LOAN TRUST     | Laurel Road Prime Student Loan Trust 2017-B                                    | CUSIP: 518887AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    515396 | PA      | $465005.26    | 0.01%             | 2042-08-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust      | Legacy Mortgage Asset Trust 2020-SL1                                           | CUSIP: 52475KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1440207 | PA      | $1409219.09   | 0.03%             | 2060-01-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST3                                     | CUSIP: 91681PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2082907 | PA      | $1953492.24   | 0.05%             | 2027-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC   | VCAT 2021-NPL1 LLC                                                             | CUSIP: 91790CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11479712 | PA      | $10888680.91  | 0.26%             | 2050-12-26      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                     | Enbridge Inc                                                                   | CUSIP: 29250NAF2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $99224.37     | 0.00%             | 2023-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                     | Enbridge Inc                                                                   | CUSIP: 29250NBG9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   2149000 | PA      | $2078257.69   | 0.05%             | 2023-10-04      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC   | VCAT 2021-NPL4 LLC                                                             | CUSIP: 91823DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13173343 | PA      | $11992351.63  | 0.29%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC   | VCAT 2021-NPL5 LLC                                                             | CUSIP: 91824AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6890044 | PA      | $6072190.54   | 0.15%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor   | JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES             | CUSIP: 46651CAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5040000 | PA      | $4640791.68   | 0.11%             | 2032-05-05      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor   | JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES             | CUSIP: 46651CAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5775000 | PA      | $5173903.35   | 0.12%             | 2032-05-05      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| VMC Finance LLC                  | VMC Finance 2019-FL3 LLC                                                       | CUSIP: 91834PAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5893630 | PA      | $5516997.27   | 0.13%             | 2036-09-15      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra   | VOLT XCII LLC                                                                  | CUSIP: 91835MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12855226 | PA      | $11160930.11  | 0.27%             | 2051-02-27      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor   | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN                  | CUSIP: 46652BBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11575000 | PA      | $9804056.25   | 0.24%             | 2037-01-16      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                | Jamestown CLO IX Ltd                                                           | CUSIP: 47048JAX1<br>LEI: 254900NFTK4YH0WYT485 | Long             | ABS-CBDO         | CORP              | US        |  15000000 | PA      | $14495505.00  | 0.35%             | 2034-07-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo   | Velocity Commercial Capital Loan Trust 2020-1                                  | CUSIP: 92259LAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3420195 | PA      | $2879998.32   | 0.07%             | 2050-02-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo   | Velocity Commercial Capital Loan Trust 2021-2                                  | CUSIP: 92259MAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1986015 | PA      | $1565684.07   | 0.04%             | 2051-08-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                     | Enbridge Inc                                                                   | CUSIP: 29250NBL8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   2260000 | PA      | $2133986.81   | 0.05%             | 2025-02-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP               | Energy Transfer LP                                                             | CUSIP: 29278NAM5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   4055000 | PA      | $4066475.08   | 0.10%             | 2024-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MFT Trust                        | MFT Trust 2020-ABC                                                             | CUSIP: 55317BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11933000 | PA      | $7810637.75   | 0.19%             | 2042-02-10      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust        | MSBAM Commercial Mortgage Securities Trust 2012-CKSV                           | CUSIP: 553514AQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10354630 | PA      | $7112787.69   | 0.17%             | 2030-10-15      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| JDE PEET'S NV                    | JDE Peet's NV                                                                  | CUSIP: 47216QAA1<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |   1850000 | PA      | $1690862.83   | 0.04%             | 2024-09-24      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Jimmy John's Funding LLC         | Jimmy Johns Funding LLC                                                        | CUSIP: 47760QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11572875 | PA      | $10671157.09  | 0.26%             | 2047-07-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo   | Velocity Commercial Capital Loan Trust 2021-1                                  | CUSIP: 92259TAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2698065 | PA      | $2073705.42   | 0.05%             | 2051-05-25      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                  | Venture 34 CLO Ltd                                                             | CUSIP: 92332CAA7<br>LEI: 549300MYRV6PEDBLPL32 | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $9712310.00   | 0.23%             | 2031-10-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS           | Verizon Communications Inc                                                     | CUSIP: 92343VEP5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   4150000 | PA      | $4185098.54   | 0.10%             | 2025-05-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2020-INV1                                           | CUSIP: 92537TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1384435.95   | 0.03%             | 2060-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| JPMorgan US Government Money M   | JPMorgan US Government Money Market Fund                                       | CUSIP: 4812C2270<br>LEI: 549300NQ5E5B7ZV4T516 | Long             | STIV             | RF                | US        |  23601554 | NS      | $23601553.75  | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| KREF 2022-Fl3 Ltd                | KREF 2022-FL3 Ltd                                                              | CUSIP: 48275EAA4<br>LEI: 549300DG0FGL1EU1CT79 | Long             | ABS-CBDO         | CORP              | US        |   3506000 | PA      | $3403372.37   | 0.08%             | 2039-02-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP                     | Entergy Corp                                                                   | CUSIP: 29364GAM5<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |   4790000 | PA      | $4270189.25   | 0.10%             | 2025-09-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage    | Citigroup Commercial Mortgage Trust 2016-P3                                    | CUSIP: 29429CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11652901 | PA      | $445116.34    | 0.01%             | 2049-04-15      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| KREF 2021-FL2 Ltd                | KREF 2021-FL2 Ltd                                                              | CUSIP: 48275RAE7<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | US        |   7942000 | PA      | $7421878.42   | 0.18%             | 2039-02-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                      | Rad CLO 7 Ltd                                                                  | CUSIP: 48661CAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $9839698.00   | 0.24%             | 2033-04-17      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd         | Madison Park Funding XXVI Ltd                                                  | CUSIP: 55819YAC4<br>LEI: 549300FNRP3W5DX0O430 | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2922709.80   | 0.07%             | 2030-07-29      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC         | Warnermedia Holdings Inc                                                       | CUSIP: 55903VAU7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   4250000 | PA      | $4062885.46   | 0.10%             | 2025-03-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage    | Citigroup Commercial Mortgage Trust 2016-P4                                    | CUSIP: 29429EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11970626 | PA      | $584222.81    | 0.01%             | 2049-07-10      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage    | Citigroup Commercial Mortgage Trust 2016-P4                                    | CUSIP: 29429EAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2519000 | PA      | $2180928.79   | 0.05%             | 2049-07-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                      | Equinix Inc                                                                    | CUSIP: 29444UBF2<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   4640000 | PA      | $4199821.44   | 0.10%             | 2025-07-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2021-2                                     | CUSIP: 30166RAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4676756.00   | 0.11%             | 2026-11-16      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC             | Keurig Dr Pepper Inc                                                           | CUSIP: 49271VAL4<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   4250000 | PA      | $4036306.77   | 0.10%             | 2024-03-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                | Kinder Morgan Inc                                                              | CUSIP: 49456BAF8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    680000 | PA      | $667494.64    | 0.02%             | 2025-06-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2021-2                                     | CUSIP: 30166RAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9124820.00   | 0.22%             | 2028-02-15      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                | Expedia Group Inc                                                              | CUSIP: 30212PAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4169000 | PA      | $4207721.42   | 0.10%             | 2025-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| KOREA DEVELOPMENT BANK           | Korea Development Bank/The                                                     | CUSIP: 500630DE5<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | CORP              | KR        |   1000000 | PA      | $878633.03    | 0.02%             | 2026-04-27      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| KOREA DEVELOPMENT BANK           | Korea Development Bank/The                                                     | CUSIP: 500630DL9<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | CORP              | KR        |   4000000 | PA      | $3492035.04   | 0.08%             | 2026-09-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ExteNet Systems                  | ExteNet LLC 2019-1                                                             | CUSIP: 30227XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2490000 | PA      | $2339889.60   | 0.06%             | 2049-07-26      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2016-KF18 Mortgage Trust                                                 | CUSIP: 30294VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2433468 | PA      | $2377257.03   | 0.06%             | 2026-05-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2021-R1                                             | CUSIP: 92538BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2644401 | PA      | $2376639.38   | 0.06%             | 2063-10-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2020-4                                              | CUSIP: 92538LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296941 | PA      | $270450.76    | 0.01%             | 2065-05-25      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2017-KF30 Mortgage Trust                                                 | CUSIP: 30296EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2481119 | PA      | $2444655.65   | 0.06%             | 2027-03-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2018-KF44 Mortgage Trust                                                 | CUSIP: 30296JAC2<br>LEI: 549300EOT0GWUWJMLC61 | Long             | ABS-MBS          | CORP              | US        |    845940 | PA      | $833308.63    | 0.02%             | 2025-02-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| KOREA ELECTRIC POWER CO          | Korea Electric Power Corp                                                      | CUSIP: 500631AU0<br>LEI: 988400QG33WS7JEIV602 | Long             | DBT              | CORP              | KR        |   1050000 | PA      | $952190.06    | 0.02%             | 2025-06-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| KOREA HYDRO & NUCLEAR PO         | Korea Hydro & Nuclear Power Co Ltd                                             | CUSIP: 50064YAP8<br>LEI: 9884008CRY5MLCN8OQ43 | Long             | DBT              | CORP              | KR        |   2300000 | PA      | $2030109.38   | 0.05%             | 2026-04-27      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2017-K67 Mortgage Trust                                                  | CUSIP: 30300YAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 124762277 | PA      | $475019.89    | 0.01%             | 2049-09-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2017-KF27 Mortgage Trust                                                 | CUSIP: 30301BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1401628 | PA      | $1367632.51   | 0.03%             | 2026-12-25      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2018-KF49 Mortgage Trust                                                 | CUSIP: 30307PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1464889 | PA      | $1382441.68   | 0.03%             | 2025-06-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2019-KF61 Mortgage Trust                                                 | CUSIP: 30311LAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1962211 | PA      | $1827940.00   | 0.04%             | 2029-04-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| KOREA SOUTHERN POWER             | Korea Southern Power Co Ltd                                                    | CUSIP: 50065AAC8<br>LEI: 9884001B6VSIQS4ZY558 | Long             | DBT              | CORP              | KR        |   3000000 | PA      | $2634348.96   | 0.06%             | 2026-01-27      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership              | LCM XVII LP                                                                    | CUSIP: 50190AAP7<br>LEI: 549300K6S4MWQOINB710 | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $19597896.00  | 0.47%             | 2031-10-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2021-7                                              | CUSIP: 92538QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16271543 | PA      | $13729314.79  | 0.33%             | 2066-10-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                      | Viatris Inc                                                                    | CUSIP: 92556VAB2<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   2072000 | PA      | $1878442.34   | 0.05%             | 2025-06-22      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2019-KF69 Mortgage Trust                                                 | CUSIP: 30313LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1409624 | PA      | $1322130.39   | 0.03%             | 2029-08-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2019-KF72 Mortgage Trust                                                 | CUSIP: 30314JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3559200 | PA      | $3299399.36   | 0.08%             | 2026-11-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA         | Volkswagen Group of America Finance LLC                                        | CUSIP: 928668BJ0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | DE        |   4475000 | PA      | $4305998.67   | 0.10%             | 2023-11-22      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra   | VOLT XCIX LLC                                                                  | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28296824 | PA      | $25154509.88  | 0.60%             | 2051-04-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJVU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    506206 | PA      | $457393.34    | 0.01%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJVZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493813 | PA      | $445583.51    | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mort   | LCCM 2017-LC26                                                                 | CUSIP: 50190DAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8491896.00   | 0.20%             | 2050-07-12      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mort   | LCCM 2021-FL3 Trust                                                            | CUSIP: 50190FAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6367000 | PA      | $6044899.84   | 0.14%             | 2038-11-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mort   | LCCM 2021-FL3 Trust                                                            | CUSIP: 50190FAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2400000 | PA      | $2251970.40   | 0.05%             | 2038-11-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trus   | LSTAR Commercial Mortgage Trust 2016-4                                         | CUSIP: 50219QAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6445393 | PA      | $136940.75    | 0.00%             | 2049-03-10      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                               | CUSIP: 3132D6AU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8481204 | PA      | $7574499.07   | 0.18%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae REMICS                                                              | CUSIP: 3136A4T25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493871 | PA      | $481687.87    | 0.01%             | 2026-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae REMICS                                                              | CUSIP: 3136ADL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33617 | PA      | $33456.26     | 0.00%             | 2042-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae REMICS                                                              | CUSIP: 3136ATH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1498902 | PA      | $1353155.42   | 0.03%             | 2046-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO LTD             | Marble Point CLO XVII Ltd                                                      | CUSIP: 56606CAA1<br>LEI: 2549003LUS5LG1CTZP23 | Long             | ABS-CBDO         | CORP              | US        |  29500000 | PA      | $28730442.35  | 0.69%             | 2033-04-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO                 | Marble Point CLO XXII Ltd                                                      | CUSIP: 56606GAA2<br>LEI: 549300MZC31PBFF01E87 | Long             | ABS-CBDO         | CORP              | US        |  25000000 | PA      | $24021187.50  | 0.58%             | 2034-07-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra   | VOLT XCIII LLC                                                                 | CUSIP: 92873CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1178660 | PA      | $1066201.93   | 0.03%             | 2051-02-27      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra   | VOLT CI LLC                                                                    | CUSIP: 92873EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5084358 | PA      | $4535309.61   | 0.11%             | 2051-05-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac REMICS                                                             | CUSIP: 31397RK96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    294430 | PA      | $24683.58     | 0.00%             | 2038-02-15      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust     | GS Mortgage Securities Trust 2016-GS2                                          | CUSIP: 36252TAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14229206 | PA      | $626756.68    | 0.02%             | 2049-05-10      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust     | GS Mortgage Securities Trust 2014-GC24                                         | CUSIP: 36253GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3432172 | PA      | $30463.61     | 0.00%             | 2047-09-10      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2019-SL1                                   | CUSIP: 36257EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278093 | PA      | $276941.28    | 0.01%             | 2059-01-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD              | Macquarie Group Ltd                                                            | CUSIP: 55608JAL2<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   3080000 | PA      | $3069033.48   | 0.07%             | 2024-03-27      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Marathon CLO LTD                 | Marathon CLO V Ltd                                                             | CUSIP: 56576QAN8<br>LEI: 635400LRBGQZIPTCBI09 | Long             | ABS-CBDO         | CORP              | US        |    415012 | PA      | $414354.47    | 0.01%             | 2027-11-21      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| GSCG Trust                       | GSCG Trust 2019-600C                                                           | CUSIP: 36260TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14505000 | PA      | $12106470.61  | 0.29%             | 2034-09-06      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust     | GS Mortgage Securities Corp II                                                 | CUSIP: 36266CAL0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |  10950000 | PA      | $10146122.18  | 0.24%             | 2036-11-15      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXI Ltd.        | Marble Point CLO XXI Ltd                                                       | CUSIP: 56606KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  23000000 | PA      | $22269708.60  | 0.53%             | 2034-10-17      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO Ltd.            | Marble Point CLO XIV Ltd                                                       | CUSIP: 56608KAN3<br>LEI: 254900N4UCG37B1HFL93 | Long             | ABS-CBDO         | CORP              | US        |  25000000 | PA      | $24366127.50  | 0.58%             | 2032-01-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                   | Galaxy XXII CLO Ltd                                                            | CUSIP: 36320TAV5<br>LEI: 54930022KENWLYJ8SJ86 | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $19445006.00  | 0.47%             | 2034-04-16      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                | General Mills Inc                                                              | CUSIP: 370334CF9<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |   2240000 | PA      | $2189580.20   | 0.05%             | 2025-04-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Marathon CLO LTD                 | Marathon CLO IX Ltd                                                            | CUSIP: 56577PAE9<br>LEI: 5493008SBRQGMZFP2M89 | Long             | ABS-CBDO         | CORP              | US        |   8625000 | PA      | $8496670.35   | 0.20%             | 2029-04-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage   | MASTR Adjustable Rate Mortgages Trust 2006-2                                   | CUSIP: 576438AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70232 | PA      | $39598.50     | 0.00%             | 2036-04-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC         | Marsh & McLennan Cos Inc                                                       | CUSIP: 571748BF8<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |   4340000 | PA      | $4281848.90   | 0.10%             | 2024-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL           | Marriott International Inc/MD                                                  | CUSIP: 571900BB4<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   4155000 | PA      | $4073882.68   | 0.10%             | 2024-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                | General Mills Inc                                                              | CUSIP: 370334CS1<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |   1675000 | PA      | $1679762.78   | 0.04%             | 2025-11-18      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO           | General Motors Financial Co Inc                                                | CUSIP: 37045XBG0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   4270000 | PA      | $4208643.90   | 0.10%             | 2026-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Genesis Sales Finance Master T   | Genesis Sales Finance Master Trust                                             | CUSIP: 37186XAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9146888.00   | 0.22%             | 2026-12-21      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC             | Glencore Funding LLC                                                           | CUSIP: 378272AL2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | AU        |   4211000 | PA      | $4077421.82   | 0.10%             | 2025-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Global SC Finance SRL            | Global SC Finance VII Srl                                                      | CUSIP: 37959PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CN        |   3750653 | PA      | $3328383.02   | 0.08%             | 2040-10-17      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC          | Goldman Sachs Group Inc/The                                                    | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4455000 | PA      | $4287908.50   | 0.10%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Merchants Bank of Indiana Mult   | Merchants Bank of Indiana Multifamily Housing Mortgage Loan Trust 2021-Q015    | CUSIP: 58849LAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1941818 | PA      | $1939972.32   | 0.05%             | 2024-08-25      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo   | Merrill Lynch Mortgage Investors Trust Series 2006-RM2                         | CUSIP: 590216AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  36465736 | PA      | $10635775.30  | 0.25%             | 2037-05-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                  | McDonald's Corp                                                                | CUSIP: 58013MEU4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    985000 | PA      | $953715.67    | 0.02%             | 2025-05-26      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MEGLOBAL CANADA ULC              | MEGlobal Canada ULC                                                            | CUSIP: 58518N2B7<br>LEI: 635400MHHHT7LMKMQL03 | Long             | DBT              | CORP              | KW        |   4400000 | PA      | $4330260.00   | 0.10%             | 2025-05-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra   | VOLT XCVI LLC                                                                  | CUSIP: 92873FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5518406 | PA      | $5029827.44   | 0.12%             | 2051-03-27      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra   | Vericrest Opportunity Loan Transferee                                          | CUSIP: 92873HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7940417 | PA      | $6893510.09   | 0.17%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Government National Mortgage Association                                       | CUSIP: 38380BQE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190914 | PA      | $189081.66    | 0.00%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Government National Mortgage Association                                       | CUSIP: 38380CVX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3150 | PA      | $3139.59      | 0.00%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo   | Merrill Lynch Mortgage Investors Trust Series 2006-AF1                         | CUSIP: 59023RAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1199918 | PA      | $549880.08    | 0.01%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note   | Merrill Lynch Alternative Note Asset Trust Series 2007-F1                      | CUSIP: 59023YAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    338487 | PA      | $135518.32    | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta   | Greystone CRE Notes 2021-FL3 Ltd                                               | CUSIP: 39809PAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10700000 | PA      | $9876538.70   | 0.24%             | 2039-07-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 1 Ltd.      | Gulf Stream Meridian 3 Ltd                                                     | CUSIP: 402512AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13500000 | PA      | $13197502.80  | 0.32%             | 2034-04-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| MERCURY CHILE HOLDCO LLC         | Mercury Chile Holdco LLC                                                       | CUSIP: 58937CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |   1500000 | PA      | $1440000.00   | 0.03%             | 2027-01-24      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOC AVIATION USA CORP            | BOC Aviation USA Corp                                                          | CUSIP: 66980P2A6<br>LEI: 254900QKLTY6MF4Y3P65 | Long             | DBT              | CORP              | SG        |   3360000 | PA      | $3190923.79   | 0.08%             | 2024-04-29      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 1 Ltd.      | Gulf Stream Meridian 4 Ltd                                                     | CUSIP: 402562AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13000000 | PA      | $12669008.30  | 0.30%             | 2034-07-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| HCA INC                          | HCA Inc                                                                        | CUSIP: 404119BN8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   4137000 | PA      | $4115202.02   | 0.10%             | 2024-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2005-AR4 Trust                  | CUSIP: 92922FG77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3364966 | PA      | $3087344.55   | 0.07%             | 2035-04-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU   | WFRBS Commercial Mortgage Trust 2014-C19                                       | CUSIP: 92938VAW5<br>LEI: 549300FCX3YXSYSLU895 | Long             | ABS-MBS          | CORP              | US        |   2238441 | PA      | $17232.41     | 0.00%             | 2047-03-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                      | NVIDIA Corp                                                                    | CUSIP: 67066GAL8<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |   4520000 | PA      | $4267324.81   | 0.10%             | 2024-06-14      | Fixed         | 0.58%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-NQM2 Trust                                                            | CUSIP: 670857AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3382679 | PA      | $2578674.20   | 0.06%             | 2061-05-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo   | Merrill Lynch Mortgage Investors Trust Series 2007-HE2                         | CUSIP: 59024LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4577852 | PA      | $1397913.47   | 0.03%             | 2037-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo   | Merrill Lynch Mortgage Investors Trust Series 2007-HE2                         | CUSIP: 59024LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7078715 | PA      | $2162100.84   | 0.05%             | 2037-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                | HSBC Holdings PLC                                                              | CUSIP: 404280CW7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   4395000 | PA      | $4187555.56   | 0.10%             | 2024-11-22      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Halcyon Loan Advisors Funding    | Halcyon Loan Advisors Funding 2013-2 Ltd                                       | CUSIP: 40537YAN3<br>LEI: 5493007BSG4LRQVLD578 | Long             | ABS-CBDO         | CORP              | US        |    133637 | PA      | $108039.45    | 0.00%             | 2025-08-01      | Floating      | 8.24%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners Ltd          | OHA Credit Partners VII Ltd                                                    | CUSIP: 67102QAV0<br>LEI: 549300LXLBAFTIMXZT54 | Long             | ABS-CBDO         | CORP              | US        |   8500000 | PA      | $8314537.65   | 0.20%             | 2034-02-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| OFSI Fund LTD                    | OFSI Fund IX Ltd                                                               | CUSIP: 67111BAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15000000 | PA      | $14619946.50  | 0.35%             | 2031-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU   | WFRBS Commercial Mortgage Trust 2014-C21                                       | CUSIP: 92939FBA6<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |   6338330 | PA      | $82096.59     | 0.00%             | 2047-08-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2006-AR18 Trust                 | CUSIP: 933637AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11786958 | PA      | $10118707.21  | 0.24%             | 2037-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC         | Microchip Technology Inc                                                       | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   4651000 | PA      | $4418711.15   | 0.11%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP           | Mitsubishi UFJ Financial Group Inc                                             | CUSIP: 606822AZ7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   5246000 | PA      | $5255400.99   | 0.13%             | 2023-07-26      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Hayfin Kingsland VIII Ltd        | Hayfin US XII Ltd                                                              | CUSIP: 42086PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9500000 | PA      | $9309702.65   | 0.22%             | 2031-04-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Hayfin Kingsland VIII Ltd        | Hayfin US XII Ltd                                                              | CUSIP: 42086PAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6500000 | PA      | $6249427.60   | 0.15%             | 2031-04-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2022-NQM1 Trust                                                            | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6866057 | PA      | $5915568.44   | 0.14%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2020-EXP2 Trust                                                            | CUSIP: 67448VAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    482934 | PA      | $384477.68    | 0.01%             | 2060-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP           | Mizuho Financial Group Inc                                                     | CUSIP: 60687YBY4<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   4280000 | PA      | $4202516.34   | 0.10%             | 2026-05-22      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust        | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14                    | CUSIP: 61690GAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2817161 | PA      | $15381.98     | 0.00%             | 2047-02-15      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| OMNICOM GP/OMNICOM CAP           | Omnicom Group Inc / Omnicom Capital Inc                                        | CUSIP: 681919BA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3135000 | PA      | $3075830.92   | 0.07%             | 2024-11-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                      | Oracle Corp                                                                    | CUSIP: 68389XCF0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $2108407.65   | 0.05%             | 2025-11-10      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust               | HERO Funding Trust 2016-1                                                      | CUSIP: 42770VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    901607 | PA      | $857905.93    | 0.02%             | 2041-09-20      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance III L   | Horizon Aircraft Finance III Ltd                                               | CUSIP: 44040JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18685732 | PA      | $14417387.59  | 0.35%             | 2039-11-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| OVERSEA-CHINESE BANKING          | Oversea-Chinese Banking Corp Ltd                                               | CUSIP: 69033CAD1<br>LEI: 5493007O3QFXCPOGWK22 | Long             | DBT              | CORP              | SG        |   1900000 | PA      | $1706741.50   | 0.04%             | 2030-09-10      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| OVERSEA-CHINESE BANKING          | Oversea-Chinese Banking Corp Ltd                                               | CUSIP: 69033DAD9<br>LEI: 5493007O3QFXCPOGWK22 | Long             | DBT              | CORP              | SG        |   6600000 | PA      | $5928681.00   | 0.14%             | 2030-09-10      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                | Hyatt Hotels Corp                                                              | CUSIP: 448579AL6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   3678000 | PA      | $3576295.69   | 0.09%             | 2023-10-01      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA          | Hyundai Capital America                                                        | CUSIP: 44891ABY2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   2570000 | PA      | $2376075.56   | 0.06%             | 2024-09-17      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust        | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7                     | CUSIP: 61690KAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1052357 | PA      | $25.89        | 0.00%             | 2046-02-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust   | Morgan Stanley Capital I Trust 2019-PLND                                       | CUSIP: 61691XAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13327000 | PA      | $11528775.90  | 0.28%             | 2036-05-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag   | PRPM 2022-1 LLC                                                                | CUSIP: 693582AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8596524 | PA      | $8077679.82   | 0.19%             | 2027-02-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag   | PRPM 2021-4 LLC                                                                | CUSIP: 693583AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8110319 | PA      | $7302940.80   | 0.18%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust                 | CUSIP: 93363EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2953982 | PA      | $2523042.49   | 0.06%             | 2036-09-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates   | WaMu Asset-Backed Certificates WaMu Series 2007-HE4 Trust                      | CUSIP: 93363XAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1723745 | PA      | $1055290.61   | 0.03%             | 2047-07-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.       | Impac Secured Assets Trust 2006-5                                              | CUSIP: 45257EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    789335 | PA      | $706594.66    | 0.02%             | 2037-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2006-A2                                 | CUSIP: 45661EBX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    688726 | PA      | $297569.41    | 0.01%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag   | PRPM 2021-6 LLC                                                                | CUSIP: 69360FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6227501 | PA      | $5653250.86   | 0.14%             | 2026-07-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag   | PRPM 2021-7 LLC                                                                | CUSIP: 69360LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12039239 | PA      | $10973490.77  | 0.26%             | 2026-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust   | Morgan Stanley Capital I Trust 2019-PLND                                       | CUSIP: 61691XAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1331000 | PA      | $899049.90    | 0.02%             | 2036-05-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust   | Morgan Stanley Capital I Trust 2019-NUGS                                       | CUSIP: 61692AAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711000 | PA      | $487352.53    | 0.01%             | 2036-12-15      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2006-AR5                                      | CUSIP: 45661ECM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    703847 | PA      | $600814.00    | 0.01%             | 2036-05-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| ITAU UNIBANCO HLDG SA/KY         | Itau Unibanco Holding SA/Cayman Island                                         | CUSIP: 46556M2A9<br>LEI: 5493002W2IVG62O3ZJ94 | Long             | DBT              | CORP              | BR        |   5900000 | PA      | $5373218.50   | 0.13%             | 2031-04-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| PT PERTAMINA (PERSERO)           | Pertamina Persero PT                                                           | CUSIP: 69370RAK3<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |   4200000 | PA      | $3757314.29   | 0.09%             | 2026-02-09      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT            | Freeport Indonesia PT                                                          | CUSIP: 69377FAA4<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |   1550000 | PA      | $1495750.00   | 0.04%             | 2027-04-14      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed   | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE5 Trust       | CUSIP: 93934XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6520460 | PA      | $2483831.06   | 0.06%             | 2036-10-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed   | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE5 Trust       | CUSIP: 93934XAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2394625 | PA      | $912253.01    | 0.02%             | 2036-10-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                   | Morgan Stanley                                                                 | CUSIP: 6174468W2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4510000 | PA      | $4479862.56   | 0.11%             | 2024-01-25      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| MSILF Government Portfolio       | MSILF Government Portfolio                                                     | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |  23601554 | NS      | $23601553.75  | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMBB Commercial Mortgage Secu   | JPMBB Commercial Mortgage Securities Trust 2015-C32                            | CUSIP: 46590JAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14580881 | PA      | $254510.73    | 0.01%             | 2048-11-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor   | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1                  | CUSIP: 46590KAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14738726 | PA      | $332359.75    | 0.01%             | 2049-01-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | PRET 2022-NPL2 LLC                                                             | CUSIP: 693971AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6859623 | PA      | $6623647.20   | 0.16%             | 2052-04-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC           | Pacific Gas and Electric Co                                                    | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1455000 | PA      | $1420794.73   | 0.03%             | 2024-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO              | JPMorgan Chase & Co                                                            | CUSIP: 46625HMN7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4415000 | PA      | $4320499.66   | 0.10%             | 2025-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T   | JP Morgan Alternative Loan Trust 2007-S1                                       | CUSIP: 466275AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3746064 | PA      | $3570358.86   | 0.09%             | 2047-04-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                | Wellfleet CLO 2020-1 Ltd                                                       | CUSIP: 94949GAA9<br>LEI: 2549001JCRYETQY84B65 | Long             | ABS-CBDO         | CORP              | US        |  17500000 | PA      | $17119574.50  | 0.41%             | 2033-04-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2016-C33                                 | CUSIP: 95000LBC6<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-MBS          | CORP              | US        |  10529245 | PA      | $415349.24    | 0.01%             | 2059-03-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-2                                      | CUSIP: 61748HVY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236704 | PA      | $140225.87    | 0.00%             | 2036-02-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust        | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12                    | CUSIP: 61762XAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3063908 | PA      | $6160.29      | 0.00%             | 2046-10-15      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC           | Pacific Gas and Electric Co                                                    | CUSIP: 694308KE6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2759397.54   | 0.07%             | 2025-06-08      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PureWest Funding LLC             | Purewest Funding LLC                                                           | CUSIP: 746245AA7<br>LEI: 549300CU0IQI7FATI376 | Long             | ABS-O            | CORP              | US        |  10090325 | PA      | $9576422.73   | 0.23%             | 2036-12-22      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T   | JP Morgan Alternative Loan Trust                                               | CUSIP: 46627MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32876362 | PA      | $13839324.48  | 0.33%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition   | JP Morgan Mortgage Acquisition Trust 2006-WMC2                                 | CUSIP: 