# EDGAR Filing Document

**Accession Number:** 0000916183
**File Stem:** 0000916183-23-000009
**Filing Date:** 2023-3
**Character Count:** 318091
**Document Hash:** a6c03d1b0e34f1a3592dcc2e83dd9473
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000916183-23-000009.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0000916183-23-000009

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO STRATEGIC INCOME FUND, INC
- **CENTRAL INDEX KEY:** 0000916183
- **IRS NUMBER:** 943194834
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08216
- **FILM NUMBER:** 23688677

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PIMCO STRATEGIC GLOBAL GOVERNMENT FUND INC
- **DATE OF NAME CHANGE:** 20041005

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** RCM STRATEGIC GLOBAL GOVERNMENT FUND INC
- **DATE OF NAME CHANGE:** 19931214

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Strategic Income Fund, Inc.

- **b. Investment Company Act file number:** 811-08216

- **c. CIK number of Registrant:** 0000916183

- **d. LEI of Registrant:** SXMV4TXSOGB1HGOZUF63

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $498787467.02

**Total Liabilities:** $300784481.95

**Net Assets:** $198002985.07

**Cash Not Reported:** $9892575.04

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2140.051100 | **1-Year:** -85.767700 | **5-Year:** 77190.313800 | **10-Year:** -62363.245300 | **30-Year:** -18185.182900

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

- **3-Month:** 8743.034200 | **1-Year:** 14608.865500 | **5-Year:** 21009.130400 | **10-Year:** 3576.173100 | **30-Year:** 508.298100

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 8.31%                | 3.40%                | -4.00%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-3170602.84             | $-1506459.40                               |
| Month 2  | $-10458427.19            | $21234839.83                               |
| Month 3  | $869285.81               | $-5430588.83                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                               | IRS CAD 3.30000 06/19/14-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-173521.55   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CAD 3.50000 06/20/14-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $55023.09     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 0.26000 09/06/19-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $853476.58    | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 0.50000 09/21/22-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1540671.75   | 0.78%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 0.83000 12/09/42-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $96382.53     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS MXN 4.50000 03/05/21-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-29952.26    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS MXN 4.55000 03/01/21-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-44427.95    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS MXN 8.32000 03/31/22-1Y (WHT) CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $39293.09     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                               | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 01/26 1.875      | CUSIP: ACI1T7K79<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    400000 | PA      | $368292.43    | 0.19%             | 2026-01-09      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                               | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 04/25 2.625      | CUSIP: ACI1J7WJ1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   2100000 | PA      | $2039901.22   | 1.03%             | 2025-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 0.50000 12/15/21-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3853706.62   | 1.95%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.00000 06/17/20-3Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $68355.16     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.00000 12/16/20-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $950675.11    | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                               | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 09/24 3.625      | CUSIP: BJSF9FII4<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   1300000 | PA      | $1324373.60   | 0.67%             | 2024-09-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.25000 12/16/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2344748.40   | 1.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.35000 01/20/22-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $336853.08    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.36000 02/15/22-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $223356.35    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.37000 08/25/21-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1491373.51   | 0.75%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.42000 02/24/22-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $102192.90    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.42000 08/17/21-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $488695.62    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.45000 02/17/22-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $353877.92    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.45000 04/07/21-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1330716.41   | 0.67%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.50000 01/12/22-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $312943.88    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                               | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR        | CUSIP: ACI0ZY1X9<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    400000 | PA      | $346197.07    | 0.17%             | 2028-01-18      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.50000 12/15/21-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-938219.37   | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.50000 12/18/19-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-663498.06   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.50000 12/18/19-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $864547.77    | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.65000 04/08/21-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-722305.06   | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.65000 11/24/21-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-315154.26   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.70000 10/12/21-7Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1038283.98  | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                               | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/30 VAR        | CUSIP: ACI1J42S1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   1304000 | PA      | $1224802.74   | 0.62%             | 2030-01-22      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.75000 01/22/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1303742.29   | 0.66%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.75000 12/15/21-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1955216.80   | 0.99%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 1.87500 02/07/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $413563.36    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 2.00000 01/15/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1201516.37   | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                               | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 07/29 10.5       | CUSIP: ACI1DBG64<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   1360000 | PA      | $1352084.75   | 0.68%             | 2029-07-23      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 2.00000 06/20/18-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $500235.87    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 3.00000 06/19/19-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2375050.72  | -1.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS USD 3.00000 06/19/19-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $934445.82    | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                               | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 09/30 VAR        | CUSIP: ACI1R35P7<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    400000 | PA      | $377688.84    | 0.19%             | 2030-09-10      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/0.75000 09/21/22-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $3535587.78   | 1.79%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO DEL PERU SA                                      | BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65       | CUSIP: 05971U2B2<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |    400000 | PA      | $98399.95     | 0.05%             | 2024-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.00000 06/15/22-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-111395.82   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.00000 06/15/22-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1275110.91  | -0.64%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.00000 06/15/22-7Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-452059.26   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.25000 06/15/22-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10152292.61  | 5.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.25000 06/15/22-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $11483225.76  | 5.80%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.50000 06/15/22-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-916201.21   | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.75000 06/15/22-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-132312.86   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.75000 06/15/22-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7045226.17   | 3.56%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.75000 06/15/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1930906.42   | 0.98%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.75000 06/15/22-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2516588.94  | -1.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.75000 06/15/22-7Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-55956.81    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.75000 06/15/22-7Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8315584.76  | -4.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.00000 12/21/22-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1621816.32  | -0.82%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.00000 12/21/22-7Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1372372.01  | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.30000 01/17/24-2Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $16686.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.35000 01/17/24-1Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $65201.40     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.45000 12/20/23-1Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $130998.56    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 11.7883 08/30/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $153170.15    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 12.015 03/17/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-120210.97   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCORP COMMERCIAL MORTGAGE TRUST 2017-CRE2                       | THE BANCORP COMMERCIAL MORTGAG BANC 2017 CRE2 D 144A        | CUSIP: 05972AAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2267181 | PA      | $2250576.40   | 1.14%             | 2032-08-15      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-5826.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | WINDSTREAM HOLDINGS II, LLC 8725909B2                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |     28052 | NC      | $567880.90    | 0.29%             |  |  |  | No            |                  3 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                   | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    291816 | NS      | $306406.80    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 2A1             | CUSIP: 05949AH86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4777 | PA      | $4561.62      | 0.00%             | 2035-02-25      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-R11                                           | BCAP LLC TRUST BCAP 2011 R11 8A7 144A                       | CUSIP: 05533FCN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172930 | PA      | $145890.99    | 0.07%             | 2036-07-26      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  COMM MTGE SEC 2005-PW1                              | BEAR STEARNS COMMERCIAL MORTGA BSCMS 2005 PW10 C            | CUSIP: 07387BEG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    557085 | PA      | $508070.85    | 0.26%             | 2040-12-11      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  COMM MTGE SEC 2006-T24                              | BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T24 B 144A        | CUSIP: 07388NAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151147 | PA      | $141711.20    | 0.07%             | 2041-10-12      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                   | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                   | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218304 | PA      | $116174.83    | 0.06%             | 2036-08-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                               | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A1            | CUSIP: 073879U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166636 | PA      | $160728.01    | 0.08%             | 2034-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                     | BOEING CO SR UNSECURED 02/33 6.125                          | CUSIP: 097023AU9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    716000 | PA      | $729995.95    | 0.37%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                     | BOEING CO SR UNSECURED 05/40 5.705                          | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1340990.71   | 0.68%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BROOKS AUTOMATION (ALTAR BIDCO INC)                               | ALTAR BIDCO, INC. 2ND LIEN TL                               | CUSIP: 02090CAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    700000 | PA      | $600687.50    | 0.30%             | 2030-02-01      | Floating      | 10.51%                | No            |                  2 | On Loan: No      |
| CARVANA CO                                                        | CARVANA CO COMPANY GUAR 144A 05/30 10.25                    | CUSIP: 146869AJ1<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    900000 | PA      | $424578.11    | 0.21%             | 2030-05-01      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP                                        | CDW LLC/CDW FINANCE COMPANY GUAR 12/31 3.569                | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $578137.85    | 0.29%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                            | CGG SA SR SECURED 144A 04/27 7.75                           | CUSIP: ACI1WM066<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |    416000 | PA      | $365430.05    | 0.18%             | 2027-04-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                            | CGG SA SR SECURED 144A 04/27 8.75                           | CUSIP: 12531TAF6<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |   4612000 | PA      | $3694237.87   | 1.87%             | 2027-04-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-TM1                          | COUNTRYWIDE HOME LOANS CWHL 2006 TM1 A1                     | CUSIP: 126694U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    943284 | PA      | $601949.10    | 0.30%             | 2046-03-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                  | CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8            | CUSIP: 12543DBC3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    294000 | PA      | $268275.00    | 0.14%             | 2026-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FARM CREDIT BANK OF TEXAS                                         | FARM CREDIT BK OF TEXAS JR SUBORDINA 144A 12/99 VAR         | CUSIP: 30767EAD1<br>LEI: V1EBJIOLRNYDHDF63Z33 | Long             | EP               | USGSE             | US        |   1000000 | NS      | $930000.00    | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MTGE TRUST 2007-C6                           | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJ              | CUSIP: 17311QBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    655765 | PA      | $323620.04    | 0.16%             | 2049-12-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MTGE TRUST 2007-C6                           | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJFX 144A       | CUSIP: 17311QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327883 | PA      | $161810.02    | 0.08%             | 2049-12-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2003-UP3                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2003 UP3 A3             | CUSIP: 17307GAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1075 | PA      | $1048.40      | 0.00%             | 2033-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITY OF CHICAGO                                                   | CHICAGO IL CHI 01/29 FIXED 7.045                            | CUSIP: 167486M89<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |      5000 | PA      | $5000.00      | 0.00%             | 2029-01-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| CITY OF CHICAGO                                                   | CHICAGO IL CHI 01/29 FIXED 7.045                            | CUSIP: 167486M97<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |     45000 | PA      | $45714.24     | 0.02%             | 2029-01-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                     | COMM MORTGAGE TRUST COMM 2021 2400 G 144A                   | CUSIP: 20048FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1380000 | PA      | $1000828.16   | 0.51%             | 2038-12-15      | Floating      | 10.32%                | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1                           | COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM             | CUSIP: 20173WAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005768 | PA      | $161048.59    | 0.08%             | 2049-12-10      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-5                             | CONSECO FINANCE SECURITIZATION CNF 2000 5 A6                | CUSIP: 20846QEQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1421208 | PA      | $458571.43    | 0.23%             | 2031-05-01      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                      | CORESTATE CAPITAL HOLD SR UNSECURED REGS 04/23 3.5          | CUSIP: ACI11QWM1<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |    600000 | PA      | $100535.76    | 0.05%             | 2023-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                           | COUNTRY GARDEN HLDGS SR SECURED REGS 05/25 5.4              | CUSIP: ACI1MJZQ2<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |   1000000 | PA      | $666800.31    | 0.34%             | 2025-05-27      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                           | COUNTRY GARDEN HLDGS SR SECURED REGS 09/25 6.15             | CUSIP: ACI1FGXS4<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $131354.52    | 0.07%             | 2025-09-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA6 1A1A          | CUSIP: 12668BD91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    980280 | PA      | $817508.51    | 0.41%             | 2046-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-BC2                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A              | CUSIP: 12669QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1473547 | PA      | $1432746.79   | 0.72%             | 2037-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-10                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 10 MV5              | CUSIP: 126673JX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2296723 | PA      | $1714841.88   | 0.87%             | 2034-11-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A               | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2035045 | PA      | $1866241.43   | 0.94%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-12                                    | COUNTRYWIDE HOME LOANS CWHL 2004 12 16A1                    | CUSIP: 12669FP98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164636 | PA      | $151160.05    | 0.08%             | 2034-08-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-R1                                    | COUNTRYWIDE HOME LOANS CWHL 2004 R1 3A 144A                 | CUSIP: 12669F7M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249057 | PA      | $246339.96    | 0.12%             | 2034-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-1                                     | COUNTRYWIDE HOME LOANS CWHL 2005 1 1A1                      | CUSIP: 12669GRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    736121 | PA      | $616558.53    | 0.31%             | 2035-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R2                                    | COUNTRYWIDE HOME LOANS CWHL 2005 R2 2A2 144A                | CUSIP: 12669GP21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52055 | PA      | $51156.17     | 0.03%             | 2035-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                            | CREDIT SUISSE GROUP AG JR SUBORDINA 144A VAR                | CUSIP: 225401AL2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    600000 | PA      | $431500.47    | 0.22%             | 2026-08-21      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                            | CREDIT SUISSE GROUP AG SR UNSECURED 144A 07/26 VAR          | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1500000 | PA      | $1409607.95   | 0.71%             | 2026-07-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                            | CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/28 VAR          | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   3050000 | PA      | $2782098.77   | 1.41%             | 2028-08-11      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                            | CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/33 VAR          | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1350000 | PA      | $1187856.87   | 0.60%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 2 3A1                | CUSIP: 225470YJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    731376 | PA      | $129241.11    | 0.07%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                   | IHEARTMEDIA INC   CLASS A COMMON STOCK                      | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     68102 | NS      | $417465.26    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| IHEARTMEDIA INC                                                   | IHEARTMEDIA INC   CLASS B COMMON STOCK                      | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     52880 | NS      | $291738.96    | 0.15%             |  |  |  | No            |                  3 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-1                              | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 1 3A1              | CUSIP: 22541SAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235249 | PA      | $232734.76    | 0.12%             | 2034-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                            | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507        | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    594394 | PA      | $618864.13    | 0.31%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                       | INTELSAT EMERGENCE SA COMMON STOCK                          | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |     98667 | NS      | $2368008.00   | 1.20%             |  |  |  | Yes           |                  3 | On Loan: No      |