46628TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11552135 | PA      | $5333020.97   | 0.13%             | 2036-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust        | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18                    | CUSIP: 61763XAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $462738.15    | 0.01%             | 2047-10-15      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust        | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28                    | CUSIP: 61766LBT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16325838 | PA      | $440631.09    | 0.01%             | 2049-01-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| KT CORP                          | KT Corp                                                                        | CUSIP: ZO0554030<br>LEI: 9884005ACF8449EANY26 | Long             | DBT              | CORP              | KR        |   6500000 | PA      | $5802622.22   | 0.14%             | 2025-09-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| STARS GROUP HOLDINGS BV          | Stars Group Holdings BV                                                        | CUSIP: N/A<br>LEI: 549300RNFXC8F8RT6R13       | Long             | LON              | CORP              | NL        |   5837538 | PA      | $5766173.90   | 0.14%             | 2026-07-21      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY            | Wells Fargo & Co                                                               | CUSIP: 95000U2Y8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1685000 | PA      | $1680559.33   | 0.04%             | 2026-04-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY            | Wells Fargo & Co                                                               | CUSIP: 95000U3C5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1716670.48   | 0.04%             | 2026-08-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2021-3                                            | CUSIP: 91679LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2791203.00   | 0.07%             | 2031-07-20      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| VMC Finance LLC                  | VMC Finance 2022-FL5 LLC                                                       | CUSIP: 91835BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $974898.00    | 0.02%             | 2039-02-18      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| STARS GROUP HOLDINGS BV          | Stars Group Holdings BV                                                        | CUSIP: N/A<br>LEI: 549300RNFXC8F8RT6R13       | Long             | LON              | CORP              | NL        |   6087594 | PA      | $6013172.81   | 0.14%             | 2026-07-21      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| SOUND INPATIENT PHYSICIA         | Sound Inpatient Physicians Holdings LLC                                        | CUSIP: 46322EAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1887488 | PA      | $1545002.90   | 0.04%             | 2025-06-28      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra   | VOLT XCVII LLC                                                                 | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3165013 | PA      | $2800348.76   | 0.07%             | 2051-04-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust | CUSIP: 93934FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1088760 | PA      | $1022392.23   | 0.02%             | 2035-10-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2020-RPL1                       | CUSIP: 61771HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    535607 | PA      | $515650.38    | 0.01%             | 2060-10-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                   | Morgan Stanley                                                                 | CUSIP: 61772BAA1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4374000 | PA      | $4311719.01   | 0.10%             | 2024-04-05      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2019-C52                                 | CUSIP: 95002MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22476565 | PA      | $1596224.94   | 0.04%             | 2052-08-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2022-ONL                                 | CUSIP: 95003WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5250000 | PA      | $4669050.75   | 0.11%             | 2039-12-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| WELLTOWER INC                    | Welltower Inc                                                                  | CUSIP: 95040QAG9<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |   4365000 | PA      | $4273567.57   | 0.10%             | 2024-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO III Ltd             | Whitebox CLO III Ltd                                                           | CUSIP: 96467HAA4<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | US        |  50000000 | PA      | $48657020.00  | 1.17%             | 2034-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA BRISTOL LLC         | Virgin Media Bristol LLC                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   2694290 | PA      | $2654117.64   | 0.06%             | 2028-01-31      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPER      | Charter Communications Operating LLC                                           | CUSIP: 16117LBX6<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |  12046807 | PA      | $11781777.37  | 0.28%             | 2027-02-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| MOSAIC CO                        | Mosaic Co/The                                                                  | CUSIP: 61945CAC7<br>LEI: 2YD5STGSJNMUB7H76907 | Long             | DBT              | CORP              | US        |   3351000 | PA      | $3324204.93   | 0.08%             | 2023-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC           | Mosaic Solar Loans 2017-1 LLC                                                  | CUSIP: 61946EAA6<br>LEI: 549300ZLA8SW2SVJMN33 | Long             | ABS-O            | CORP              | US        |    762199 | PA      | $730216.08    | 0.02%             | 2042-06-20      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Willis Engine Securitization T   | Willis Engine Structured Trust V                                               | CUSIP: 97064FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6331962 | PA      | $4841620.67   | 0.12%             | 2045-03-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS           | Zimmer Biomet Holdings Inc                                                     | CUSIP: 98956PAU6<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |   4545000 | PA      | $4228594.10   | 0.10%             | 2024-11-22      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| ERESEARCHTECHNOLOGY INC          | eResearchTechnology Inc                                                        | CUSIP: 29481PAH4<br>LEI: 2549003SUFVGC903CK03 | Long             | LON              | CORP              | US        |    128035 | PA      | $113350.88    | 0.00%             | 2027-02-04      | Floating      | 8.88%                 | No            |                  2 | On Loan: No      |
| 1011778 BC ULC                   | 1011778 BC ULC                                                                 | CUSIP: C6901LAH0<br>LEI: 549300RHSHNRWI5LLA86 | Long             | LON              | CORP              | CA        |   9578262 | PA      | $9432001.68   | 0.23%             | 2026-11-19      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC           | Mosaic Solar Loan Trust 2020-2                                                 | CUSIP: 61946PAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5855748 | PA      | $4981771.98   | 0.12%             | 2046-08-20      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| MP Clo VIII, LTD                 | MP CLO VIII Ltd                                                                | CUSIP: 62481WAL1<br>LEI: 549300D60LKSR31DKI65 | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $9618876.00   | 0.23%             | 2034-04-28      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| SINGTEL GROUP TREASURY           | SingTel Group Treasury Pte Ltd                                                 | CUSIP: QZ6767219<br>LEI: 2549002FQJ4364A54N70 | Long             | DBT              | CORP              | SG        |    200000 | PA      | $184501.46    | 0.00%             | 2026-10-03      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ADANI PORTS AND SPECIAL          | Adani Ports & Special Economic Zone Ltd                                        | CUSIP: AO0809829<br>LEI: 335800QOAXP5TM7OYP69 | Long             | DBT              | CORP              | IN        |   1500000 | PA      | $1311897.74   | 0.03%             | 2027-07-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SETANTA AIRCRAFT LEASING         | Setanta Aircraft Leasing DAC                                                   | CUSIP: G8057JAB2<br>LEI: N/A                  | Long             | LON              | CORP              | IE        |  10365000 | PA      | $10333905.00  | 0.25%             | 2028-11-05      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 010424                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $143203.56    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Whitehorse Ltd                   | Whitehorse XII Ltd                                                             | CUSIP: 96525YAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6000000 | PA      | $5854423.80   | 0.14%             | 2031-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC           | Williams Cos Inc/The                                                           | CUSIP: 969457BW9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1950000 | PA      | $1929790.84   | 0.05%             | 2024-06-24      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| MYLAN INC                        | Mylan Inc                                                                      | CUSIP: 628530AV9<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499622.34    | 0.01%             | 2023-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| NLY Commercial Mortgage Trust    | NLY Commercial Mortgage Trust                                                  | CUSIP: 629167AE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11000000 | PA      | $10763500.00  | 0.26%             | 2036-02-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| UPL CORP LTD                     | UPL Corp Ltd                                                                   | CUSIP: AR5596903<br>LEI: 213800AQLATW4WEEH674 | Long             | DBT              | CORP              | IN        |   2100000 | PA      | $1765644.99   | 0.04%             | 2028-03-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLD FIELDS OROGEN HOLD          | Gold Fields Orogen Holdings BVI Ltd                                            | CUSIP: ZS5391082<br>LEI: 213800CLGJ2E9KGU2F20 | Long             | DBT              | CORP              | ZA        |    275000 | PA      | $272877.33    | 0.01%             | 2024-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 070623                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-7840959.99  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 083123                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-9101442.39  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mortgage Trust          | NYMT Loan Trust 2020-SP2                                                       | CUSIP: 62955DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17322852 | PA      | $16772527.59  | 0.40%             | 2060-10-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Nassau 2018-I Ltd.               | Nassau 2018-I Ltd                                                              | CUSIP: 63170MAA1<br>LEI: 5493003RNMF4L18JF715 | Long             | ABS-CBDO         | CORP              | US        |  22600000 | PA      | $21995450.00  | 0.53%             | 2031-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                      | Workday Inc                                                                    | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |   2245000 | PA      | $2101500.74   | 0.05%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK LEUMI LE-ISRAEL             | Bank Leumi Le-Israel BM                                                        | CUSIP: 06326BAA7<br>LEI: 7JDSZWRGUQY2DSTWCR57 | Long             | DBT              | CORP              | IL        |   4050000 | PA      | $3602900.25   | 0.09%             | 2031-01-29      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 051623                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-15308844.74 | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 060823                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-10614274.53 | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se   | Natixis Commercial Mortgage Securities Trust 2018-FL1                          | CUSIP: 63874MAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9940000 | PA      | $8886650.25   | 0.21%             | 2035-06-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se   | Natixis Commercial Mortgage Securities Trust 2020-2PAC                         | CUSIP: 63875DAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8191000 | PA      | $7321654.77   | 0.18%             | 2037-01-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| DBS GROUP HOLDINGS LTD           | DBS Group Holdings Ltd                                                         | CUSIP: BO3306350<br>LEI: 5493007FKT78NKPM5V55 | Long             | DBT              | CORP              | SG        |   6800000 | PA      | $6052476.00   | 0.15%             | 2031-03-10      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| UNITED OVERSEAS BANK LTD         | United Overseas Bank Ltd                                                       | CUSIP: ZO3818671<br>LEI: IO66REGK3RCBAMA8HR66 | Long             | DBT              | CORP              | SG        |   7900000 | PA      | $6986760.00   | 0.17%             | 2031-03-16      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| ADANI INTERNATIONAL CONT         | Adani International Container Terminal Pvt Ltd                                 | CUSIP: BN0450864<br>LEI: 335800J4SLERP6S94P28 | Long             | DBT              | CORP              | IN        |   1645312 | PA      | $1290512.57   | 0.03%             | 2031-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PERIAMA HOLDINGS LLC/DE          | Periama Holdings LLC/DE                                                        | CUSIP: ZO8974420<br>LEI: 254900NINXO00BLT2Z47 | Long             | DBT              | CORP              | IN        |   3300000 | PA      | $3091803.00   | 0.07%             | 2026-04-19      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 111423                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-3030813.28  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 052423                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-14373329.99 | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se   | Natixis Commercial Mortgage Securities Trust 2020-2PAC                         | CUSIP: 63875DAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4742000 | PA      | $4074314.55   | 0.10%             | 2037-01-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust       | Navient Private Education Refi Loan Trust 2018-A                               | CUSIP: 63940PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4255271.10   | 0.10%             | 2042-02-18      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| FORESIGHT EQUITY                 | FORESIGHT EQUITY                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     58790 | NS      | $703129.82    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| AMENTUM GOVERNMENT SERVI         | Amentum Government Services Holdings LLC                                       | CUSIP: 57776DAB9<br>LEI: 5493008CT6B5L54YSE94 | Long             | LON              | CORP              | US        |     56032 | PA      | $54935.09     | 0.00%             | 2027-01-31      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 060123                