| DTEK ENERGY BV (AKA: DTEK HOLDINGS BV)                            | DTEK ENERGY BV COMPANY GUAR REGS 12/27 7                    | CUSIP: ACI1XVP76<br>LEI: 9845009A70B44Q680820 | Long             | DBT              | CORP              | NL        |   2311339 | PA      | $637062.81    | 0.32%             | 2027-12-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ECAF I LTD 2015-1A                                                | ECAF LTD ECAF 2015 1A A2 144A                               | CUSIP: 26827EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1387477 | PA      | $874060.59    | 0.44%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO II LTD                                                | ELMWOOD CLO II LTD. ELMW2 2019 2A SUB 144A                  | CUSIP: 29001RAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1212500 | PA      | $893582.66    | 0.45%             | 2034-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                               | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M3                | CUSIP: 126673VR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    576427 | PA      | $520853.01    | 0.26%             | 2035-07-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| EQUINITI (ARMOR HOLDCO INC)                                       | ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5                | CUSIP: 04625PAA9<br>LEI: 254900X6HLK0YPTHHF09 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $1805598.82   | 0.91%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL PROPERTIES LP                                           | ESSENTIAL PROPER COMPANY GUAR 07/31 2.95                    | CUSIP: 29670VAA7<br>LEI: 254900XX9FNFCDE1NX02 | Long             | DBT              | CORP              | US        |    100000 | PA      | $72946.27     | 0.04%             | 2031-07-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                            | EUROSAIL PLC ESAIL 2007 6NCX B1A REGS                       | CUSIP: G329A0AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1581971 | PA      | $1725544.02   | 0.87%             | 2045-09-13      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                            | EUROSAIL PLC ESAIL 2007 6NCX C1A REGS                       | CUSIP: G329A0AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1129979 | PA      | $1206077.82   | 0.61%             | 2045-09-13      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                            | EUROSAIL PLC ESAIL 2007 6NCX D1A REGS                       | CUSIP: G329A0AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    960482 | PA      | $1132804.18   | 0.57%             | 2045-09-13      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| EXELA INTERMEDIATE LLC / EXELA FINANCE INC                        | EXELA INTERMED/EXELA FIN SR SECURED 144A 07/26 11.5         | CUSIP: 30162RAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     48000 | PA      | $8400.00      | 0.00%             | 2026-07-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2019-2A                       | EXETER AUTOMOBILE RECEIVABLES EART 2019 2A R 144A           | CUSIP: 30167LAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6786 | PA      | $2165616.58   | 1.09%             | 2031-05-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FAIRFAX INDIA HOLDINGS CORPORATION                                | FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5            | CUSIP: 303897AA0<br>LEI: 549300K2JHXU7AX7CV78 | Long             | DBT              | CORP              | CA        |   2400000 | PA      | $2147400.00   | 1.08%             | 2028-02-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1993-21                                                | FANNIE MAE FNR 1993 21 KA                                   | CUSIP: 31358T4H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42 | PA      | $41.67        | 0.00%             | 2023-03-25      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-33                                                | FANNIE MAE FNR 1997 33 PA                                   | CUSIP: 31359PQJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     69170 | PA      | $70480.30     | 0.04%             | 2027-06-18      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-79                                                | FANNIE MAE FNR 1997 79 PL                                   | CUSIP: 31359RAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3267 | PA      | $3285.96      | 0.00%             | 2027-12-18      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-46                                                | FANNIE MAE FNR 2001 46 ZL                                   | CUSIP: 313920XQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     80959 | PA      | $82412.14     | 0.04%             | 2031-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-49                                                | FANNIE MAE FNR 2001 49 Z                                    | CUSIP: 313921AG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70483 | PA      | $73102.24     | 0.04%             | 2031-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-50                                                | FANNIE MAE FNR 2001 50 BA                                   | CUSIP: 31392AJW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19199 | PA      | $19735.43     | 0.01%             | 2041-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-60                                                | FANNIE MAE FNR 2001 60 ZM                                   | CUSIP: 3139213J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11138 | PA      | $11900.47     | 0.01%             | 2030-06-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-79                                                | FANNIE MAE FNR 2001 79 BA                                   | CUSIP: 31392BMM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    287326 | PA      | $295527.41    | 0.15%             | 2045-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-70                                                | FANNIE MAE FNR 2002 70 QZ                                   | CUSIP: 31392FCA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1601700 | PA      | $1628919.67   | 0.82%             | 2032-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-93                                                | FANNIE MAE FNR 2002 93 A1                                   | CUSIP: 31392GRW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    225302 | PA      | $230305.93    | 0.12%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-47                                                | FANNIE MAE FNR 2003 47 PE                                   | CUSIP: 31393CRH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11710 | PA      | $12016.50     | 0.01%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-71                                                | FANNIE MAE FNR 2003 71 TA                                   | CUSIP: 31393EJT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30193 | PA      | $32068.75     | 0.02%             | 2032-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-89                                                | FANNIE MAE FNR 2003 89 IO                                   | CUSIP: 31393TFP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3057775 | PA      | $82581.03     | 0.04%             | 2042-12-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-53                                                | FANNIE MAE FNR 2004 53 NC                                   | CUSIP: 31394ABD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       409 | PA      | $407.86       | 0.00%             | 2024-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-81                                                | FANNIE MAE FNR 2004 81 ZH                                   | CUSIP: 31394BCG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40706 | PA      | $39906.51     | 0.02%             | 2024-11-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-92                                                | FANNIE MAE FNR 2004 92 BW                                   | CUSIP: 31394BRK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    326797 | PA      | $326789.88    | 0.17%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-22                                                | FANNIE MAE FNR 2005 22 DB                                   | CUSIP: 31394DBP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    992739 | PA      | $988871.40    | 0.50%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-7                                                 | FANNIE MAE FNR 2005 7 ZY                                    | CUSIP: 31394B5P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55473 | PA      | $57149.85     | 0.03%             | 2035-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-67                                                | FANNIE MAE FNR 2008 67 ZW                                   | CUSIP: 31397MCX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     73967 | PA      | $73935.01     | 0.04%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-76                                                | FANNIE MAE FNR 2010 76 ZC                                   | CUSIP: 31398TFU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    390077 | PA      | $367214.83    | 0.19%             | 2040-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICULT AVENUE SECURITIES 2017-C01                | FANNIE MAE   CAS CAS 2017 C01 1B1                           | CUSIP: 30711XEQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    660000 | PA      | $720517.64    | 0.36%             | 2029-07-25      | Floating      | 10.14%                | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TR 2004-T1                                     | FANNIEMAE GRANTOR TRUST FNGT 2004 T1 1A1                    | CUSIP: 31393XFS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600243 | PA      | $606723.25    | 0.31%             | 2044-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2000-T6                                  | FANNIEMAE GRANTOR TRUST FNGT 2000 T6 A1                     | CUSIP: 31358SR37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38101 | PA      | $37628.51     | 0.02%             | 2040-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T5                                  | FANNIEMAE GRANTOR TRUST FNGT 2001 T5 A3                     | CUSIP: 31359SY20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     61216 | PA      | $62852.58     | 0.03%             | 2041-06-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T5                                  | FANNIEMAE GRANTOR TRUST FNGT 2001 T5 A4                     | CUSIP: 31359SY38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    494825 | PA      | $523082.95    | 0.26%             | 2041-06-19      | Variable      | 7.97%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T8                                  | FANNIEMAE GRANTOR TRUST FNGT 2001 T8 A1                     | CUSIP: 313920UK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    190452 | PA      | $190898.97    | 0.10%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-118                                        | FANNIE MAE FNR 2007 118 AC                                  | CUSIP: 31396YCB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2662264 | PA      | $2666555.55   | 1.35%             | 2038-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-126                                        | FANNIE MAE FNR 2012 126 PI                                  | CUSIP: 3136A9ZM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    326458 | PA      | $31130.18     | 0.02%             | 2042-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-138                                        | FANNIE MAE FNR 2012 138 AI                                  | CUSIP: 3136AAEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    931238 | PA      | $38157.65     | 0.02%             | 2027-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-43                                         | FANNIE MAE FNR 2012 43 SI                                   | CUSIP: 3136A5YM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    418499 | PA      | $38981.42     | 0.02%             | 2041-07-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-47                                         | FANNIE MAE FNR 2014 47 BI                                   | CUSIP: 3136AKTL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5302961 | PA      | $205014.07    | 0.10%             | 2054-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-40                                         | FANNIE MAE FNR 2016 40 IO                                   | CUSIP: 3136ASD86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3433190 | PA      | $404730.49    | 0.20%             | 2036-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-1                                          | FANNIE MAE FNR 2019 1 HS                                    | CUSIP: 3136B3ZF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     76683 | PA      | $7821.66      | 0.00%             | 2049-02-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-59                                         | FANNIE MAE FNR 2019 59 HS                                   | CUSIP: 3136B6MJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6597090 | PA      | $657955.45    | 0.33%             | 2049-10-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-70                                         | FANNIE MAE FNR 2019 70 IO                                   | CUSIP: 3136B7KN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     88585 | PA      | $20855.42     | 0.01%             | 2049-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-40                                         | FANNIE MAE FNR 2020 40 IO                                   | CUSIP: 3136B9P50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1184368 | PA      | $240857.99    | 0.12%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-47                                         | FANNIE MAE FNR 2020 47 SA                                   | CUSIP: 3136BATP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1011004 | PA      | $100888.42    | 0.05%             | 2050-07-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-3                                          | FANNIE MAE FNR 2022 3 YS                                    | CUSIP: 3136BLFH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 130559189 | PA      | $1562219.03   | 0.79%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2003-W2                                     | FANNIEMAE WHOLE LOAN FNW 2003 W2 1A3                        | CUSIP: 31392JAD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       777 | PA      | $821.96       | 0.00%             | 2042-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2003-W4                                     | FANNIEMAE WHOLE LOAN FNW 2003 W4 2A                         | CUSIP: 31393AP68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7220 | PA      | $7269.57      | 0.00%             | 2042-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2003-W4                                     | FANNIEMAE WHOLE LOAN FNW 2003 W4 4A                         | CUSIP: 31393AQ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    198593 | PA      | $201959.20    | 0.10%             | 2042-10-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1993-105                                               | FANNIE MAE FNR 1993 105 D                                   | CUSIP: 31359AS75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       562 | PA      | $561.09       | 0.00%             | 2023-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1996-46                                                | FANNIE MAE FNR 1996 46 ZA                                   | CUSIP: 31359KF85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2392 | PA      | $2431.50      | 0.00%             | 2026-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1997-35                                                | FANNIE MAE FNR 1997 35 PJ                                   | CUSIP: 31359PTR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1534 | PA      | $1549.34      | 0.00%             | 2027-06-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2020-38                                                | FANNIE MAE FNR 2020 38 QI                                   | CUSIP: 3136BADX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    644758 | PA      | $120704.44    | 0.06%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-18                                   | FANNIEMAE GRANTOR TRUST FNGT 2002 T18 A1                    | CUSIP: 31392GFN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85406 | PA      | $87977.04     | 0.04%             | 2042-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T16                                  | FANNIEMAE GRANTOR TRUST FNGT 2002 T16 A1                    | CUSIP: 31392FDB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    861369 | PA      | $887609.99    | 0.45%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T19                                  | FANNIEMAE GRANTOR TRUST FNGT 2002 T19 A2                    | CUSIP: 31392GVR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24168 | PA      | $25444.72     | 0.01%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T19                                  | FANNIEMAE GRANTOR TRUST FNGT 2002 T19 A3                    | CUSIP: 31392GVS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16077 | PA      | $17057.27     | 0.01%             | 2042-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T4                                   | FANNIEMAE GRANTOR TRUST FNGT 2002 T4 A1                     | CUSIP: 31392B6T8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    210083 | PA      | $216688.48    | 0.11%             | 2041-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2004-T2                                   | FANNIEMAE GRANTOR TRUST FNGT 2004 T2 1A3                    | CUSIP: 31393X7C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     63298 | PA      | $66344.13     | 0.03%             | 2043-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-385                                               | FANNIEMAE STRIP FNS 385 7                                   | CUSIP: 3136FEW32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    525905 | PA      | $84755.79     | 0.04%             | 2037-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2001-W3                                      | FANNIEMAE WHOLE LOAN FNW 2001 W3 A                          | CUSIP: 3139216F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    198340 | PA      | $194352.36    | 0.10%             | 2041-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W1                                      | FANNIEMAE WHOLE LOAN FNW 2002 W1 2A                         | CUSIP: 31392CMS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    265969 | PA      | $259902.15    | 0.13%             | 2042-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W1                                      | FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1                        | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16949 | PA      | $16235.54     | 0.01%             | 2042-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W18                                     | FANNIEMAE WHOLE LOAN FNW 2003 W18 1A7                       | CUSIP: 31393UNR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    836069 | PA      | $828516.99    | 0.42%             | 2043-08-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W3                                      | FANNIEMAE WHOLE LOAN FNW 2003 W3 1A3                        | CUSIP: 31392JYH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1227 | PA      | $1301.89      | 0.00%             | 2042-08-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                      | FANNIEMAE WHOLE LOAN FNW 2003 W6 3A                         | CUSIP: 31393BU94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    432508 | PA      | $442230.70    | 0.22%             | 2042-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                      | FANNIEMAE WHOLE LOAN FNW 2004 W2 2A2                        | CUSIP: 31393XGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30582 | PA      | $31932.06     | 0.02%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                      | FANNIEMAE WHOLE LOAN FNW 2004 W2 5A                         | CUSIP: 31393XGU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46954 | PA      | $49092.84     | 0.02%             | 2044-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                      | FANNIEMAE WHOLE LOAN FNW 2004 W8 2A                         | CUSIP: 31394ALL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    120400 | PA      | $123151.52    | 0.06%             | 2044-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                      | FANNIEMAE WHOLE LOAN FNW 2004 W8 3A                         | CUSIP: 31394ALN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    211960 | PA      | $218806.10    | 0.11%             | 2044-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FEL ENERGY VI SA RL                                               | FEL ENERGY VI SARL SR SECURED 144A 12/40 5.75               | CUSIP: 30260LAA3<br>LEI: 254900H2U8PBIY32VI94 | Long             | DBT              | CORP              | LU        |   1201135 | PA      | $1029618.87   | 0.52%             | 2040-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC 2173 REMIC                                                  | FREDDIE MAC FHR 2173 Z                                      | CUSIP: 3133TLM62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20022 | PA      | $20710.43     | 0.01%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B0797 FH 04/33 FLOATING VAR              | CUSIP: 31336SNN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       456 | PA      | $447.74       | 0.00%             | 2033-04-01      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 785735 FH 12/26 FLOATING VAR              | CUSIP: 31348SLQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2021 | PA      | $1980.33      | 0.00%             | 2026-12-01      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A45797 FG 05/32 FIXED 7.5                 | CUSIP: 3128K6NN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14214 | PA      | $14250.20     | 0.01%             | 2032-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A54878 FG 12/30 FIXED 7.5                 | CUSIP: 3128KHM37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    122498 | PA      | $125651.82    | 0.06%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C00450 FG 03/26 FIXED 7.5                 | CUSIP: 31292GQB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       274 | PA      | $277.09       | 0.00%             | 2026-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C00489 FG 12/26 FIXED 7.5                 | CUSIP: 31292GRJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23052 | PA      | $23363.71     | 0.01%             | 2026-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01086 FG 11/30 FIXED 7.5                 | CUSIP: 31292HF33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       134 | PA      | $140.40       | 0.00%             | 2030-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C36310 FG 02/30 FIXED 7.5                 | CUSIP: 31294DAK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17 | PA      | $17.19        | 0.00%             | 2030-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C37703 FG 04/30 FIXED 7.5                 | CUSIP: 31294ERY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64 | PA      | $64.13        | 0.00%             | 2030-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C37903 FG 04/30 FIXED 7.5                 | CUSIP: 31294EX87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28 | PA      | $28.23        | 0.00%             | 2030-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C38907 FG 06/29 FIXED 6.5                 | CUSIP: 31294F3Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1845 | PA      | $1894.48      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C42995 FG 12/26 FIXED 8                   | CUSIP: 31298BKG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35157 | PA      | $35401.03     | 0.02%             | 2026-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C62740 FG 01/32 FIXED 7                   | CUSIP: 31287NBH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52058 | PA      | $53154.59     | 0.03%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C62910 FG 01/32 FIXED 7                   | CUSIP: 31287NGT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5718 | PA      | $5819.67      | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C64701 FG 03/32 FIXED 7                   | CUSIP: 31287QGJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2610 | PA      | $2678.02      | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C80365 FG 12/25 FIXED 7.5                 | CUSIP: 31335GMN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       476 | PA      | $480.65       | 0.00%             | 2025-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C80397 FG 04/26 FIXED 7.5                 | CUSIP: 31335GNN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1225 | PA      | $1240.03      | 0.00%             | 2026-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C80401 FG 05/26 FIXED 7.5                 | CUSIP: 31335GNS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       411 | PA      | $416.66       | 0.00%             | 2026-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C80408 FG 06/26 FIXED 7.5                 | CUSIP: 31335GNZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1772 | PA      | $1802.02      | 0.00%             | 2026-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C80453 FG 12/26 FIXED 7.5                 | CUSIP: 31335GQE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1922 | PA      | $1961.94      | 0.00%             | 2026-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL D54958 FG 07/24 FIXED 8                   | CUSIP: 31356HQK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2821 | PA      | $2818.40      | 0.00%             | 2024-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL D72357 FG 06/26 FIXED 7.5                 | CUSIP: 3128FDTN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       582 | PA      | $581.91       | 0.00%             | 2026-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL D72491 FG 07/26 FIXED 7.5                 | CUSIP: 3128FDXU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       415 | PA      | $414.83       | 0.00%             | 2026-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL D72907 FG 07/26 FIXED 7.5                 | CUSIP: 3128FEGQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       607 | PA      | $606.55       | 0.00%             | 2026-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL D72941 FG 07/26 FIXED 7.5                 | CUSIP: 3128FEHS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4705 | PA      | $4700.03      | 0.00%             | 2026-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL D73735 FG 08/26 FIXED 7.5                 | CUSIP: 3128FFEG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2452 | PA      | $2449.40      | 0.00%             | 2026-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL D75657 FG 11/26 FIXED 7.5                 | CUSIP: 3128FHJA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1536 | PA      | $1534.69      | 0.00%             | 2026-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL D76893 FG 12/26 FIXED 7.5                 | CUSIP: 3128FJUS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3044 | PA      | $3040.55      | 0.00%             | 2026-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G00921 FG 04/28 FIXED 7.5                 | CUSIP: 31283HAW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    203852 | PA      | $208938.07    | 0.11%             | 2028-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01227 FG 03/31 FIXED 7                   | CUSIP: 31283HLG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9004 | PA      | $9145.99      | 0.00%             | 2031-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01324 FG 10/31 FIXED 7                   | CUSIP: 31283HPH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     58354 | PA      | $60405.37     | 0.03%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01381 FG 04/32 FIXED 7                   | CUSIP: 31283HRA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3771 | PA      | $3904.08      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02472 FG 01/36 FIXED 7                   | CUSIP: 3128M4CH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42266 | PA      | $43258.90     | 0.02%             | 2036-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04614 FG 02/34 FIXED 6                   | CUSIP: 3128M6N79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2384 | PA      | $2471.16      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04624 FG 02/33 FIXED 6                   | CUSIP: 3128M6PH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       256 | PA      | $263.73       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06623 FG 04/39 FIXED 5.5                 | CUSIP: 3128M8VQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1043860 | PA      | $1084668.86   | 0.55%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL H00437 FG 12/36 FIXED 7                   | CUSIP: 3128MSPW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29649 | PA      | $29611.05     | 0.01%             | 2036-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL K30175 FG 09/47 FIXED 6.5                 | CUSIP: 31302PFQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12017 | PA      | $11907.19     | 0.01%             | 2047-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL P00029 FG 03/33 FIXED 6                   | CUSIP: 31283NA69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42988 | PA      | $42882.85     | 0.02%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL P50019 FG 07/24 FIXED 7                   | CUSIP: 31288LAU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       112 | PA      | $112.36       | 0.00%             | 2024-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL P50545 FG 03/37 FIXED 7.5                 | CUSIP: 31288LTA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28993 | PA      | $29091.22     | 0.01%             | 2037-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL P51301 FG 07/37 FIXED 6.5                 | CUSIP: 3128C6NS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     58979 | PA      | $59270.45     | 0.03%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-41                            | FHLMC STRUCTURED PASS THROUGH FSPC T 41 3A                  | CUSIP: 31392MEN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68608 | PA      | $65716.93     | 0.03%             | 2032-07-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-51                            | FHLMC STRUCTURED PASS THROUGH FSPC T 51 1A                  | CUSIP: 31392W7B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35439 | PA      | $36337.98     | 0.02%             | 2043-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-42                               | FHLMC STRUCTURED PASS THROUGH FSPC T 42 A5                  | CUSIP: 31392MH39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18822 | PA      | $19252.10     | 0.01%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-54                               | FHLMC STRUCTURED PASS THROUGH FSPC T 54 2A                  | CUSIP: 31393LFK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37280 | PA      | $38915.29     | 0.02%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-54                               | FHLMC STRUCTURED PASS THROUGH FSPC T 54 3A                  | CUSIP: 31393LFM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    269868 | PA      | $276354.72    | 0.14%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                               | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1                 | CUSIP: 31394PPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    147726 | PA      | $148745.35    | 0.08%             | 2043-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                               | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A2                 | CUSIP: 31394PPR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31794 | PA      | $32629.44     | 0.02%             | 2043-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-60                               | FHLMC STRUCTURED PASS THROUGH FSPC T 60 1A1                 | CUSIP: 31394XVD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1448390 | PA      | $1423739.46   | 0.72%             | 2044-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2018-3                                 | FLAGSHIP CREDIT AUTO TRUST FCAT 2018 3 R 144A               | CUSIP: 33844P105<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12000 | PA      | $849891.08    | 0.43%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 190328 FN 12/32 FIXED VAR                         | CUSIP: 31368HLH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     81308 | PA      | $84170.52     | 0.04%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 252526 FN 04/29 FIXED 7                           | CUSIP: 31371HPK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3562 | PA      | $3553.78      | 0.00%             | 2029-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 253184 FN 04/30 FIXED 8                           | CUSIP: 31371JFZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1513 | PA      | $1602.02      | 0.00%             | 2030-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 253398 FN 08/30 FIXED 8                           | CUSIP: 31371JNP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2863 | PA      | $2961.88      | 0.00%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 253585 FN 01/31 FIXED 8                           | CUSIP: 31371JUJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1635 | PA      | $1741.97      | 0.00%             | 2031-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 253862 FN 04/31 FIXED 6.5                         | CUSIP: 31371J5X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7152 | PA      | $7132.17      | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 253973 FN 08/31 FIXED 6.5                         | CUSIP: 31371KCJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       828 | PA      | $828.91       | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254072 FN 10/31 FIXED 6.5                         | CUSIP: 31371KFM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2772 | PA      | $2782.73      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254144 FN 11/31 FIXED 8                           | CUSIP: 31371KHV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3168 | PA      | $3260.10      | 0.00%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254463 FN 08/32 FIXED 6.5                         | CUSIP: 31371KTU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2746 | PA      | $2845.36      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254497 FN 09/32 FIXED 6.5                         | CUSIP: 31371KUW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4981 | PA      | $5081.13      | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254881 FN 07/33 FIXED 6.5                         | CUSIP: 31371LCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15706 | PA      | $16267.88     | 0.01%             | 2033-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254915 FN 09/23 FIXED 4.5                         | CUSIP: 31371LDU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1329 | PA      | $1320.46      | 0.00%             | 2023-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255001 FN 11/33 FIXED 6.5                         | CUSIP: 31371LGJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24560 | PA      | $25747.45     | 0.01%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255071 FN 01/34 FIXED 6.5                         | CUSIP: 31371LJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4879 | PA      | $5094.52      | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257030 FN 11/47 FIXED 6.5                         | CUSIP: 31371NPP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2876 | PA      | $2933.81      | 0.00%             | 2047-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257154 FN 03/28 FIXED 4.5                         | CUSIP: 31371NTK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12694 | PA      | $12484.62     | 0.01%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NMG PARENT                                                        | NEIMAN MARCUS USD COMMON STOCK EQUITY                       | CUSIP: 967DUC905<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     32851 | NS      | $5783555.14   | 2.92%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 303999 FN 12/24 FIXED VAR                         | CUSIP: 31373UUY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31 | PA      | $30.64        | 0.00%             | 2024-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323328 FN 09/28 FLOATING VAR                      | CUSIP: 31374TD97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1858 | PA      | $1831.22      | 0.00%             | 2028-09-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| NOBLE CORPORATION PLC                                             | NOBLE CORP PLC COMMON STOCK                                 | CUSIP: G65431127<br>LEI: 549300I3HBUNXO0OG954 | Long             | EC               | CORP              | GB        |     12236 | NS      | $461419.56    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 398916 FN 09/27 FIXED 8                           | CUSIP: 31378HDV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       331 | PA      | $329.97       | 0.00%             | 2027-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 407308 FN 11/28 FIXED 6.5                         | CUSIP: 31378SNZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1946 | PA      | $1995.87      | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 413793 FN 02/28 FIXED 6.5                         | CUSIP: 31379AUS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5375 | PA      | $5363.25      | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 442497 FN 09/28 FIXED 6.5                         | CUSIP: 31380KRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       722 | PA      | $740.12       | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 443108 FN 01/29 FIXED 6.5                         | CUSIP: 31380LGR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4034 | PA      | $4137.78      | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 450811 FN 11/28 FIXED 6.5                         | CUSIP: 31380UYG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       648 | PA      | $664.70       | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 458053 FN 07/27 VARIABLE                          | CUSIP: 31381DZS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       136 | PA      | $135.45       | 0.00%             | 2027-07-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 459764 FN 04/29 FIXED 6.5                         | CUSIP: 31381FWZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       643 | PA      | $659.26       | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 489119 FN 07/29 FIXED 6.5                         | CUSIP: 31382QK87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25566 | PA      | $26225.29     | 0.01%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 491193 FN 03/29 FIXED 6.5                         | CUSIP: 31382SUS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       620 | PA      | $635.49       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 494976 FN 06/29 FIXED 6.5                         | CUSIP: 31382W2H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       745 | PA      | $764.60       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 498247 FN 06/29 FIXED 6.5                         | CUSIP: 31383BP84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       770 | PA      | $789.88       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 503022 FN 06/29 FIXED 6.5                         | CUSIP: 31383GYT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2247 | PA      | $2305.04      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 503901 FN 07/29 FIXED 6.5                         | CUSIP: 31383HX66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1171 | PA      | $1201.47      | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 526692 FN 12/29 FIXED 6.5                         | CUSIP: 31384LC51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1414 | PA      | $1450.00      | 0.00%             | 2029-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535283 FN 05/30 FIXED VAR                         | CUSIP: 31384VUG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7979 | PA      | $8248.05      | 0.00%             | 2030-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535597 FN 10/30 FIXED VAR                         | CUSIP: 31384V7J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93 | PA      | $96.25        | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535951 FN 03/31 FIXED VAR                         | CUSIP: 31384WL81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       901 | PA      | $928.35       | 0.00%             | 2031-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 540909 FN 05/31 FIXED 6.5                         | CUSIP: 31385C3S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2838 | PA      | $2824.87      | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 569853 FN 11/27 FLOATING VAR                      | CUSIP: 31386QBW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7225 | PA      | $7122.99      | 0.00%             | 2027-11-01      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 576596 FN 12/28 FLOATING VAR                      | CUSIP: 31386XRR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10251 | PA      | $10104.71     | 0.01%             | 2028-12-01      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 583498 FN 05/31 FIXED 8                           | CUSIP: 31387GGF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15549 | PA      | $15605.53     | 0.01%             | 2031-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 596686 FN 11/31 FIXED 6.5                         | CUSIP: 31387W2T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2442 | PA      | $2489.82      | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 596712 FN 06/32 FIXED 6.5                         | CUSIP: 31387W3V7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1784 | PA      | $1827.98      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 602008 FN 08/31 FIXED 8                           | CUSIP: 31388DYD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2410 | PA      | $2493.45      | 0.00%             | 2031-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 621803 FN 03/32 FLOATING VAR                      | CUSIP: 31389CX87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33446 | PA      | $32542.90     | 0.02%             | 2032-03-01      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 634933 FN 01/32 FIXED 7                           | CUSIP: 31389TLN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4855 | PA      | $4834.94      | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 662051 FN 08/32 FIXED 6.5                         | CUSIP: 31391BQC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2356 | PA      | $2362.12      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 673284 FN 12/32 FIXED 6                           | CUSIP: 31391P6V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       382 | PA      | $388.39       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 676839 FN 01/33 FIXED 6                           | CUSIP: 31391T4Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4267 | PA      | $4336.34      | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 677569 FN 02/33 FIXED 6                           | CUSIP: 31391UW68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1828 | PA      | $1857.44      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 683892 FN 01/33 FIXED 6                           | CUSIP: 31400CXV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17531 | PA      | $17905.58     | 0.01%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 684200 FN 01/33 FIXED 6                           | CUSIP: 31400DDD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1491 | PA      | $1515.02      | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 687742 FN 02/33 FIXED 6                           | CUSIP: 31400HBK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11196 | PA      | $11377.21     | 0.01%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 702022 FN 05/33 FIXED 6.5                         | CUSIP: 31400Y4F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1136 | PA      | $1173.31      | 0.00%             | 2033-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 704395 FN 05/33 FIXED 6.5                         | CUSIP: 31401CRQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12147 | PA      | $12703.43     | 0.01%             | 2033-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 712129 FN 06/33 FIXED 6.5                         | CUSIP: 31401MEA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       237 | PA      | $243.68       | 0.00%             | 2033-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 713298 FN 06/33 FIXED 6.5                         | CUSIP: 31401NNP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       679 | PA      | $696.24       | 0.00%             | 2033-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725034 FN 12/33 FIXED VAR                         | CUSIP: 31402CPT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5972 | PA      | $6233.77      | 0.00%             | 2033-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725246 FN 01/34 FIXED VAR                         | CUSIP: 31402CWF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12363 | PA      | $12688.19     | 0.01%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725851 FN 07/34 FIXED VAR                         | CUSIP: 31402DL81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8297 | PA      | $8362.60      | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 729682 FN 08/33 FIXED 6.5                         | CUSIP: 31402HUF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33352 | PA      | $34285.99     | 0.02%             | 2033-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 730754 FN 08/33 FIXED 6.5                         | CUSIP: 31402JZT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       144 | PA      | $148.20       | 0.00%             | 2033-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735394 FN 02/35 FIXED VAR                         | CUSIP: 31402Q7F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11023 | PA      | $11479.23     | 0.01%             | 2035-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735487 FN 04/35 FIXED VAR                         | CUSIP: 31402RCY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8407 | PA      | $8708.48      | 0.00%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735504 FN 04/35 FIXED VAR                         | CUSIP: 31402RDH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    212346 | PA      | $219827.73    | 0.11%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735741 FN 07/35 FIXED VAR                         | CUSIP: 31402RLW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3575 | PA      | $3725.91      | 0.00%             | 2035-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735861 FN 09/33 FIXED VAR                         | CUSIP: 31402RQN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25535 | PA      | $25955.20     | 0.01%             | 2033-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 739477 FN 10/33 FIXED 6.5                         | CUSIP: 31402VQ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9558 | PA      | $10053.16     | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 742880 FN 10/33 FIXED 6.5                         | CUSIP: 31403AJZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2362 | PA      | $2422.94      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 743468 FN 10/33 FIXED 6.5                         | CUSIP: 31403A6D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18457 | PA      | $19060.59     | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 743878 FN 11/33 FIXED 6.5                         | CUSIP: 31403BM34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23205 | PA      | $23841.92     | 0.01%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 743965 FN 11/33 FIXED 6.5                         | CUSIP: 31403BQS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       491 | PA      | $503.22       | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745112 FN 10/35 FIXED VAR                         | CUSIP: 31403CYH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10736 | PA      | $11322.31     | 0.01%             | 2035-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 747151 FN 10/33 FIXED 6.5                         | CUSIP: 31403FBU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34726 | PA      | $35621.42     | 0.02%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 747416 FN 10/33 FIXED 6.5                         | CUSIP: 31403FK52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7890 | PA      | $8141.35      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 747640 FN 11/33 FIXED 6.5                         | CUSIP: 31403FS54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7579 | PA      | $7774.81      | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 747686 FN 11/33 FIXED 6.5                         | CUSIP: 31403FUK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5437 | PA      | $5587.14      | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 748111 FN 10/33 FIXED 6.5                         | CUSIP: 31403GDQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       122 | PA      | $125.05       | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 748116 FN 10/33 FIXED 6.5                         | CUSIP: 31403GDV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       788 | PA      | $809.20       | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 748671 FN 10/33 FIXED 6.5                         | CUSIP: 31403GW81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24236 | PA      | $24872.71     | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 748774 FN 11/33 FIXED 7                           | CUSIP: 31403G2F8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15197 | PA      | $15164.57     | 0.01%             | 2033-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 749783 FN 11/33 FIXED 6.5                         | CUSIP: 31403H6U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12621 | PA      | $12948.53     | 0.01%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 750674 FN 10/33 FIXED 6.5                         | CUSIP: 31403J6K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60825 | PA      | $62479.07     | 0.03%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 750859 FN 10/32 FIXED 6.5                         | CUSIP: 31403KE82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4631 | PA      | $4800.48      | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 752997 FN 10/33 FIXED 6.5                         | CUSIP: 31403MRS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13120 | PA      | $13460.49     | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 755211 FN 10/33 FIXED 6.5                         | CUSIP: 31403RAL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1370 | PA      | $1405.06      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 755910 FN 11/33 FIXED 6.5                         | CUSIP: 31403RYF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4427 | PA      | $4541.25      | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 758557 FN 07/34 FIXED 6.5                         | CUSIP: 31403UWS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6335 | PA      | $6516.44      | 0.00%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 763726 FN 01/34 FIXED 6.5                         | CUSIP: 31404BPK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       891 | PA      | $915.27       | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 763753 FN 01/34 FIXED 6.5                         | CUSIP: 31404BQE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2155 | PA      | $2210.72      | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 768504 FN 01/34 FIXED 6.5                         | CUSIP: 31404GX97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3431 | PA      | $3526.93      | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 771196 FN 04/34 FIXED 6.5                         | CUSIP: 31404KXZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5553 | PA      | $5735.79      | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775469 FN 05/34 FIXED 6.5                         | CUSIP: 31404QQW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6591 | PA      | $6762.51      | 0.00%             | 2034-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 781808 FN 11/34 FIXED 6.5                         | CUSIP: 31404XR55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25696 | PA      | $26402.29     | 0.01%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 783390 FN 09/34 FIXED 6.5                         | CUSIP: 31405AKB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1344 | PA      | $1381.35      | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 786574 FN 07/34 FIXED 6.5                         | CUSIP: 31405D2F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33149 | PA      | $34258.64     | 0.02%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 791804 FN 08/34 FIXED 6.5                         | CUSIP: 31405KU58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12943 | PA      | $13276.50     | 0.01%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 793441 FN 08/34 FIXED 6.5                         | CUSIP: 31405MP27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25348 | PA      | $26001.66     | 0.01%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 800224 FN 12/34 FIXED 6.5                         | CUSIP: 31405VAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12250 | PA      | $12565.79     | 0.01%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 802206 FN 10/34 FIXED 6.5                         | CUSIP: 31405XGP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2822 | PA      | $2905.45      | 0.00%             | 2034-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 807392 FN 10/31 FIXED 8                           | CUSIP: 31406D7D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10227 | PA      | $10577.97     | 0.01%             | 2031-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 829978 FN 07/31 FIXED 8                           | CUSIP: 31407GCP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23527 | PA      | $23484.90     | 0.01%             | 2031-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831551 FN 06/36 FIXED 6.5                         | CUSIP: 31407HZQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38230 | PA      | $40577.20     | 0.02%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888215 FN 12/36 FIXED VAR                         | CUSIP: 31410FYL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    126287 | PA      | $133538.54    | 0.07%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888743 FN 01/36 FIXED VAR                         | CUSIP: 31410GLY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    255791 | PA      | $262327.78    | 0.13%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 906353 FN 01/47 FIXED 7                           | CUSIP: 31411E5N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25389 | PA      | $25324.10     | 0.01%             | 2047-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 918263 FN 04/37 FIXED 6.5                         | CUSIP: 31411YFC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    120836 | PA      | $121398.64    | 0.06%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 929119 FN 02/38 FIXED 6.5                         | CUSIP: 31412MG44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21663 | PA      | $22962.67     | 0.01%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995050 FN 09/37 FIXED VAR                         | CUSIP: 31416BL71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    209867 | PA      | $219154.55    | 0.11%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA8656 FN 10/36 FIXED 6                           | CUSIP: 31416STN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46127 | PA      | $46872.05     | 0.02%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0938 FN 04/39 FIXED VAR                         | CUSIP: 31418NBG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    330216 | PA      | $344291.65    | 0.17%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI1162 FN 04/41 FIXED 4.5                         | CUSIP: 3138AEJG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     64629 | PA      | $63956.51     | 0.03%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI9192 FN 08/41 FIXED 4.5                         | CUSIP: 3138APGA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50957 | PA      | $50087.43     | 0.03%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL0152 FN 06/40 FIXED VAR                         | CUSIP: 3138EGE26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    860116 | PA      | $894015.48    | 0.45%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE3702 FN 06/47 FIXED 4                           | CUSIP: 3140FPDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6542 | PA      | $6255.04      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ3524 FN 11/47 FIXED 4                           | CUSIP: 3140H44J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    184472 | PA      | $176124.02    | 0.09%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM2006 FN 01/48 FIXED VAR                         | CUSIP: 3140J6GQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     81237 | PA      | $77636.46     | 0.04%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0709 FN 09/47 FIXED 4                           | CUSIP: 3140Q7YF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5410806 | PA      | $5169294.42   | 2.61%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3183 FN 11/47 FIXED 4                           | CUSIP: 31418CRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46142 | PA      | $44157.66     | 0.02%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3306 FN 03/48 FIXED 4                           | CUSIP: 31418CU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     82577 | PA      | $78979.17     | 0.04%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORBES ENERGY SERVICES LLC                                        | FORBES ENERGY SERVICES LLC 2018 PIK FIIXED TERM LOAN        | CUSIP: 943UMZII5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       900 | PA      | $0.00         | 0.00%             | 2023-06-30      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| FORBES ENERGY SERVICES LLC                                        | FORBES ENERGY SERVICES LLC PIK EXIT TERM LOAN               | CUSIP: 962XCSII2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     64916 | PA      | $0.00         | 0.00%             | 2023-06-30      | Fixed         | 5.30%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC 1652                                                  | FREDDIE MAC FHR 1652 PL                                     | CUSIP: 3133T3PK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15487 | PA      | $15504.55     | 0.01%             | 2024-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1721                                                  | FREDDIE MAC FHR 1721 K                                      | CUSIP: 3133T5JQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18579 | PA      | $18698.57     | 0.01%             | 2024-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1730                                                  | FREDDIE MAC FHR 1730 Z                                      | CUSIP: 3133T5LA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1286 | PA      | $1286.68      | 0.00%             | 2024-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1795                                                  | FREDDIE MAC FHR 1795 D                                      | CUSIP: 3133T6LM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20104 | PA      | $20331.87     | 0.01%             | 2025-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1829                                                  | FREDDIE MAC FHR 1829 ZB                                     | CUSIP: 3133T6J36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3540 | PA      | $3550.46      | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1980                                                  | FREDDIE MAC FHR 1980 Z                                      | CUSIP: 3133TAG22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70231 | PA      | $71472.96     | 0.04%             | 2027-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2034                                                  | FREDDIE MAC FHR 2034 Z                                      | CUSIP: 3133TCV70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38829 | PA      | $39755.64     | 0.02%             | 2028-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2040                                                  | FREDDIE MAC FHR 2040 PE                                     | CUSIP: 3133TD3W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10380 | PA      | $10776.19     | 0.01%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2104                                                  | FREDDIE MAC FHR 2104 ZM                                     | CUSIP: 3133THB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34086 | PA      | $34796.10     | 0.02%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2138                                                  | FREDDIE MAC FHR 2138 KC                                     | CUSIP: 3133TJTN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    536154 | PA      | $553920.71    | 0.28%             | 2029-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2152                                                  | FREDDIE MAC FHR 2152 BZ                                     | CUSIP: 3133TKXF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    101938 | PA      | $103504.29    | 0.05%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2283                                                  | FREDDIE MAC FHR 2283 K                                      | CUSIP: 3133TRJM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       648 | PA      | $649.03       | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2290                                                  | FREDDIE MAC FHR 2290 ZD                                     | CUSIP: 3133TRE68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49980 | PA      | $50993.25     | 0.03%             | 2031-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2311                                                  | FREDDIE MAC FHR 2311 Z                                      | CUSIP: 3133TSDK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28179 | PA      | $28844.12     | 0.01%             | 2031-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2322                                                  | FREDDIE MAC FHR 2322 KZ                                     | CUSIP: 3133TUHY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    334240 | PA      | $348835.27    | 0.18%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2322                                                  | FREDDIE MAC FHR 2322 PZ                                     | CUSIP: 3133TUKA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    277133 | PA      | $289242.62    | 0.15%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2359                                                  | FREDDIE MAC FHR 2359 PZ                                     | CUSIP: 3133TV6U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    236463 | PA      | $238924.60    | 0.12%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2415                                                  | FREDDIE MAC FHR 2415 ZA                                     | CUSIP: 31339DKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19147 | PA      | $19964.88     | 0.01%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2417                                                  | FREDDIE MAC FHR 2417 CJ                                     | CUSIP: 31339D5N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    598130 | PA      | $615728.51    | 0.31%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2457                                                  | FREDDIE MAC FHR 2457 PE                                     | CUSIP: 31392PKZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     61036 | PA      | $63452.62     | 0.03%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2484                                                  | FREDDIE MAC FHR 2484 LZ                                     | CUSIP: 31392R3H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    296099 | PA      | $304269.93    | 0.15%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2756                                                  | FREDDIE MAC FHR 2756 NA                                     | CUSIP: 31394PXG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       444 | PA      | $441.06       | 0.00%             | 2024-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2947                                                  | FREDDIE MAC FHR 2947 OZ                                     | CUSIP: 31395R6Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     80068 | PA      | $80227.66     | 0.04%             | 2035-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3871                                                  | FREDDIE MAC FHR 3871 JB                                     | CUSIP: 3137AC7C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1251273 | PA      | $1278507.82   | 0.65%             | 2041-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071 | FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3                 | CUSIP: 3137FCLG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5336000 | PA      | $430072.00    | 0.22%             | 2045-11-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMIC 2230                                            | FREDDIE MAC FHR 2230 Z                                      | CUSIP: 3133TNSS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18150 | PA      | $19226.84     | 0.01%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4066                                           | FREDDIE MAC FHR 4066 SA                                     | CUSIP: 3137ARFG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2229822 | PA      | $75181.13     | 0.04%             | 2038-05-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4324                                           | FREDDIE MAC FHR 4324 IO                                     | CUSIP: 3137BAGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    948791 | PA      | $24245.80     | 0.01%             | 2036-08-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4496                                           | FREDDIE MAC FHR 4496 BI                                     | CUSIP: 3137BKS27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9456028 | PA      | $345472.21    | 0.17%             | 2038-11-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                           | FREDDIE MAC FHR 4923 NS                                     | CUSIP: 3137FPYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6071791 | PA      | $673583.22    | 0.34%             | 2049-11-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                           | FREDDIE MAC FHR 4923 QS                                     | CUSIP: 3137FPZ32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6523575 | PA      | $818856.10    | 0.41%             | 2049-11-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                           | FREDDIE MAC FHR 4923 SE                                     | CUSIP: 3137FPZ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16147691 | PA      | $2005225.06   | 1.01%             | 2048-04-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4976                                           | FREDDIE MAC FHR 4976 DI                                     | CUSIP: 3137FTAM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    535671 | PA      | $111946.90    | 0.06%             | 2050-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4983                                           | FREDDIE MAC FHR 4983 IO                                     | CUSIP: 3137FTH34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    682955 | PA      | $123810.15    | 0.06%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                           | FREDDIE MAC FHR 4990 SN                                     | CUSIP: 3137FUYG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    691005 | PA      | $79482.90     | 0.04%             | 2050-05-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                           | FREDDIE MAC FHR 5051 SX                                     | CUSIP: 3137F83L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5693127 | PA      | $176022.95    | 0.09%             | 2048-11-15      | Floating      | 0.44%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5060                                           | FREDDIE MAC FHR 5060 IP                                     | CUSIP: 3137F87A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8954898 | PA      | $1451957.07   | 0.73%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5065                                           | FREDDIE MAC FHR 5065 IG                                     | CUSIP: 3137F8RG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    521880 | PA      | $81219.50     | 0.04%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                           | FREDDIE MAC   STACR STACR 2021 DNA6 B2 144A                 | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2800000 | PA      | $2394983.92   | 1.21%             | 2041-10-25      | Floating      | 11.43%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA7                           | FREDDIE MAC   STACR STACR 2021 DNA7 B2 144A                 | CUSIP: 35564KNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2800000 | PA      | $2395676.92   | 1.21%             | 2041-11-25      | Floating      | 11.73%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2015-DNA2    | FREDDIE MAC   STACR STACR 2015 DNA2 B                       | CUSIP: 3137G0FZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1499480 | PA      | $1506011.34   | 0.76%             | 2027-12-25      | Floating      | 11.94%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2017-DNA2    | FREDDIE MAC   STACR STACR 2017 DNA2 B1                      | CUSIP: 3137G0PR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    650000 | PA      | $699383.17    | 0.35%             | 2029-10-25      | Floating      | 9.