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-7065515.64  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 111623                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-584998.25   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| New Mountain CLO 2 Ltd           | New Mountain CLO 2 Ltd                                                         | CUSIP: 64754LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12000000 | PA      | $11704215.60  | 0.28%             | 2034-04-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG         | New York Life Global Funding                                                   | CUSIP: 64952WEU3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |   1755000 | PA      | $1693256.50   | 0.04%             | 2025-08-05      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTIO         | Caesars Resort Collection LLC                                                  | CUSIP: 12769LAD1<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |    386783 | PA      | $386321.13    | 0.01%             | 2025-07-20      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                    | Carnival Corp                                                                  | CUSIP: N/A<br>LEI: F1OF2ZSX47CR0BCWA982       | Long             | LON              | CORP              | PA        |    430100 | PA      | $413586.31    | 0.01%             | 2025-06-30      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| SA GLOBAL SUKUK LTD              | SA Global Sukuk Ltd                                                            | CUSIP: BP9911382<br>LEI: 5493007DFAVKU7UOGR47 | Long             | DBT              | CORP              | SA        |   3000000 | PA      | $2685024.00   | 0.06%             | 2026-06-17      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| BANK HAPOALIM                    | Bank Hapoalim BM                                                               | CUSIP: BR9645804<br>LEI: B6ARUI4946ST4S7WOU88 | Long             | DBT              | CORP              | IL        |   4100000 | PA      | $3545434.00   | 0.08%             | 2032-01-21      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 011024                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-824139.42   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 013124                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $1164820.86   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CABLEVISION LIGHTPATH            | Cablevision Lightpath LLC                                                      | CUSIP: 12687HAB3<br>LEI: 5493002ZVBLRLGES1R71 | Long             | LON              | CORP              | US        |    578200 | PA      | $554713.52    | 0.01%             | 2027-12-01      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| SKYMILES IP LTD                  | SkyMiles IP Ltd                                                                | CUSIP: 24736CBS2<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | US        |    645000 | PA      | $658667.55    | 0.02%             | 2027-10-20      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 080923                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-1949108.36  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 100423                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-9257331.90  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| PAI HOLDCO INC                   | PAI Holdco Inc                                                                 | CUSIP: 69315JAG8<br>LEI: 2549001NJ55NUV372F56 | Long             | LON              | CORP              | US        |    487575 | PA      | $432420.41    | 0.01%             | 2027-10-28      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| WMG ACQUISITION CORP             | WMG Acquisition Corp                                                           | CUSIP: 92929LAV0<br>LEI: 549300NAS11NXI33CP80 | Long             | LON              | CORP              | US        |  12512934 | PA      | $12387804.44  | 0.30%             | 2028-01-20      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL           | NextEra Energy Capital Holdings Inc                                            | CUSIP: 65339KBL3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    605000 | PA      | $597182.63    | 0.01%             | 2024-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL           | NextEra Energy Capital Holdings Inc                                            | CUSIP: 65339KCF5<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1332983.36   | 0.03%             | 2024-06-20      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 112123                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-831941.62   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 071923                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-6327530.87  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE          | Nissan Motor Acceptance Co LLC                                                 | CUSIP: 65480CAB1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $939180.90    | 0.02%             | 2024-09-16      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| NONGHYUP BANK                    | NongHyup Bank                                                                  | CUSIP: 65540KAD7<br>LEI: 988400GSDJCW3LKJBD20 | Long             | DBT              | CORP              | KR        |   2000000 | PA      | $1810291.18   | 0.04%             | 2025-07-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| TNB GLOBAL VENTURES CAP          | TNB Global Ventures Capital Bhd                                                | CUSIP: QZ6982289<br>LEI: 5493004U8XEGPFWIBZ14 | Long             | DBT              | CORP              | MY        |   9200000 | PA      | $8539394.00   | 0.20%             | 2026-10-19      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| EQUATE PETROCHEMICAL BV          | Equate Petrochemical BV                                                        | CUSIP: AL0164361<br>LEI: 635400Y3Z5R4NJSMQ630 | Long             | DBT              | CORP              | KW        |   1300000 | PA      | $1246164.40   | 0.03%             | 2026-11-03      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 112123                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-701783.08   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 121223                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-2872711.79  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust    | Nomura Resecuritization Trust 2015-8R                                          | CUSIP: 65541AAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4219865 | PA      | $3447513.73   | 0.08%             | 2047-11-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP            | Northrop Grumman Corp                                                          | CUSIP: 666807BM3<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3263239.90   | 0.08%             | 2025-01-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| MEGLOBAL CANADA ULC              | MEGlobal Canada ULC                                                            | CUSIP: BJ4488380<br>LEI: 635400MHHHT7LMKMQL03 | Long             | DBT              | CORP              | KW        |    400000 | PA      | $393660.00    | 0.01%             | 2025-05-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AI CANDELARIA SPAIN SLU          | AI Candelaria Spain SA                                                         | CUSIP: AV1352799<br>LEI: 213800L5KA2MJ5FKRZ02 | Long             | DBT              | CORP              | CO        |   4425849 | PA      | $4199223.40   | 0.10%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 122123                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-4575680.36  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 123022                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-17321092.36 | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| Northwoods Capital Ltd           | Northwoods Capital XVI Ltd                                                     | CUSIP: 66859WAA0<br>LEI: 549300DXMQIRCT0KIT70 | Long             | ABS-CBDO         | CORP              | US        |   8898846 | PA      | $8760378.61   | 0.21%             | 2030-11-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust 2021-2                                          | CUSIP: 69546LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7946058 | PA      | $7404632.02   | 0.18%             | 2029-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 031423                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-11757762.38 | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 102623                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-4628030.42  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Trust 2022-1                                                    | CUSIP: 69546MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16647798 | PA      | $14997260.66  | 0.36%             | 2029-10-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust 2021-5                                          | CUSIP: 69547EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7499116 | PA      | $6726394.59   | 0.16%             | 2029-08-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 081723                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-516676.32   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 122023                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-4384375.55  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust 2021-5                                          | CUSIP: 69547EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8498998 | PA      | $7162603.19   | 0.17%             | 2029-08-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd            | Palmer Square CLO 2021-2 Ltd                                                   | CUSIP: 69701XAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17500000 | PA      | $17094493.50  | 0.41%             | 2034-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| SABLE INTL FINANCE LTD           | Sable International Finance Ltd                                                | CUSIP: ZS0018763<br>LEI: 2138009IE9A35LO5JS73 | Long             | DBT              | CORP              | PA        |   5716000 | PA      | $5283013.00   | 0.13%             | 2027-09-07      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VEDANTA UK INVESTMENTS           | Vedanta Resources Ltd                                                          | CUSIP: EJ6916690<br>LEI: 2138007MYEKPEAZQTW83 | Long             | DBT              | CORP              | IN        |   1500000 | PA      | $1409301.11   | 0.03%             | 2023-05-31      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS          | Park Aerospace Holdings Ltd                                                    | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | IE        |   1280000 | PA      | $1276936.06   | 0.03%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advi   | Park Avenue Institutional Advisers CLO Ltd 2016-1                              | CUSIP: 700162AJ9<br>LEI: 549300SPM0J0RQRUOB94 | Long             | ABS-CBDO         | CORP              | US        |  15000000 | PA      | $14692639.50  | 0.35%             | 2031-08-23      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 081623                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-3580907.65  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 120723                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-369533.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VEDANTA UK INVESTMENTS           | Vedanta Resources Ltd                                                          | CUSIP: AO6252495<br>LEI: 2138007MYEKPEAZQTW83 | Long             | DBT              | CORP              | IN        |    200000 | PA      | $126506.24    | 0.00%             | 2024-08-09      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CSN RESOURCES SA                 | CSN Resources SA                                                               | CUSIP: ZS1469080<br>LEI: 222100ZEX458NMOXZP08 | Long             | DBT              | CORP              | BR        |   1100000 | PA      | $1099466.20   | 0.03%             | 2026-04-17      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP             | Parker-Hannifin Corp                                                           | CUSIP: 701094AQ7<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |   1895000 | PA      | $1855236.85   | 0.04%             | 2024-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL         | Penske Truck Leasing Co Lp / PTL Finance Corp                                  | CUSIP: 709599BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4360000 | PA      | $4112833.08   | 0.10%             | 2024-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 012324                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $427378.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 053023                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-12858338.97 | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                      | Phillips 66                                                                    | CUSIP: 718546AV6<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |   1515000 | PA      | $1479083.15   | 0.04%             | 2025-04-09      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                      | Phillips 66                                                                    | CUSIP: 718546AZ7<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    810000 | PA      | $726551.59    | 0.02%             | 2026-02-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR           | Millicom International Cellular SA                                             | CUSIP: AU8860432<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |    810000 | PA      | $804516.30    | 0.02%             | 2026-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR           | Millicom International Cellular SA                                             | CUSIP: AP0969109<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | GT        |   2205000 | PA      | $2054276.43   | 0.05%             | 2028-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 052323                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-14006855.74 | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 071123                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-9440701.50  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE         | Pioneer Natural Resources Co                                                   | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   2185000 | PA      | $1949874.73   | 0.05%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | Pretium Mortgage Credit Partners I 2021-NPL2 LLC                               | CUSIP: 741386AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3489836 | PA      | $3095194.66   | 0.07%             | 2060-06-27      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 050423                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-15631642.61 | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 042623                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-14513027.13 | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | Pretium Mortgage Credit Partners I 2021-NPL1 LLC                               | CUSIP: 741389AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2763345 | PA      | $2530272.44   | 0.06%             | 2060-09-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | Pretium Mortgage Credit Partners LLC                                           | CUSIP: 74140QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22124083 | PA      | $20051432.22  | 0.48%             | 2061-02-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 072523                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-8919497.60  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 080123                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $44316.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SELECT MEDICAL CORP              | Select Medical Corp                                                            | CUSIP: 816194AV6<br>LEI: 549300X05KS0JKR8CB50 | Long             | LON              | CORP              | US        |   1824034 | PA      | $1792797.19   | 0.04%             | 2025-03-06      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| CYXTERA DC HOLDINGS INC          | Cyxtera DC Holdings Inc                                                        | CUSIP: 19633FAD3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1162275 | PA      | $996290.68    | 0.02%             | 2024-05-01      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 101023                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-5026075.11  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 022123                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-13909146.60 | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | PRET 2021-NPL3 LLC                                                             | CUSIP: 74143EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30277396 | PA      | $26873629.09  | 0.64%             | 2051-07-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | PRET 2021-RN2 LLC                                                              | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6227031 | PA      | $5652475.41   | 0.14%             | 2051-07-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 012623                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-15263330.65 | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 092723                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-13344110.97 | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| FINASTRA USA INC                 | Finastra USA Inc                                                               | CUSIP: 02034DAF4<br>LEI: 549300ZB2RO6QC7YTK71 | Long             | LON              | CORP              | US        |    315000 | PA      | $236475.23    | 0.01%             | 2025-06-13      | Floating      | 10.62%                | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC            | American Airlines Inc                                                          | CUSIP: 02376CAX3<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | LON              | CORP              | US        |    343000 | PA      | $326462.26    | 0.01%             | 2027-01-29      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| PHOENIX SERVICES INTERNA         | Phoenix Services International LLC                                             | CUSIP: 71913YAC6<br>LEI: 5493009O25GX6RO6AZ98 | Long             | LON              | CORP              | US        |    439200 | PA      | $47488.48     | 0.00%             | 2025-03-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| CYANCO INTERMEDIATE CORP         | Cyanco Intermediate Corp                                                       | CUSIP: 23243FAB1<br>LEI: 5493006OSO3M1UC12172 | Long             | LON              | CORP              | US        |    459638 | PA      | $442975.82    | 0.01%             | 2025-03-16      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS         | Public Service Enterprise Group Inc                                            | CUSIP: 744573AT3<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |   3275000 | PA      | $3154284.19   | 0.08%             | 2023-11-08      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS           | Galaxy Pipeline Assets Bidco Ltd                                               | CUSIP: BM1501477<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | AE        |   4059950 | PA      | $3767744.40   | 0.09%             | 2027-09-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 101223                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-10828421.96 | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 102423                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-6023751.02  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| LIONS GATE CAPITAL HOLD          | Lions Gate Capital Holdings LLC                                                | CUSIP: 53627MAB9<br>LEI: 549300MWJHNLR35C0837 | Long             | LON              | CORP              | US        |    430158 | PA      | $411875.91    | 0.01%             | 2025-03-24      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                | Iron Mountain Inc                                                              | CUSIP: 46284NAQ2<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | LON              | CORP              | US        |  13173381 | PA      | $13025180.84  | 0.31%             | 2026-01-02      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 112923                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $72014.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 011624                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $344826.22    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GRUPO INVERSIONES SURAME         | Grupo de Inversiones Suramericana SA                                           | CUSIP: JK9340882<br>LEI: 549300AC1Q176TZL0305 | Long             | DBT              | CORP              | CO        |   2000000 | PA      | $1933260.00   | 0.05%             | 2026-04-29      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INKIA ENERGY LTD                 | Inkia Energy Ltd                                                               | CUSIP: AP8435418<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |   2836000 | PA      | $2684017.80   | 0.06%             | 2027-11-09      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 091223                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-13379239.20 | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| MERCURY CHILE HOLDCO LLC         | Mercury Chile Holdco LLC                                                       | CUSIP: BT5544411<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |    600000 | PA      | $576000.00    | 0.01%             | 2027-01-24      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC         | Vistra Operations Co LLC                                                       | CUSIP: 88233FAK6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | LON              | CORP              | US        |   9956302 | PA      | $9884466.83   | 0.24%             | 2025-12-31      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| ARAMARK SERVICES INC             | Aramark Services Inc                                                           | CUSIP: 03852JAL5<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | LON              | CORP              | US        |   1725000 | PA      | $1719342.00   | 0.04%             | 2025-03-11      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| ADANI PORTS AND SPECIAL          | Adani Ports & Special Economic Zone Ltd                                        | CUSIP: AZ6939856<br>LEI: 335800QOAXP5TM7OYP69 | Long             | DBT              | CORP              | IN        |   2600000 | PA      | $2465358.97   | 0.06%             | 2024-07-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| KOREA ELECTRIC POWER CO          | Korea Electric Power Corp                                                      | CUSIP: BJ4673338<br>LEI: 988400QG33WS7JEIV602 | Long             | DBT              | CORP              | KR        |   1450000 | PA      | $1314929.14   | 0.03%             | 2025-06-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                        | IQVIA Inc                                                                      | CUSIP: 44969CBJ8<br>LEI: 549300PLWY28YB00C717 | Long             | LON              | CORP              | US        |  12382297 | PA      | $12347502.29  | 0.30%             | 2025-06-11      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| SS&C TECHNOLOGIES INC            | SS&C Technologies Inc                                                          | CUSIP: 78466DBF0<br>LEI: 549300KY09TR3J12JU49 | Long             | LON              | CORP              | US        |   4032616 | PA      | $3971380.37   | 0.10%             | 2025-04-16      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC         | Vistra Operations Co LLC                                                       | CUSIP: 88233FAK6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | LON              | CORP              | US        |   2475680 | PA      | $2457818.06   | 0.06%             | 2025-12-31      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| MARRIOTT OWNERSHIP RESORTS       | Marriott Ownership Resorts Inc                                                 | CUSIP: 57163KAH1<br>LEI: BW4532OH033VURR0IT68 | Long             | LON              | CORP              | US        |   2048872 | PA      | $2032480.76   | 0.05%             | 2025-08-31      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| KT CORP                          | KT Corp                                                                        | CUSIP: LW8758093<br>LEI: 9884005ACF8449EANY26 | Long             | DBT              | CORP              | KR        |   1500000 | PA      | $1370747.22   | 0.03%             | 2026-07-18      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LG CHEM LTD                      | LG Chem Ltd                                                                    | CUSIP: AX8484732<br>LEI: 988400IES4EIG7O06940 | Long             | DBT              | CORP              | KR        |   1000000 | PA      | $959801.15    | 0.02%             | 2024-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED NATURAL FOODS INC         | United Natural Foods Inc                                                       | CUSIP: 91116KAB1<br>LEI: 549300GKGW6WPZ282D40 | Long             | LON              | CORP              | US        |    165919 | PA      | $165744.35    | 0.00%             | 2025-10-22      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| GRAY TELEVISION INC              | Gray Television Inc                                                            | CUSIP: 389376AY0<br>LEI: 529900TM5726KDN7UU35 | Long             | LON              | CORP              | US        |   2378074 | PA      | $2320441.08   | 0.06%             | 2026-01-02      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| INDONESIA ASAHAN ALUMINI         | Indonesia Asahan Aluminium Persero PT                                          | CUSIP: BJ4178783<br>LEI: 2549008P48EB9SN2OI80 | Long             | DBT              | CORP              | ID        |   1000000 | PA      | $985263.49    | 0.02%             | 2025-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT            | Freeport Indonesia PT                                                          | CUSIP: BV7716632<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |   2550000 | PA      | $2460750.00   | 0.06%             | 2027-04-14      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| PRAIRIE ECI ACQUIROR LP          | Prairie ECI Acquiror LP                                                        | CUSIP: 73955HAB0<br>LEI: 549300EXIECHUG4F3335 | Long             | LON              | CORP              | US        |    696782 | PA      | $679167.46    | 0.02%             | 2026-03-11      | Floating      | 9.13%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                     | Calpine Corp                                                                   | CUSIP: 13134MBQ5<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | LON              | CORP              | US        |   2918474 | PA      | $2886560.15   | 0.07%             | 2026-04-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| ARAMARK SERVICES INC             | Aramark Services Inc                                                           | CUSIP: 03852JAR2<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | LON              | CORP              | US        |    694712 | PA      | $685073.36    | 0.02%             | 2027-01-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| GENERAC POWER SYSTEMS INC        | Generac Power Systems Inc                                                      | CUSIP: 36874VAM0<br>LEI: 549300JQWLGGW8KC1X38 | Long             | LON              | CORP              | US        |    383133 | PA      | $375171.04    | 0.01%             | 2026-12-13      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| PCI GAMING AUTHORITY             | PCI Gaming Authority                                                           | CUSIP: 70455DAG9<br>LEI: 549300KPXAJ1LRW5LP59 | Long             | LON              | CORP              | US        |    481378 | PA      | $479372.94    | 0.01%             | 2026-05-31      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| NASCAR HOLDINGS LLC              | Nascar Holdings LLC                                                            | CUSIP: 63108EAB4<br>LEI: 254900HRWKQR5V0WN013 | Long             | LON              | CORP              | US        |    422364 | PA      | $421935.67    | 0.01%             | 2026-10-18      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| AMENTUM GOVERNMENT SERVI         | Amentum Government Services Holdings LLC                                       | CUSIP: 57776DAB9<br>LEI: 5493008CT6B5L54YSE94 | Long             | LON              | CORP              | US        |    168277 | PA      | $164981.16    | 0.00%             | 2027-01-31      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| AMENTUM GOVERNMENT SERVI         | Amentum Government Services Holdings LLC                                       | CUSIP: 57776DAB9<br>LEI: 5493008CT6B5L54YSE94 | Long             | LON              | CORP              | US        |     84719 | PA      | $83059.48     | 0.00%             | 2027-01-31      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| HILTON WORLDWIDE FINANCE         | Hilton Worldwide Finance LLC                                                   | CUSIP: 43289DAH6<br>LEI: 549300406TN7EY0NPH20 | Long             | LON              | CORP              | US        |   1420886 | PA      | $1418136.31   | 0.03%             | 2026-06-21      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                     | Calpine Corp                                                                   | CUSIP: 13134MBS1<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | LON              | CORP              | US        |    155200 | PA      | $153483.49    | 0.00%             | 2026-08-12      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| AMENTUM GOVERNMENT SERVI         | Amentum Government Services Holdings LLC                                       | CUSIP: 57776DAB9<br>LEI: 5493008CT6B5L54YSE94 | Long             | LON              | CORP              | US        |     28209 | PA      | $27656.97     | 0.00%             | 2027-01-31      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| ZIGGO FINANCING PARTNERS         | Ziggo Financing Partnership                                                    | CUSIP: N9833RAJ8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    235000 | PA      | $229694.88    | 0.01%             | 2028-04-30      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| FRONERI US INC                   | Froneri US Inc                                                                 | CUSIP: G3679YAC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1185731 | PA      | $1156254.02   | 0.03%             | 2027-01-31      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| FRONERI US INC                   | Froneri US Inc                                                                 | CUSIP: G3679YAC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    539556 | PA      | $526142.83    | 0.01%             | 2027-01-31      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| NCR CORP                         | NCR Corp                                                                       | CUSIP: 62886VAP5<br>LEI: 549300YKTY8JX1DV2R67 | Long             | LON              | CORP              | US        |    465965 | PA      | $453733.15    | 0.01%             | 2026-08-28      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                     | US Foods Inc                                                                   | CUSIP: 90351HAD0<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | LON              | CORP              | US        |   2283750 | PA      | $2265628.44   | 0.05%             | 2026-09-13      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| API GROUP DE INC                 | APi Group