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1503                                                  | FREDDIE MAC FHR 1503 PZ                                     | CUSIP: 312915U58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2007 | PA      | $2007.56      | 0.00%             | 2023-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1578                                                  | FREDDIE MAC FHR 1578 K                                      | CUSIP: 3133T0J70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9277 | PA      | $9293.81      | 0.00%             | 2023-09-15      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1584                                                  | FREDDIE MAC FHR 1584 L                                      | CUSIP: 3133T1CA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       928 | PA      | $929.48       | 0.00%             | 2023-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1603                                                  | FREDDIE MAC FHR 1603 K                                      | CUSIP: 3133T1RC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18907 | PA      | $18971.50     | 0.01%             | 2023-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1628                                                  | FREDDIE MAC FHR 1628 LZ                                     | CUSIP: 3133T3KK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       460 | PA      | $461.21       | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1643                                                  | FREDDIE MAC FHR 1643 PK                                     | CUSIP: 3133T2YT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       138 | PA      | $138.33       | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1695                                                  | FREDDIE MAC FHR 1695 EB                                     | CUSIP: 3133T4SX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       885 | PA      | $886.79       | 0.00%             | 2024-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2325                                                  | FREDDIE MAC FHR 2325 ZN                                     | CUSIP: 3133TU5B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    163447 | PA      | $172998.37    | 0.09%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AXIS ENERGY SERVICES HOLDINGS LLC                                 | AXIS ENERGY SERVICES CLASS A EQTY009T1 AXIS ENERGY SERVICES | CUSIP: 942WZK900<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       422 | NS      | $14746.47     | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                           | GTWY CASINO+ENTERTAINMNT LTD 2021 CAD TERM LOAN             | CUSIP: 943ZHKII3<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |    583085 | PA      | $425255.86    | 0.21%             | 2027-10-18      | Fixed         | 12.56%                | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                           | GTWY CASINO+ENTERTAINMNT LTD 2021 TERM LOAN                 | CUSIP: 943ZERII1<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |   2672604 | PA      | $2639196.45   | 1.33%             | 2027-10-15      | Fixed         | 12.14%                | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                   | GAZPROM (GAZ CAPITAL SA) SR UNSECURED REGS 04/34 8.625      | CUSIP: B00ZMCII3<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |   1710000 | PA      | $1001953.13   | 0.51%             | 2034-04-28      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| GC PASTOR HIPOTECARIO FTA 5                                       | PASTOR GC HIPOTECARIO GCPAS 5 A2 REGS                       | CUSIP: 997AAZII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |    838182 | PA      | $758397.78    | 0.38%             | 2046-06-21      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                        | REPUBLIC OF GHANA SR UNSECURED 144A 02/27 6.375             | CUSIP: 37443GAG6<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    323000 | PA      | $125172.19    | 0.06%             | 2027-02-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                        | REPUBLIC OF GHANA SR UNSECURED 144A 02/35 7.875             | CUSIP: 37443GAH4<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    388000 | PA      | $140653.88    | 0.07%             | 2035-02-11      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                             | GLP CAPITAL LP / FIN II COMPANY GUAR 01/32 3.25             | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $80082.98     | 0.04%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2004-AR2                            | GMAC MORTGAGE CORPORATION LOAN GMACM 2004 AR2 5A2           | CUSIP: 36185N4A5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16918 | PA      | $14158.99     | 0.01%             | 2034-08-19      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA I TBA 30 YR 4 SINGLE FAMILY MORTGAGE                   | CUSIP: 01N040611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $11379419.28  | 5.75%             | 2053-01-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004261 G2 10/38 FIXED 6.5                      | CUSIP: 36202EWW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       455 | PA      | $453.59       | 0.00%             | 2038-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 616713 G2 11/24 FIXED 6.5                      | CUSIP: 36290TDS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17400 | PA      | $17390.10     | 0.01%             | 2024-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STICHTING AK RABOBANK CERTIFICATEN                                | STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR           | CUSIP: BJBQCWII7<br>LEI: N/A                  | Long             | EP               | CORP              | NL        |   4760000 | NS      | $4900172.79   | 2.47%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                               | BANCA MONTE DEI PASCHI SIENA COMMON STOCK                   | CUSIP: ACI28SXK1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | EC               | CORP              | IT        |    323500 | NS      | $666470.52    | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4.5 JUMBOS                                | CUSIP: 21H042612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $97022.50     | 0.05%             | 2053-01-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 345096 GN 03/26 FIXED 7.5                         | CUSIP: 36203CKH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22 | PA      | $22.46        | 0.00%             | 2026-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 353125 GN 06/23 FIXED 7.5                         | CUSIP: 36203MHA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11 | PA      | $11.19        | 0.00%             | 2023-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 353706 GN 06/27 FIXED 7.5                         | CUSIP: 36203M3P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3094 | PA      | $3092.82      | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 373604 GN 03/26 FIXED 7                           | CUSIP: 36204MAD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       600 | PA      | $599.72       | 0.00%             | 2026-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 399238 GN 04/27 FIXED 7.5                         | CUSIP: 36205SPX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4518 | PA      | $4516.01      | 0.00%             | 2027-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 410253 GN 12/25 FIXED 7                           | CUSIP: 36206FWN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       229 | PA      | $228.89       | 0.00%             | 2025-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 410289 GN 10/25 FIXED 7.5                         | CUSIP: 36206FXS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1912 | PA      | $1911.65      | 0.00%             | 2025-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 410324 GN 03/26 FIXED 7.5                         | CUSIP: 36206FYV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12036 | PA      | $12084.29     | 0.01%             | 2026-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 412531 GN 12/25 FIXED 7                           | CUSIP: 36206JHG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48 | PA      | $48.17        | 0.00%             | 2025-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 413294 GN 05/27 FIXED 7.5                         | CUSIP: 36206KC74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       626 | PA      | $625.38       | 0.00%             | 2027-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 414844 GN 11/25 FIXED 7                           | CUSIP: 36206LZH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1165 | PA      | $1166.23      | 0.00%             | 2025-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 421282 GN 04/27 FIXED 7.5                         | CUSIP: 36206T6T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     57455 | PA      | $58317.53     | 0.03%             | 2027-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 422120 GN 05/27 FIXED 7.5                         | CUSIP: 36206U4D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       273 | PA      | $273.82       | 0.00%             | 2027-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 423379 GN 04/26 FIXED 7                           | CUSIP: 36206WJY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $9.30         | 0.00%             | 2026-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 429423 GN 04/26 FIXED 7                           | CUSIP: 36207EAY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1904 | PA      | $1905.11      | 0.00%             | 2026-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 430603 GN 02/28 FIXED 7.5                         | CUSIP: 36207FKQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2593 | PA      | $2592.21      | 0.00%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 433492 GN 03/27 FIXED 7.5                         | CUSIP: 36207JRM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1519 | PA      | $1518.05      | 0.00%             | 2027-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 445343 GN 02/28 FIXED 7.5                         | CUSIP: 36207XWC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5727 | PA      | $5724.29      | 0.00%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 445792 GN 01/28 FIXED 7.5                         | CUSIP: 36207YF96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8146 | PA      | $8142.33      | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 446811 GN 06/27 FIXED 7.5                         | CUSIP: 36208CKY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4276 | PA      | $4338.86      | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 447328 GN 06/27 FIXED 7.5                         | CUSIP: 36208C4M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1645 | PA      | $1644.14      | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 447399 GN 07/27 FIXED 7.5                         | CUSIP: 36208C7L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       282 | PA      | $282.32       | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 447529 GN 04/27 FIXED 7.5                         | CUSIP: 36208DEA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       129 | PA      | $128.92       | 0.00%             | 2027-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 448042 GN 01/28 FIXED 7.5                         | CUSIP: 36208DWB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3604 | PA      | $3602.37      | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 448600 GN 06/27 FIXED 7.5                         | CUSIP: 36208EKM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10209 | PA      | $10204.70     | 0.01%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 448605 GN 07/27 FIXED 7.5                         | CUSIP: 36208EKS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24199 | PA      | $24189.22     | 0.01%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 451321 GN 07/27 FIXED 7.5                         | CUSIP: 36208HLA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       278 | PA      | $281.22       | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 451387 GN 08/27 FIXED 7.5                         | CUSIP: 36208HNC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1365 | PA      | $1386.74      | 0.00%             | 2027-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 453008 GN 01/28 FIXED 7.5                         | CUSIP: 36208KGR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14537 | PA      | $14530.95     | 0.01%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 453009 GN 01/28 FIXED 7.5                         | CUSIP: 36208KGS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14052 | PA      | $14045.83     | 0.01%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 454351 GN 01/28 FIXED 7.5                         | CUSIP: 36208LWL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27055 | PA      | $27043.93     | 0.01%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 455360 GN 12/27 FIXED 7.5                         | CUSIP: 36208MZZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       682 | PA      | $683.35       | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 456586 GN 08/27 FIXED 7.5                         | CUSIP: 36208PF37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12633 | PA      | $12627.78     | 0.01%             | 2027-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 463328 GN 01/28 FIXED 7.5                         | CUSIP: 36208WVV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6511 | PA      | $6508.22      | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE CORPORATION                                             | SYNIVERSE PFD PIK PFDJJZ917                                 | CUSIP: 936UVD902<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    787403 | NS      | $756694.50    | 0.38%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 470020 GN 02/29 FIXED 7.5                         | CUSIP: 36209FDZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       278 | PA      | $280.04       | 0.00%             | 2029-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 491153 GN 01/29 FIXED 7.5                         | CUSIP: 36210FTJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       959 | PA      | $960.12       | 0.00%             | 2029-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 495943 GN 02/29 FIXED 7.5                         | CUSIP: 36210L5C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6156 | PA      | $6152.98      | 0.00%             | 2029-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 496602 GN 04/29 FIXED 6                           | CUSIP: 36210MU33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6881 | PA      | $7063.65      | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 498356 GN 02/29 FIXED 7.5                         | CUSIP: 36210PTM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9878 | PA      | $9873.55      | 0.00%             | 2029-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 501911 GN 03/29 FIXED 7.5                         | CUSIP: 36210TR81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2427 | PA      | $2425.58      | 0.00%             | 2029-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 503001 GN 02/29 FIXED 7.5                         | CUSIP: 36210UX65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5268 | PA      | $5379.88      | 0.00%             | 2029-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 533972 GN 05/32 FIXED 6.5                         | CUSIP: 36212HFM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     97994 | PA      | $100847.88    | 0.05%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 543927 GN 02/31 FIXED 8.5                         | CUSIP: 36212UHC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5794 | PA      | $5940.17      | 0.00%             | 2031-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 557681 GN 08/31 FIXED 6                           | CUSIP: 36213LRA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1565 | PA      | $1606.95      | 0.00%             | 2031-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 569341 GN 04/32 FIXED 6.5                         | CUSIP: 36200QP24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89475 | PA      | $92139.59     | 0.05%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 616975 GN 02/36 FIXED 6                           | CUSIP: 36290TMY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5944 | PA      | $6219.43      | 0.00%             | 2036-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 627597 GN 12/37 FIXED 6                           | CUSIP: 36291GGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5600 | PA      | $5749.39      | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 627708 GN 09/36 FIXED 6                           | CUSIP: 36291GKV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9958 | PA      | $10231.22     | 0.01%             | 2036-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 627727 GN 07/37 FIXED 6                           | CUSIP: 36291GLG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     87208 | PA      | $89520.63     | 0.05%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 632024 GN 12/36 FIXED 6                           | CUSIP: 36291MD59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3782 | PA      | $3882.92      | 0.00%             | 2036-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 632082 GN 07/37 FIXED 6                           | CUSIP: 36291MFX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     97685 | PA      | $100280.68    | 0.05%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 681706 GN 12/38 FIXED 6                           | CUSIP: 36295VKT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2172 | PA      | $2233.88      | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 685192 GN 10/38 FIXED 6                           | CUSIP: 36296AF90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     78671 | PA      | $80872.73     | 0.04%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 699270 GN 09/38 FIXED 6                           | CUSIP: 36296R2B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     79413 | PA      | $83577.95     | 0.04%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 701432 GN 11/38 FIXED 6                           | CUSIP: 36296UHH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    163371 | PA      | $167983.76    | 0.08%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780189 GN 07/25 FIXED 7                           | CUSIP: 36225AF62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       292 | PA      | $291.97       | 0.00%             | 2025-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780518 GN 06/26 FIXED 7                           | CUSIP: 36225ASF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2639 | PA      | $2660.41      | 0.00%             | 2026-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780580 GN 06/27 FIXED 7.5                         | CUSIP: 36225AUD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       113 | PA      | $116.73       | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780798 GN 12/27 FIXED 7.5                         | CUSIP: 36225A3F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4580 | PA      | $4716.51      | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                               | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/36 FIXED 3.487     | CUSIP: 38122ND41<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1000000 | PA      | $799396.20    | 0.40%             | 2036-06-01      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                               | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/46 FIXED 3         | CUSIP: 38122NB76<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     90000 | PA      | $83388.09     | 0.04%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                               | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 3.85      | CUSIP: 38122ND82<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1000000 | PA      | $886080.50    | 0.45%             | 2050-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-88                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 88 SA               | CUSIP: 38380FRT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5644725 | PA      | $527978.77    | 0.27%             | 2047-06-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 110 PS              | CUSIP: 38381YWG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13792093 | PA      | $1360645.14   | 0.69%             | 2049-09-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-115                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 115 SY              | CUSIP: 38381YVM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  27828627 | PA      | $2867709.44   | 1.45%             | 2049-09-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-97                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 97 SB               | CUSIP: 38381YHY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12032637 | PA      | $1213379.55   | 0.61%             | 2049-08-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-3                                  | CONSECO FINANCIAL CORP GT 1999 3 A9                         | CUSIP: 393505X98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60068 | PA      | $52632.37     | 0.03%             | 2031-02-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2017-SLP                           | GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP F 144A           | CUSIP: 36255MAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2076722.34   | 1.05%             | 2032-10-10      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2017-SLP                           | GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP G 144A           | CUSIP: 36255MAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $374320.40    | 0.19%             | 2032-10-10      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2022-GTWY                          | GS MORTGAGE SECURITIES TRUST GSMS 2022 GTWY A 144A          | CUSIP: 36266DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3400000 | PA      | $3431012.76   | 1.73%             | 2039-08-15      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2004-CW1                                   | GSAA HOME EQUITY TRUST GSAA 2004 CW1 2A1                    | CUSIP: 36228FT55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    407121 | PA      | $391115.08    | 0.20%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)         | UNITI GROUP INC REIT USD.0001                               | CUSIP: 91325V108<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |     73539 | NS      | $406670.67    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 1998-1                                  | GSMPS MORTGAGE LOAN TRUST GSMPS 1998 1 A 144A               | CUSIP: 36228FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    304787 | PA      | $285255.83    | 0.14%             | 2027-09-19      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2003-3                                  | GSMPS MORTGAGE LOAN TRUST GSMPS 2003 3 A1 144A              | CUSIP: 36290PAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350404 | PA      | $1355481.56   | 0.68%             | 2043-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GSMPS MTGE LOAN TRUST 1998-5                                      | GSMPS MORTGAGE LOAN TRUST GSMPS 1998 5 A 144A               | CUSIP: 36228FAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13184 | PA      | $12596.51     | 0.01%             | 2027-06-19      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-1                                    | GSR MORTGAGE LOAN TRUST GSR 2003 1 A2                       | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       317 | PA      | $309.79       | 0.00%             | 2033-03-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-14                                   | GSR MORTGAGE LOAN TRUST GSR 2004 14 1A1                     | CUSIP: 36242DPB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67199 | PA      | $58335.18     | 0.03%             | 2034-12-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-2F                                   | GSR MORTGAGE LOAN TRUST GSR 2004 2F 5A1                     | CUSIP: 36229RLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4754 | PA      | $4742.16      | 0.00%             | 2034-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HF SINCLAIR CORPORATION                                           | HF SINCLAIR CORP SR UNSECURED 10/30 4.5                     | CUSIP: 403949AC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1738000 | PA      | $1529764.87   | 0.77%             | 2030-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES INC                                               | VICI PROPERTIES INC REIT USD.01                             | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |     33427 | NS      | $1083034.80   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| HUARONG FINANCE 2017 CO LTD                                       | HUARONG FINANCE 2017 CO COMPANY GUAR REGS 04/27 4.75        | CUSIP: G463PSAE4<br>LEI: 5493006V07LYI3HE6G83 | Long             | DBT              | CORP              | VG        |    200000 | PA      | $174750.00    | 0.09%             | 2027-04-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019 CO LTD                                       | HUARONG FINANCE 2019 COMPANY GUAR REGS 05/29 4.5            | CUSIP: ACI1C6PX7<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |   2000000 | PA      | $1661817.80   | 0.84%             | 2029-05-29      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE II CO LTD                                         | HUARONG FINANCE II COMPANY GUAR REGS 06/26 4.625            | CUSIP: G463PCAJ8<br>LEI: 549300BHVD63HE2GHX17 | Long             | DBT              | CORP              | VG        |    200000 | PA      | $176750.00    | 0.09%             | 2026-06-03      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                       | ILLINOIS ST ILS 04/35 FIXED 6.725                           | CUSIP: 452152FA4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     15000 | PA      | $15295.63     | 0.01%             | 2035-04-01      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| IM PASTOR FTH 3                                                   | PASTOR IM FTH/FTA IMPAS 3 A REGS                            | CUSIP: B0BL9JII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |    238983 | PA      | $217446.08    | 0.11%             | 2043-03-22      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                  | WESTMORELAND MINING HOLDINGS L COMMON                       | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        70 | NS      | $525.00       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO)                               | POSEIDON BIDCO SASU EUR TERM LOAN B                         | CUSIP: 945BRXII5<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |   2400000 | PA      | $2213528.60   | 1.12%             | 2028-07-14      | Floating      | 7.26%                 | No            |                  3 | On Loan: No      |