DE Inc                                                               | CUSIP: 00186XAB9<br>LEI: 549300XP4G7B4QYA0G83 | Long             | LON              | CORP              | US        |   1393638 | PA      | $1386376.70   | 0.03%             | 2026-10-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| TRANS UNION LLC                  | Trans Union LLC                                                                | CUSIP: 89334GAX2<br>LEI: X8NPN6PWJOM1QCTYFV34 | Long             | LON              | CORP              | US        |   6825470 | PA      | $6740765.58   | 0.16%             | 2026-11-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| GOBP HOLDINGS INC                | GOBP Holdings Inc                                                              | CUSIP: 3621LEAM8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1784016 | PA      | $1782009.24   | 0.04%             | 2025-10-22      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| SMG US MIDCO 2 INC               | SMG US Midco 2 Inc                                                             | CUSIP: 78453JAD8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    389177 | PA      | $380097.35    | 0.01%             | 2025-01-23      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| 1011778 BC ULC                   | 1011778 BC ULC                                                                 | CUSIP: C6901LAH0<br>LEI: 549300RHSHNRWI5LLA86 | Long             | LON              | CORP              | CA        |   2848336 | PA      | $2804841.50   | 0.07%             | 2026-11-19      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| UNIVAR USA INC                   | Univar Solutions USA Inc/Washington                                            | CUSIP: 91335PAH2<br>LEI: 5493008FTB9VZW6CVA82 | Long             | LON              | CORP              | US        |    335512 | PA      | $334744.18    | 0.01%             | 2026-07-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| SMG US MIDCO 2 INC               | SMG US Midco 2 Inc                                                             | CUSIP: 78453JAD8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1006713 | PA      | $983226.30    | 0.02%             | 2025-01-23      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| REYNOLDS CONSUMER PRODUC         | Reynolds Consumer Products LLC                                                 | CUSIP: 76171JAB7<br>LEI: 549300DWNZYMOSR1X343 | Long             | LON              | CORP              | US        |  12433990 | PA      | $12353356.03  | 0.30%             | 2027-02-04      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| ELEMENT SOLUTIONS INC            | Element Solutions Inc                                                          | CUSIP: 72766TAD1<br>LEI: 549300FLGN6P5CU20J91 | Long             | LON              | CORP              | US        |   1137250 | PA      | $1137250.36   | 0.03%             | 2026-01-31      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| ELEMENT SOLUTIONS INC            | Element Solutions Inc                                                          | CUSIP: 72766TAD1<br>LEI: 549300FLGN6P5CU20J91 | Long             | LON              | CORP              | US        |    622002 | PA      | $622001.93    | 0.01%             | 2026-01-31      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC         | iHeartCommunications Inc                                                       | CUSIP: 45174UAF5<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |    663931 | PA      | $610610.95    | 0.01%             | 2026-05-01      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC         | Elanco Animal Health Inc                                                       | CUSIP: 28414BAF3<br>LEI: 549300SHPNDCE059M934 | Long             | LON              | CORP              | US        |  12534019 | PA      | $12061987.48  | 0.29%             | 2027-08-01      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| CONSERVICE MIDCO LLC             | Conservice Midco LLC                                                           | CUSIP: 20848PAB4<br>LEI: 254900F6TNZYKCEM6A28 | Long             | LON              | CORP              | US        |    676200 | PA      | $657746.50    | 0.02%             | 2027-05-13      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| CAMELOT US ACQUISITION LLC       | Camelot US Acquisition LLC                                                     | CUSIP: L2000AAD2<br>LEI: 549300U6VBJHQP2SFL81 | Long             | LON              | CORP              | US        |    144726 | PA      | $142735.64    | 0.00%             | 2026-10-31      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| WALKER & DUNLOP INC              | Walker & Dunlop Inc                                                            | CUSIP: 93148QAG5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2193425 | PA      | $2155040.06   | 0.05%             | 2028-12-16      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| TRANS UNION LLC                  | Trans Union LLC                                                                | CUSIP: 89334GAZ7<br>LEI: X8NPN6PWJOM1QCTYFV34 | Long             | LON              | CORP              | US        |   4446859 | PA      | $4410728.14   | 0.11%             | 2028-12-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| ALLIANCE LAUNDRY SYSTEMS         | Alliance Laundry Systems LLC                                                   | CUSIP: 01862LAW8<br>LEI: 549300YBOGK6MBI5ND34 | Long             | LON              | CORP              | US        |    364420 | PA      | $357768.98    | 0.01%             | 2027-10-08      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                     | Calpine Corp                                                                   | CUSIP: 13134MBT9<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | LON              | CORP              | US        |   6258300 | PA      | $6206387.73   | 0.15%             | 2027-12-16      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| MARAVAI INTERMEDIATE HOL         | Maravai Intermediate Holdings LLC                                              | CUSIP: 56589PAJ4<br>LEI: 2549005DIMMJLV8LMZ14 | Long             | LON              | CORP              | US        |    265461 | PA      | $260981.01    | 0.01%             | 2027-10-19      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC         | Diamond Sports Group LLC                                                       | CUSIP: 25277BAG3<br>LEI: 5493002K6DHWNZH8YA34 | Long             | LON              | CORP              | US        |    407440 | PA      | $52288.75     | 0.00%             | 2026-08-24      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| EXGEN RENEWABLES IV LLC          | Constellation Renewables LLC                                                   | CUSIP: 30204KAD8<br>LEI: 5493004JBPWTPTK8LB51 | Long             | LON              | CORP              | US        |    622670 | PA      | $617676.34    | 0.01%             | 2027-12-15      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| POINTCLICKCARE TECHNOLOG         | PointClickCare Technologies Inc                                                | CUSIP: N/A<br>LEI: 5493001Z0LHHBZLVDX36       | Long             | LON              | CORP              | CA        |    448175 | PA      | $436970.63    | 0.01%             | 2027-12-29      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| PHOENIX SERVICES INTERNA         | Phoenix Services International LLC                                             | CUSIP: 71913LAB6<br>LEI: 5493009O25GX6RO6AZ98 | Long             | LON              | CORP              | US        |     25336 | PA      | $24449.58     | 0.00%             | 2023-03-29      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| PHOENIX SERVICES INTERNA         | Phoenix Services International LLC                                             | CUSIP: 71913LAB6<br>LEI: 5493009O25GX6RO6AZ98 | Long             | LON              | CORP              | US        |     25336 | PA      | $24449.58     | 0.00%             | 2023-03-29      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| ENERGIZER HOLDINGS INC           | Energizer Holdings Inc                                                         | CUSIP: N/A<br>LEI: 5493000D6NN0V57UME20       | Long             | LON              | CORP              | US        |   9829267 | PA      | $9669541.77   | 0.23%             | 2027-12-22      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| CONNECT FINCO SARL               | Connect Finco SARL                                                             | CUSIP: L2000DAD6<br>LEI: 2594001KNYIQ456J2792 | Long             | LON              | CORP              | LU        |    433875 | PA      | $429761.87    | 0.01%             | 2026-12-12      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| PHOENIX SERVICES INTERNA         | Phoenix Services International LLC                                             | CUSIP: 71913LAB6<br>LEI: 5493009O25GX6RO6AZ98 | Long             | LON              | CORP              | US        |      1526 | PA      | $1472.37      | 0.00%             | 2023-03-29      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| PHOENIX SERVICES INTERNA         | Phoenix Services International LLC                                             | CUSIP: 71913LAC4<br>LEI: 5493009O25GX6RO6AZ98 | Long             | LON              | CORP              | US        |     77166 | PA      | $74465.43     | 0.00%             | 2023-03-29      | Floating      | 15.73%                | No            |                  2 | On Loan: No      |
| FIRST ADVANTAGE HOLDINGS         | First Advantage Holdings LLC                                                   | CUSIP: 78477MAF8<br>LEI: 549300MRQE5MQEH3BI02 | Long             | LON              | CORP              | US        |    697366 | PA      | $686034.26    | 0.02%             | 2027-01-31      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| CATALENT PHARMA SOLUTION         | Catalent Pharma Solutions Inc                                                  | CUSIP: 14880BAH4<br>LEI: 549300HALRZ339MSTH85 | Long             | LON              | CORP              | US        |   4448541 | PA      | $4388085.53   | 0.11%             | 2028-02-22      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPERATING CO LLC        | Go Daddy Operating Co LLC                                                      | CUSIP: 38017BAT3<br>LEI: 5493005GJOH8HLL11157 | Long             | LON              | CORP              | US        |  11335468 | PA      | $11331501.09  | 0.27%             | 2029-11-10      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS US H      | Axalta Coating Systems US Holdings Inc                                         | CUSIP: 90347BAJ7<br>LEI: 549300NZ43V4QV4UGN28 | Long             | LON              | CORP              | US        |   4900000 | PA      | $4911025.00   | 0.12%             | 2029-12-20      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| ASPLUNDH TREE EXPERT LLC         | Asplundh Tree Expert LLC                                                       | CUSIP: 04538FAD1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  12522071 | PA      | $12516811.93  | 0.30%             | 2027-09-04      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| VICTORY CAPITAL HOLDINGS         | Victory Capital Holdings Inc                                                   | CUSIP: 92645DAH2<br>LEI: 549300BN5LH2CIPPHS71 | Long             | LON              | CORP              | US        |    458295 | PA      | $455787.99    | 0.01%             | 2026-07-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS              | Braskem Netherlands Finance BV                                                 | CUSIP: BK5896133<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | BR        |   4800000 | PA      | $4658636.93   | 0.11%             | 2081-01-23      | Variable      | 8.50%                 | No            |                  2 | On Loan: No      |
| MV24 CAPITAL BV                  | MV24 Capital BV                                                                | CUSIP: AZ9204969<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |    770850 | PA      | $705740.46    | 0.02%             | 2034-06-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| HORIZON THERAPEUTICS USA         | Horizon Therapeutics USA Inc                                                   | CUSIP: 44055UAD7<br>LEI: 254900IS87RLPXY88S03 | Long             | LON              | CORP              | US        |  12499442 | PA      | $12502817.29  | 0.30%             | 2028-03-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                 | Berry Global Inc                                                               | CUSIP: 08579JBG6<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | LON              | CORP              | US        |   6028965 | PA      | $5991977.32   | 0.14%             | 2026-07-01      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| MINEJESA CAPITAL BV              | Minejesa Capital BV                                                            | CUSIP: AO6253790<br>LEI: 549300KS7ERCP10BKC35 | Long             | DBT              | CORP              | ID        |   6300000 | PA      | $5545260.00   | 0.13%             | 2030-08-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AES ANDES SA                     | AES Andes SA                                                                   | CUSIP: ZR9383343<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |   3850000 | PA      | $3555142.82   | 0.09%             | 2079-10-07      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPERATING CO LLC        | Go Daddy Operating Co LLC                                                      | CUSIP: 38017BAQ9<br>LEI: 5493005GJOH8HLL11157 | Long             | LON              | CORP              | US        |    997050 | PA      | $989108.50    | 0.02%             | 2027-08-10      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| KFC HOLDING CO                   | KFC Holding Co                                                                 | CUSIP: 72584DAF1<br>LEI: 549300G2LG4YUB3MM115 | Long             | LON              | CORP              | US        |   4657861 | PA      | $4605460.32   | 0.11%             | 2028-03-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| BANCO CONTINENTAL S.A.E.         | Banco Continental SAECA                                                        | CUSIP: BM9109232<br>LEI: 8945005Q0D60A6FCEM55 | Long             | DBT              | CORP              | PY        |   1000000 | PA      | $895865.00    | 0.02%             | 2025-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BBVA COLOMBIA SA                 | Banco Bilbao Vizcaya Argentaria Colombia SA                                    | CUSIP: EK8667967<br>LEI: 5493009W53901OCHI065 | Long             | DBT              | CORP              | CO        |   3100000 | PA      | $3000707.00   | 0.07%             | 2025-04-21      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SUNSHINE LUXEMBOURG VII          | Sunshine Luxembourg VII Sarl                                                   | CUSIP: L8908YAE8<br>LEI: 254900CHQOBZNYV4DY60 | Long             | LON              | CORP              | LU        |    394936 | PA      | $379193.61    | 0.01%             | 2026-10-02      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| HYLAND SOFTWARE INC              | Hyland Software Inc                                                            | CUSIP: 44908XAV0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    451053 | PA      | $428951.02    | 0.01%             | 2025-07-10      | Floating      | 10.63%                | No            |                  2 | On Loan: No      |