| INSTANT BRANDS HOLDINGS INC                                       | INSTANT BRANDS HOLDINGS INC TERM LOAN                       | CUSIP: 45783DAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2555033 | PA      | $1727202.54   | 0.87%             | 2028-04-12      | Floating      | 9.73%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                      | INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5             | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |   7256000 | PA      | $6504931.44   | 3.29%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                      | INTELSAT JACKSON HOLDINGS S.A. 2021 EXIT TERM LOAN B        | CUSIP: L5137LAQ8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | LON              | CORP              | LU        |   1285655 | PA      | $1243870.76   | 0.63%             | 2029-02-01      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5    | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 H 144A       | CUSIP: 46654PAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $1928686.54   | 0.97%             | 2038-11-15      | Floating      | 10.71%                | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                  | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 4A1                  | CUSIP: 46628BCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    733821 | PA      | $608063.55    | 0.31%             | 2036-10-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S2                                  | JP MORGAN MORTGAGE TRUST JPMMT 2007 S2 3A1                  | CUSIP: 46630WBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22471 | PA      | $21757.14     | 0.01%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AA BOND CO LIMITED                                                | AA BOND CO LTD SR SECURED REGS 07/50 5.5                    | CUSIP: ACI1JGR32<br>LEI: 2138002EPF6QVRZBMC58 | Long             | DBT              | CORP              | JE        |   2500000 | PA      | $2621891.83   | 1.32%             | 2050-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                        | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL             | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     27523 | PA      | $17890.01     | 0.01%             | 2024-06-28      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                        | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL              | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    189778 | PA      | $101870.14    | 0.05%             | 2025-06-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ACCESS FINANCIAL MANUF HSG 1995-1                                 | ACCESS FINANCIAL MANUF HSG CON ACCFC 1995 1 B1              | CUSIP: 004313AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199764 | PA      | $3194.53      | 0.00%             | 2023-02-15      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| LUXE TRUST 2021-TRIP                                              | LUXE COMMERCIAL MORTGAGE TRUST LUXE 2021 TRIP E 144A        | CUSIP: 55066WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3015845 | PA      | $2771842.03   | 1.40%             | 2038-10-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                           | MADISON PARK FUNDING LTD MDPK 2017 23A SUB 144A             | CUSIP: 55820UAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $222443.63    | 0.11%             | 2047-07-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2018-4A                                    | MARLETTE FUNDING TRUST MFT 2018 4A CERT 144A                | CUSIP: 57109G104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5800 | PA      | $423382.71    | 0.21%             | 2028-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-1A                                    | MARLETTE FUNDING TRUST MFT 2019 1A CERT 144A                | CUSIP: 57109X107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9871 | PA      | $589857.62    | 0.30%             | 2029-04-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-2                                     | MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A                | CUSIP: 57109H102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6816 | PA      | $520070.50    | 0.26%             | 2029-07-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-10                           | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 10 2A1             | CUSIP: 576433SV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235624 | PA      | $210447.23    | 0.11%             | 2034-10-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-3                                            | MASTR ALTERNATIVE LOANS TRUST MALT 2006 3 1A3               | CUSIP: 57645DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233088 | PA      | $137182.50    | 0.07%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TR 2004-3                                 | MASTR ALTERNATIVE LOANS TRUST MALT 2004 3 5A1               | CUSIP: 576434NY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475671 | PA      | $469111.35    | 0.24%             | 2034-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TR 2004-3                                 | MASTR ALTERNATIVE LOANS TRUST MALT 2004 3 8A1               | CUSIP: 576434PB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19639 | PA      | $19723.79     | 0.01%             | 2034-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TR 2006-1                                 | MASTR REPERFORMING LOAN TRUST MARP 2006 1 1A3 144A          | CUSIP: 57643QBN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1265681 | PA      | $941862.24    | 0.48%             | 2035-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TRUST 2005-2                              | MASTR REPERFORMING LOAN TRUST MARP 2005 2 1A2 144A          | CUSIP: 57643QAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2388334 | PA      | $1712608.17   | 0.86%             | 2035-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                               | MFRA TRUST MFRA 2020 NQM3 B1 144A                           | CUSIP: 552757AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $240756.51    | 0.12%             | 2065-01-26      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-3                              | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 3 7A1              | CUSIP: 007036JA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187557 | PA      | $168442.64    | 0.09%             | 2035-07-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TR 2005-4                                | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 4 3A1              | CUSIP: 007036KD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115210 | PA      | $111089.60    | 0.06%             | 2035-08-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                    | ADLER GROUP SA SR UNSECURED REGS 01/26 1.875                | CUSIP: ACI1TZD42<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |    200000 | PA      | $87509.25     | 0.04%             | 2026-01-14      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2014-R2                     | MORGAN STANLEY REREMIC TRUST MSRR 2014 R2 2B 144A           | CUSIP: 61763LBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7158707 | PA      | $6236587.21   | 3.15%             | 2046-12-26      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| NAC AVIATION 29 DESIGNATED ACTIVITY COMPANY                       | NAC AVIATION 29 DAC  REVOLVER                               | CUSIP: G6360LAB3<br>LEI: 213800F6E89RCASJ7E83 | Long             | LON              | CORP              | IE        |   1000000 | PA      | $544858.51    | 0.28%             | 2026-03-31      | Floating      | 2.35%                 | No            |                  3 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A5                 | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A5 1O 144A      | CUSIP: 63546CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3200000 | PA      | $1004800.00   | 0.51%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A6                 | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A6 1O 144A      | CUSIP: 63546EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3200000 | PA      | $1010771.20   | 0.51%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-43A6                 | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 43A6 1O 144A      | CUSIP: 63546GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $1145288.00   | 0.58%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                       | NEWGATE FUNDING PLC NGATE 2007 3X BB REGS                   | CUSIP: B2NDQHII8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1248406 | PA      | $1188447.61   | 0.60%             | 2050-12-15      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                       | NEWGATE FUNDING PLC NGATE 2007 3X CB REGS                   | CUSIP: B2NDQJII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1248406 | PA      | $1095143.27   | 0.55%             | 2050-12-15      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| NGD HOLDINGS BV                                                   | NGD HOLDINGS BV SR SECURED 12/26 6.75                       | CUSIP: ACI1XVPP6<br>LEI: 984500ED2ABF0UF46690 | Long             | DBT              | CORP              | NL        |   1479000 | PA      | $688659.38    | 0.35%             | 2026-12-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                               | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81                | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   6000000 | PA      | $5105188.14   | 2.58%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                             | NOBLE FINANCE CO SECURED 02/28 11                           | CUSIP: 65505JAC5<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |     31535 | PA      | $35082.69     | 0.02%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                             | NOBLE FINANCE CO SECURED 144A 02/28 11                      | CUSIP: 65505JAA9<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |     22529 | PA      | $25063.51     | 0.01%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R1                              | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R1 A2 144A          | CUSIP: 62951MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1590029 | PA      | $1382354.34   | 0.70%             | 2034-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R2                              | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R2 A2 144A          | CUSIP: 62951MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530390 | PA      | $466318.71    | 0.24%             | 2034-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R2                              | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R2 A3 144A          | CUSIP: 62951MAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1591169 | PA      | $1406915.05   | 0.71%             | 2034-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2015-1 CLASS A PASS THROUGH TRUST                      | AIR CANADA 2015 1A PTT PASS THRU CE 144A 09/28 3.6          | CUSIP: 009090AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1878098 | PA      | $1697738.25   | 0.86%             | 2028-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| OAKWOOD MORTGAGE INVESTORS INC 2002-B                             | OAKWOOD MORTGAGE INVESTORS INC OAK 2002 B A1                | CUSIP: 67087TDM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1718 | PA      | $1700.91      | 0.00%             | 2032-06-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                   | OI SA COMPANY GUAR 07/25 VAR                                | CUSIP: P7354PAA2<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |   3220000 | PA      | $556420.15    | 0.28%             | 2025-07-27      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                | ORACLE CORP SR UNSECURED 03/61 4.1                          | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $698724.80    | 0.35%             | 2061-03-25      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                | ORACLE CORP SR UNSECURED 04/60 3.85                         | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    200000 | PA      | $133769.36    | 0.07%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75              | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2296000 | PA      | $1765439.22   | 0.89%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2               | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1163445.14   | 0.59%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3               | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    950000 | PA      | $677067.52    | 0.34%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45              | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    220000 | PA      | $164544.56    | 0.08%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/43 4.6               | CUSIP: 694308HD2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $75917.36     | 0.04%             | 2043-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95              | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    765000 | PA      | $596033.06    | 0.30%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/42 3.75              | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $67435.87     | 0.03%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4                 | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    200000 | PA      | $134633.55    | 0.07%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC SR SECURED 06/41 4.2                 | CUSIP: 694308JU2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    200000 | PA      | $148809.53    | 0.08%             | 2041-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                      | PERU LNG SRL SR UNSECURED REGS 03/30 5.375                  | CUSIP: P7721BAE1<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |   2800000 | PA      | $2342577.33   | 1.18%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                       | PETROLEOS MEXICANOS COMPANY GUAR REGS 04/27 2.75            | CUSIP: ACI0CBT55<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1938000 | PA      | $1628320.22   | 0.82%             | 2027-04-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                             | PROMOTORA DE INFORMACIONES SA 2022 EUR PIK JUNIOR TERM LOAN | CUSIP: 945BECII5<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |   1253081 | PA      | $1173690.06   | 0.59%             | 2027-06-30      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                             | PROMOTORA DE INFORMACIONES SA 2022 EUR SENIOR TERM LOAN     | CUSIP: 945BEBII7<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |   3791718 | PA      | $3490604.56   | 1.76%             | 2026-12-31      | Floating      | 6.71%                 | No            |                  3 | On Loan: No      |
| PUERTO RICO GOVT                                                  | PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR                 | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |   1091749 | PA      | $479004.89    | 0.24%             | 2043-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-5                               | RBSSP RESECURITIZATION TRUST RBSSP 2009 5 14A3 144A         | CUSIP: 74928WBY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5226048 | PA      | $1948479.36   | 0.98%             | 2036-12-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-7                               | RBSSP RESECURITIZATION TRUST RBSSP 2009 7 18A3 144A         | CUSIP: 75524MCS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2324328 | PA      | $1354220.44   | 0.68%             | 2037-02-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST               | AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7                | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1381755 | PA      | $1195226.10   | 0.60%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS10                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 2A            | CUSIP: 761118CW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815755 | PA      | $679848.15    | 0.34%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL1                          | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL1 A6             | CUSIP: 760985W72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    637584 | PA      | $324390.61    | 0.16%             | 2031-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL2                          | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL2 A4             | CUSIP: 7609856D8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192038 | PA      | $192510.34    | 0.10%             | 2031-10-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL3                          | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL3 A4             | CUSIP: 76112BBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7881 | PA      | $3925.12      | 0.00%             | 2031-12-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-1                               | RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25            | CUSIP: 76716XAA0<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |    231685 | PA      | $235175.75    | 0.12%             | 2024-07-06      | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST              | AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3               | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    144430 | PA      | $125459.23    | 0.06%             | 2030-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST              | AMER AIRLINE 17 2 AA PTT PASS THRU CE 04/31 3.35            | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    907740 | PA      | $785816.90    | 0.40%             | 2031-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                   | SANDS CHINA LTD SR UNSECURED 01/26 4.3                      | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    400000 | PA      | $369660.38    | 0.19%             | 2026-01-08      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                   | SANDS CHINA LTD SR UNSECURED 03/27 2.8                      | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    400000 | PA      | $343116.00    | 0.17%             | 2027-03-08      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                   | SANDS CHINA LTD SR UNSECURED 03/29 3.35                     | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    400000 | PA      | $327324.83    | 0.17%             | 2029-03-08      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                   | SANDS CHINA LTD SR UNSECURED 08/25 5.625                    | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $191478.42    | 0.10%             | 2025-08-08      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                   | SANDS CHINA LTD SR UNSECURED 08/28 5.9                      | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |   2998000 | PA      | $2811113.67   | 1.42%             | 2028-08-08      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERT 2005-20B                           | SMALL BUSINESS ADMINISTRATION SBAP 2005 20B 1               | CUSIP: 83162CPH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19363 | PA      | $18949.50     | 0.01%             | 2025-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20G                          | SMALL BUSINESS ADMINISTRATION SBAP 2007 20G 1               | CUSIP: 83162CRD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7776 | PA      | $7724.69      | 0.00%             | 2027-07-01      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20K                          | SMALL BUSINESS ADMINISTRATION SBAP 2007 20K 1               | CUSIP: 83162CRK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73074 | PA      | $72440.24     | 0.04%             | 2027-11-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTIFICATES 2007-20H | SMALL BUSINESS ADMINISTRATION SBAP 2007 20H 1               | CUSIP: 83162CRE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4847 | PA      | $4811.34      | 0.00%             | 2027-08-01      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-A                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A            | CUSIP: 78448P100<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4500 | PA      | $1456952.45   | 0.74%             | 2048-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A            | CUSIP: 83206NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       441 | PA      | $658699.61    | 0.33%             | 2055-02-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOFTBANK VISION FUND II                                           | SOFTBANK VISION FUND II FIXED TERM LOAN                     | CUSIP: 944YFGII6<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |   1779748 | PA      | $1712089.02   | 0.86%             | 2025-12-21      | Variable      | 5.00%                 | No            |                  3 | On Loan: No      |
| STEENBOK LUX FINCO 1 SARL                                         | STEENBOK LUX FINCO 2 SARL EUR PIK TERM LOAN A1              | CUSIP: 943ZWJII9<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   4640306 | PA      | $2222827.97   | 1.12%             | 2023-06-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                         | STEENBOK LUX FINCO 2 SARL EUR 2ND LIEN FIXED RATE TL A2     | CUSIP: 935YNTII0<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   5007544 | PA      | $3448483.13   | 1.74%             | 2023-06-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2002-C                                | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 C M2               | CUSIP: 03072SDG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39319 | PA      | $1138.58      | 0.00%             | 2032-11-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF3                                | STRUCTURED ASSET SECURITIES CO SASC 2006 RF3 1A4 144A       | CUSIP: 863592AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2193943 | PA      | $1278543.68   | 0.65%             | 2036-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| STUBHUB (PUG LLC)                                                 | PUG LLC USD TERM LOAN                                       | CUSIP: 74530DAC9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     15520 | PA      | $12920.40     | 0.01%             | 2027-02-12      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY FINANCE LIMITED                                       | STUDIO CITY FINANCE LTD COMPANY GUAR 144A 01/29 5           | CUSIP: 86389QAG7<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |    400000 | PA      | $295898.00    | 0.15%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                            | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                      | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |   3704008 | PA      | $3250267.13   | 1.64%             | 2027-05-13      | Floating      | 11.58%                | No            |                  2 | On Loan: No      |