| BANCO INTERNAC DEL PERU          | Banco Internacional del Peru SAA Interbank                                     | CUSIP: EK1231407<br>LEI: 5493001TRCGXJLRLHN14 | Long             | DBT              | CORP              | PE        |   1968000 | PA      | $1967016.02   | 0.05%             | 2029-03-19      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| BANCO INTERNAC DEL PERU          | Banco Internacional del Peru SAA Interbank                                     | CUSIP: BK3122268<br>LEI: 5493001TRCGXJLRLHN14 | Long             | DBT              | CORP              | PE        |   3350000 | PA      | $3027646.25   | 0.07%             | 2030-07-08      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FLEETCOR TECHNOLOGIES INC        | FleetCor Technologies Operating Co LLC                                         | CUSIP: 33903RAY5<br>LEI: 549300FKKKZCXLK48427 | Long             | LON              | CORP              | US        |  12494428 | PA      | $12385101.52  | 0.30%             | 2028-04-30      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| RENTPATH STUB T/L (CURRENT FACE) | RENTPATH STUB T/L (CURRENT FACE)                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    112512 | PA      | $1687.67      | 0.00%             | 2022-12-31      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| BANCO LATINOAMERICANO SA         | Banco Latinoamericano de Comercio Exterior SA                                  | CUSIP: ZO4189981<br>LEI: 549300CN3134K4LC0651 | Long             | DBT              | CORP              | PA        |    300000 | PA      | $274266.00    | 0.01%             | 2025-09-14      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE         | Banco Mercantil del Norte SA/Grand Cayman                                      | CUSIP: BS5300782<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |   2200000 | PA      | $1965798.76   | 0.05%             | 2027-01-24      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| CABLE ONE INC                    | Cable One Inc                                                                  | CUSIP: 12685LAG5<br>LEI: 549300648QS85T0XSH18 | Long             | LON              | CORP              | US        |   5067813 | PA      | $4964556.71   | 0.12%             | 2028-05-03      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| UNIVAR USA INC                   | Univar Solutions USA Inc/Washington                                            | CUSIP: 91335PAJ8<br>LEI: 5493008FTB9VZW6CVA82 | Long             | LON              | CORP              | US        |   2878562 | PA      | $2872258.45   | 0.07%             | 2028-06-03      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC          | Standard Industries Inc/NJ                                                     | CUSIP: 85350EAB2<br>LEI: 54930064UHXCIUWVI755 | Long             | LON              | CORP              | US        |   7288841 | PA      | $7209465.77   | 0.17%             | 2028-09-22      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| ICON LUXEMBOURG SARL             | ICON Luxembourg Sarl                                                           | CUSIP: N/A<br>LEI: 635400PUWMHSPI2DDA35       | Long             | LON              | CORP              | LU        |   8938340 | PA      | $8922742.88   | 0.21%             | 2028-07-01      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| BANCO NACIONAL COM EXT           | Banco Nacional de Comercio Exterior SNC/Cayman Islands                         | CUSIP: BQ7269484<br>LEI: 4469000001BL6VG3DH44 | Long             | DBT              | CORP              | MX        |   2400000 | PA      | $2011033.63   | 0.05%             | 2031-08-11      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| BBVA BANCO CONTINENTAL           | Banco BBVA Peru SA                                                             | CUSIP: EK4969359<br>LEI: 549300H1JNU0HLNFU552 | Long             | DBT              | CORP              | PE        |    200000 | PA      | $194631.15    | 0.00%             | 2029-09-22      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| PRA HEALTH SCIENCES INC          | PRA Health Sciences Inc                                                        | CUSIP: N/A<br>LEI: 549300R1HR1VWWHIAK47       | Long             | LON              | CORP              | US        |   2226993 | PA      | $2223106.96   | 0.05%             | 2028-07-01      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FOCUS FINANCIAL PARTNERS LLC     | Focus Financial Partners LLC                                                   | CUSIP: 34416DAU2<br>LEI: 5493007L0E0VKRC2CP39 | Long             | LON              | CORP              | US        |   3790328 | PA      | $3726365.77   | 0.09%             | 2028-07-01      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS           | BBVA Bancomer SA/Texas                                                         | CUSIP: EK5906806<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |   3730000 | PA      | $3658910.27   | 0.09%             | 2029-11-12      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| CAMPOSOL SA                      | Camposol SA                                                                    | CUSIP: ZP7442269<br>LEI: 5493008B0STMH3JFSW17 | Long             | DBT              | CORP              | PE        |   1000000 | PA      | $664080.00    | 0.02%             | 2027-02-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC              | Avantor Funding Inc                                                            | CUSIP: 05350NAL8<br>LEI: 5493003VM0XB4U8YD238 | Long             | LON              | CORP              | US        |  10450085 | PA      | $10417428.05  | 0.25%             | 2027-11-06      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| PILOT TRAVEL CENTERS LLC         | Pilot Travel Centers LLC                                                       | CUSIP: 72165NBH1<br>LEI: 549300115UILLXNE1Z49 | Long             | LON              | CORP              | US        |  12454998 | PA      | $12335118.94  | 0.30%             | 2028-08-06      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| NORTONLIFELOCK INC               | Gen Digital Inc                                                                | CUSIP: 66877AAD0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | LON              | CORP              | US        |  11942691 | PA      | $11766058.65  | 0.28%             | 2029-09-12      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| ALI GROUP NORTH AMERICA          | Ali Group North America Corp                                                   | CUSIP: 01608UAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   8175067 | PA      | $8123972.50   | 0.19%             | 2029-07-22      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| CENCOSUD SA                      | Cencosud SA                                                                    | CUSIP: EK7413348<br>LEI: 549300NLTGCFV7482429 | Long             | DBT              | CORP              | CL        |    700000 | PA      | $695348.87    | 0.02%             | 2025-02-12      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| EMPRESA ELECTRICA COCHRA         | Empresa Electrica Cochrane SpA                                                 | CUSIP: ZQ3807125<br>LEI: 5493000S11JF8TJHYT07 | Long             | DBT              | CORP              | CL        |   2455320 | PA      | $2274608.45   | 0.05%             | 2027-05-14      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ICU MEDICAL INC                  | ICU Medical Inc                                                                | CUSIP: N/A<br>LEI: 5493003NRW7LS2QZRH60       | Long             | LON              | CORP              | US        |   1569931 | PA      | $1522833.37   | 0.04%             | 2029-01-06      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| ICU MEDICAL INC                  | ICU Medical Inc                                                                | CUSIP: N/A<br>LEI: 5493003NRW7LS2QZRH60       | Long             | LON              | CORP              | US        |    211119 | PA      | $204785.13    | 0.00%             | 2029-01-06      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| EMPRESA ELECTRICA ANGAMO         | Empresa Electrica Angamos SA                                                   | CUSIP: EK6194873<br>LEI: 529900PQ7VWZL30RZ733 | Long             | DBT              | CORP              | CL        |   1248085 | PA      | $1117504.11   | 0.03%             | 2029-05-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CORP FINANCIERA DE DESAR         | Corp Financiera de Desarrollo SA                                               | CUSIP: EK3774362<br>LEI: 254900BOM7T4MG6T0J30 | Long             | DBT              | CORP              | PE        |   2850000 | PA      | $2733990.75   | 0.07%             | 2029-07-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                | Clean Harbors Inc                                                              | CUSIP: 18449EAF7<br>LEI: 5493000SJVZVZJKHJF48 | Long             | LON              | CORP              | US        |   3816162 | PA      | $3806087.83   | 0.09%             | 2028-10-08      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| GRAY TELEVISION INC              | Gray Television Inc                                                            | CUSIP: 389376AZ7<br>LEI: 529900TM5726KDN7UU35 | Long             | LON              | CORP              | US        |   4461288 | PA      | $4341858.83   | 0.10%             | 2028-12-01      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| FENIX POWER PERU SA              | Fenix Power Peru SA                                                            | CUSIP: AP1549645<br>LEI: 549300VBTI7WLU4G4642 | Long             | DBT              | CORP              | PE        |   4855882 | PA      | $4450998.92   | 0.11%             | 2027-09-20      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| GNL QUINTERO SA                  | GNL Quintero SA                                                                | CUSIP: EK4069044<br>LEI: 549300JJJIQXE6E1QY27 | Long             | DBT              | CORP              | CL        |   4408731 | PA      | $4264751.97   | 0.10%             | 2029-07-31      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| INTEROCEANICA IV FINANCE         | Interoceanica IV Finance Ltd                                                   | CUSIP: EG3966884<br>LEI: 5493001ZIZ6W7IU0RP65 | Long             | DBT              | CORP              | PE        |    547791 | PA      | $505337.49    | 0.01%             | 2025-11-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HUNT OIL CO OF PERU              | Hunt Oil Co of Peru LLC Sucursal Del Peru                                      | CUSIP: AS7998121<br>LEI: 549300SVO0550J3IKN50 | Long             | DBT              | CORP              | PE        |   3496000 | PA      | $3332795.81   | 0.08%             | 2028-06-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MEXICO GENERADORA DE ENE         | Mexico Generadora de Energia S de rl                                           | CUSIP: EJ4659987<br>LEI: 635400GBINBYW1VUAD14 | Long             | DBT              | CORP              | MX        |    546800 | PA      | $527662.00    | 0.01%             | 2032-12-06      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OAS SA                           | OAS SA                                                                         | CUSIP: N/A<br>LEI: 549300O0M58XBX4UN158       | N/A              | DE               | CORP              | BR        |     29232 | NS      | $0.01         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| ORAZUL ENERGY PERU SA            | Orazul Energy Peru SA                                                          | CUSIP: AN3641437<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |   4333000 | PA      | $3919675.13   | 0.09%             | 2027-04-28      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB           | Orbia Advance Corp SAB de CV                                                   | CUSIP: BP4387489<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |    400000 | PA      | $346056.00    | 0.01%             | 2026-05-11      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| SCOTIABANK PERU SA               | Scotiabank Peru SAA                                                            | CUSIP: EJ4751123<br>LEI: 5493001E54CPRG5J5Q41 | Long             | SN               | CORP              | PE        |   4200000 | PA      | $4151343.00   | 0.10%             | 2027-12-13      | Variable      | 8.62%                 | No            |                  2 | On Loan: No      |
| SOCIEDAD QUIMICA Y MINER         | Sociedad Quimica y Minera de Chile SA                                          | CUSIP: EK5661013<br>LEI: TJ88LXZZW5PWIN93ZC81 | Long             | DBT              | CORP              | CL        |   2900000 | PA      | $2829646.00   | 0.07%             | 2025-01-28      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| TRANSPORT DE GAS PERU            | Transportadora de Gas del Peru SA                                              | CUSIP: EJ6504421<br>LEI: 529900SKHHNI5HVI0Y66 | Long             | DBT              | CORP              | PE        |   1500000 | PA      | $1407975.71   | 0.03%             | 2028-04-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VTR COMUNICACIONES SPA           | VTR Comunicaciones SpA                                                         | CUSIP: BK1883408<br>LEI: 213800XDZJKMC1AEUV94 | Long             | DBT              | CORP              | CL        |   4445000 | PA      | $2767599.91   | 0.07%             | 2028-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| VTR FINANCE BV                   | VTR Finance NV                                                                 | CUSIP: BK1883424<br>LEI: 213800F4XI4RJB82XM19 | Long             | DBT              | CORP              | CL        |    500000 | PA      | $193897.91    | 0.00%             | 2028-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| INVEPAR A-1 EQUITY LINKED NOTE   | INVEPAR A-1 EQUITY LINKED NOTE                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | BR        |     35034 | PA      | $0.00         | 0.00%             | 2028-12-30      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 112923                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $2372494.93   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 111423                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $391016.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 060623                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-11711417.63 | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 022823                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-14760233.30 | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 041823                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-16758134.80 | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 092023                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-9992822.22  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 011023                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-18186672.61 | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 072723                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-1024944.76  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 092823                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-7941520.93  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 101823                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-5194512.72  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 110723                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-5668795.44  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 110923                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-5656282.76  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 122723                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-5138181.31  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 061523                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-3531880.31  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 041123                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-10367121.43 | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 082223                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-6531127.01  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 091423                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-9969505.01  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | BXIICS2E INDEX SWAP 120723                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $2872705.10   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** DoubleLine Funds Trust

**Signature:** /s/ Henry Chase

**Name of Signer:** DoubleLine Funds Trust

**Title:** Treasurer