| TEAM HEALTH HOLDINGS INC                                          | TEAM HEALTH INC DEL TERM LOAN B                             | CUSIP: 87817JAE8<br>LEI: 549300PVTQ4UDTTMQT11 | Long             | LON              | CORP              | US        |   1657129 | PA      | $1425131.07   | 0.72%             | 2024-02-06      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                        | ENVISION HEALTHCARE CORP 2022 2ND LIEN TERM LOAN            | CUSIP: 943TEZII7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   6723677 | PA      | $5502186.53   | 2.78%             | 2028-04-28      | Fixed         | 15.74%                | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                        | ENVISION HEALTHCARE CORPORTION 2022 DELAYED DRAW TERM LOAN  | CUSIP: 945BFLII4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    523077 | PA      | $511964.15    | 0.26%             | 2027-04-29      | Floating      | 10.47%                | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                        | ENVISION HEALTHCARE CORPORTION 2022 TERM LOAN               | CUSIP: 945BFKII6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2876923 | PA      | $2815802.85   | 1.42%             | 2027-04-29      | Floating      | 12.12%                | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                              | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0    | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  25300000 | PA      | $1883855.71   | 0.95%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                             | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875           | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    757655 | PA      | $674267.49    | 0.34%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                             | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75            | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1947802 | PA      | $1851463.71   | 0.94%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CAPITAL FARM CREDIT ACA                                           | CAPITAL FARM CREDIT ACA JR SUBORDINA 144A 12/99 VAR         | CUSIP: 14019TAA4<br>LEI: 254900S6K5I3OISPS518 | Long             | EP               | CORP              | US        |   1300000 | NS      | $1128010.00   | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F020414<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -300000 | PA      | $-266862.55   | -0.13%            | 2038-01-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1950000 | PA      | $-1587161.57  | -0.80%            | 2053-01-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -600000 | PA      | $-508189.84   | -0.26%            | 2053-01-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2400000 | PA      | $2108686.22   | 1.06%             | 2052-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F032617<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -500000 | PA      | $-454307.61   | -0.23%            | 2049-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  36300000 | PA      | $33004002.11  | 16.67%            | 2053-02-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -100000 | PA      | $-93797.24    | -0.05%            | 2053-01-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2300000 | PA      | $2158414.76   | 1.09%             | 2053-03-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1800000 | PA      | $1732834.76   | 0.88%             | 2053-02-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6600000 | PA      | $6693780.59   | 3.38%             | 2053-02-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                     | UNICREDIT SPA SR UNSECURED 144A 12/23 7.83                  | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   2240000 | PA      | $2263707.67   | 1.14%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                | UNITED AIR 2019 1 AA PTT PASS THRU CE 02/33 4.15            | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     77321 | PA      | $68608.70     | 0.03%             | 2033-02-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 01/23 0.00000                                 | CUSIP: 912796X95<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2412000 | PA      | $2411513.58   | 1.22%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 01/23 0.00000                                 | CUSIP: 912796ZM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     18000 | PA      | $17944.91     | 0.01%             | 2023-01-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 03/23 0.00000                                 | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    378000 | PA      | $374485.93    | 0.19%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 03/23 0.00000                                 | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    611000 | PA      | $606832.23    | 0.31%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC       | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6           | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2738000 | PA      | $1736108.85   | 0.88%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC       | UNITI GRP/UNITI HLD/CSL SR SECURED 144A 02/25 7.875         | CUSIP: 91327AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    754000 | PA      | $731472.74    | 0.37%             | 2025-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| US AIRWAYS 2013-1 CLASS A PASS THROUGH TRUST                      | US AIRWAYS 2013 1A PTT PASS THRU CE 05/27 3.95              | CUSIP: 90346WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     88766 | PA      | $80754.78     | 0.04%             | 2027-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                 | US RENAL CARE INC SR UNSECURED 144A 07/27 10.625            | CUSIP: 07335BAA4<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |   4154000 | PA      | $913880.00    | 0.46%             | 2027-07-15      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| VALARIS LIMITED                                                   | VALARIS LTD SR SECURED 04/28 8.25                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      9000 | PA      | $9064.13      | 0.00%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VALARIS LIMITED                                                   | VALARIS LTD SR SECURED 144A 04/28 8.25                      | CUSIP: 91889FAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1960000 | PA      | $1973965.90   | 1.00%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VALE SA                                                           | VALE SA SUBORDINATED 12/49 VAR                              | CUSIP: B011X9II2<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        |  50000000 | PA      | $3610492.92   | 1.82%             | 2049-12-29      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 1996-2                                      | VENDEE MORTGAGE TRUST VENDE 1996 2 1Z                       | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16969 | PA      | $17278.33     | 0.01%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 1998-3                                      | VENDEE MORTGAGE TRUST VENDE 1998 3 E                        | CUSIP: 911760LY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43444 | PA      | $42484.03     | 0.02%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 2000-3                                      | VENDEE MORTGAGE TRUST VENDE 2000 3 2Z                       | CUSIP: 911760PM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    866656 | PA      | $909859.33    | 0.46%             | 2030-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST-1996-1                                      | VENDEE MORTGAGE TRUST VENDE 1996 1 1Z                       | CUSIP: 92260MAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8332 | PA      | $8500.85      | 0.00%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                   | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25               | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |    171000 | PA      | $16245.00     | 0.01%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                   | REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/24 8.25          | CUSIP: P97475AP5<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     13000 | PA      | $1137.50      | 0.00%             | 2024-10-13      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                             | VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/27 5.75         | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1952121.80   | 0.99%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                             | VICI PROPERTIES / NOTE COMPANY GUAR 144A 09/26 4.5          | CUSIP: 92564RAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $329863.61    | 0.17%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                                | VIKING CRUISES LTD SR SECURED 144A 05/25 13                 | CUSIP: 92676XAE7<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    100000 | PA      | $105663.69    | 0.05%             | 2025-05-15      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR5                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR5 A6             | CUSIP: 92922FM21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54004 | PA      | $52540.89     | 0.03%             | 2035-05-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-MS9                           | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS9 2A            | CUSIP: 939336N66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116334 | PA      | $114711.49    | 0.06%             | 2033-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2004-RA1                           | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2004 RA1 2A            | CUSIP: 939336P80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31734 | PA      | $30607.90     | 0.02%             | 2034-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                    | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL C 144A         | CUSIP: 95003WAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2558000 | PA      | $2213443.03   | 1.12%             | 2039-12-15      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| CBL & ASSOCIATES PROPERTIES INC                                   | CBL + ASSOCIATES PROPERTIES REIT USD.01                     | CUSIP: 124830878<br>LEI: 529900EIVFBRS4PUBZ13 | Long             | EC               | CORP              | US        |      2011 | NS      | $46413.88     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| WESCO AIRCRAFT HOLDINGS INC                                       | WESCO AIRCRAFT HOLDINGS SR SECURED 144A 11/26 10.5          | CUSIP: 950814AA1<br>LEI: 529900P5VTXZS191P208 | Long             | DBT              | CORP              | US        |  10800120 | PA      | $9963110.70   | 5.03%             | 2026-11-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                  | WESTMORELAND COAL CO PIK TERM LOAN                          | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      6596 | PA      | $5128.63      | 0.00%             | 2029-03-15      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES II LLC                                        | WINDSTREAM SERVICES LLC 2020 EXIT TERM LOAN B               | CUSIP: 97381JAE3<br>LEI: 549300KT9GVEBYCD2N29 | Long             | LON              | CORP              | US        |     16570 | PA      | $15070.76     | 0.01%             | 2027-09-21      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| N/A                                                               | FIXED INC CLEARING CORP.REPO                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    221000 | PA      | $221000.00    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -699393 | PA      | $-705205.91   | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -200140 | PA      | $-201723.64   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5243858 | PA      | $-5314932.67  | -2.68%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8485789 | PA      | $-8550323.39  | -4.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3034850 | PA      | $-3046379.06  | -1.54%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -344611 | PA      | $-348470.93   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1094802 | PA      | $-1103463.51  | -0.56%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6819746 | PA      | $-6905201.21  | -3.49%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6839867 | PA      | $-6861899.16  | -3.47%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3992166 | PA      | $-4006467.29  | -2.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                    | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                       | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    514866 | PA      | $120349.93    | 0.06%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -1261292 | PA      | $-1355696.11  | -0.68%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1779075 | PA      | $-1793223.29  | -0.91%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -186432 | PA      | $-186874.77   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1728033 | PA      | $-1732137.07  | -0.87%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1773560 | PA      | $-1773560.24  | -0.90%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -767484 | PA      | $-822153.82   | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -1895917 | PA      | $-2034233.92  | -1.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | MERRILL LYNCH REVERSE REPO EUR ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -348106 | PA      | $-374035.49   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -4365207 | PA      | $-4683734.59  | -2.37%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1432200 | PA      | $-1452104.40  | -0.73%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                    | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                       | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    904000 | PA      | $211310.00    | 0.11%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | NOMURA REPO                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   1300000 | PA      | $1300000.00   | 0.66%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | PARIBAS REPO                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  19800000 | PA      | $19800000.00  | 10.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REV REPO  CANADIAN IMPERIAL BA                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -2325617 | PA      | $-2832585.39  | -1.43%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3166724 | PA      | $-3189991.60  | -1.61%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6118722 | PA      | $-6166827.43  | -3.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -259512 | PA      | $-261849.64   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1560258 | PA      | $-1573910.00  | -0.79%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1288250 | PA      | $-1303072.03  | -0.66%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1058637 | PA      | $-1067243.14  | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1462232 | PA      | $-1477497.84  | -0.75%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -266916 | PA      | $-268784.41   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1629003 | PA      | $-1647406.11  | -0.83%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -406632 | PA      | $-407547.13   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -213794 | PA      | $-214282.67   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO STANDARD CHARTERE VAR 1                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4325500 | PA      | $-4373397.71  | -2.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5377803 | PA      | $-5420914.62  | -2.74%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1435403 | PA      | $-1446850.58  | -0.73%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO TORONTO DOMINIO                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1656163 | PA      | $-1659864.53  | -0.84%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO TORONTO DOMINIO                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2441366 | PA      | $-2446839.36  | -1.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -247913 | PA      | $-251472.80   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5944845 | PA      | $-6031401.73  | -3.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -287637 | PA      | $-290813.57   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1694846 | PA      | $-1707059.81  | -0.86%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                    | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR                | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   4388387 | PA      | $1397218.54   | 0.71%             | 2038-01-09      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -390906 | PA      | $-392502.60   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -606389 | PA      | $-612033.81   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -372409 | PA      | $-375763.16   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                    | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                  | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    269214 | PA      | $72014.75     | 0.04%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -438917 | PA      | $-444693.64   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -388743 | PA      | $-391567.82   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1363227 | PA      | $-1373199.01  | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -890532 | PA      | $-901597.34   | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO BANK OF MONTREAL REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1427802 | PA      | $-1446363.59  | -0.73%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO WOOD GUNDY REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1693789 | PA      | $-1710862.48  | -0.86%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO WOOD GUNDY REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2891633 | PA      | $-2899156.18  | -1.46%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO WOOD GUNDY REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1329215 | PA      | $-1333060.85  | -0.67%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO WOOD GUNDY REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -851912 | PA      | $-860402.67   | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1684858 | PA      | $-1703937.06  | -0.86%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2696723 | PA      | $-2730771.29  | -1.38%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -230683 | PA      | $-232977.23   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1467588 | PA      | $-1482373.12  | -0.75%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                    | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR                | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   1880235 | PA      | $539157.39    | 0.27%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-3430.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-779.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20230113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $3712.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                    | REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR                | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    114993 | PA      | $29703.27     | 0.02%             | 2046-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-20753.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-13463.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-103.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20230206                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-5220.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $1226.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20230315                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-4995.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-18338.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-10953.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-626.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1147.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1367.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20230104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-5045.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP/THE                                           | CHARLES SCHWAB CORP JR SUBORDINA 12/99 VAR                  | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | EP               | CORP              | US        |    100000 | NS      | $79708.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $1011.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20230125                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $6009.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20230427                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $6239.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20230202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-22065.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-11457.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-2429.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20230125                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-2026.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-1609.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20230515                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-5942.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EQUINIX INC SNR S* SP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $68978.41     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20230404                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $8076.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20230510                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $18064.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20230104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-7910.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20230420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-467.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20230120                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-275.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20230512                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $475.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $832.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $1769.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-390375.61   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-2642.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-3064.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-1415.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INTELSAT JACKSON HOLDINGS S A EXP 05DEC25                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |     10308 | NC      | $77310.00     | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                               | INTELSAT JACKSON HOLDINGS S A RIGHTS                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |     10583 | NC      | $71435.25     | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                               | INTELSAT EMERGENCE SA CALL EXP 17FEB27                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |       148 | NC      | $296.01       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                               | INTELSAT EMERGENCE SA CALL EXP17FEB27                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |       563 | NC      | $1970.47      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                               | CDX ITRAXX EXJP IG38 5Y ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-56745.36    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-5973.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ROLLS-ROYCE PLC SNR SE ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-19796.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20230315                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $7.52         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20230420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-5536.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3 MONTH SOFR FUT  DEC23 XCME 20240319                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -10 | NC      | $46828.97     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3 MONTH SOFR FUT  DEC24 XCME 20250318                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -4 | NC      | $11646.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3 MONTH SOFR FUT  DEC25 XCME 20260317                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -5 | NC      | $13337.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3 MONTH SOFR FUT  JUN24 XCME 20240917                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -6 | NC      | $21023.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3 MONTH SOFR FUT  JUN25 XCME 20250916                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -4 | NC      | $11015.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3 MONTH SOFR FUT  MAR24 XCME 20240618                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -7 | NC      | $28692.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3 MONTH SOFR FUT  MAR25 XCME 20250617                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -4 | NC      | $11283.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3 MONTH SOFR FUT  MAR26 XCME 20260616                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -4 | NC      | $10745.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3 MONTH SOFR FUT  SEP24 XCME 20241217                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -6 | NC      | $18581.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3 MONTH SOFR FUT  SEP25 XCME 20251216                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -4 | NC      | $10752.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $1818.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Strategic Income Fund, Inc.

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer