# EDGAR Filing Document

**Accession Number:** 0000809559
**File Stem:** 0001410368-26-019026
**Filing Date:** 2026-2
**Character Count:** 305950
**Document Hash:** 96d2d9546c46bd14a16f32cfad4e7ad2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-019026.hdr.sgml**: 20260226

**ACCESSION NUMBER**: 0001410368-26-019026

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260226

**DATE AS OF CHANGE**: 20260226

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TCW STRATEGIC INCOME FUND INC
- **CENTRAL INDEX KEY:** 0000809559

**ORGANIZATION NAME:**
- **EIN:** 930939398
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04980
- **FILM NUMBER:** 26685778

**BUSINESS ADDRESS:**
- **STREET 1:** 515 SOUTH FLOWER ST
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90071
- **BUSINESS PHONE:** 2132440000

**MAIL ADDRESS:**
- **STREET 1:** 515 SOUTH FLOWER ST
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90071

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TCW CONVERTIBLE SECURITIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** TCW STRATEGIC INCOME FUND INC

- **b. Investment Company Act file number:** 811-04980

- **c. CIK number of Registrant:** 0000809559

- **d. LEI of Registrant:** 54930062BZFVP7F6WJ47

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

  - **Street Address 1:** 515 South Flower Street

  - **City:** LOS ANGELES

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90071

  - **Telephone number:** 213-244-0000

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

- **a. Name of Series:** TCW STRATEGIC INCOME FUND INC

- **c. LEI of Series:** 54930062BZFVP7F6WJ47

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**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:** $280395535.66

**Total Liabilities:** $36125694.49

**Net Assets:** $244269841.17

**Delayed Delivery Securities:** $597781.08

**Cash Not Reported:** $961958.38

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -227.52000000 | **1-Year:** -4020.79000000 | **5-Year:** -10235.17000000 | **10-Year:** -8859.06000000 | **30-Year:** -1234.27000000

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

- **3-Month:** -479.99000000 | **1-Year:** -7306.72000000 | **5-Year:** -14364.60000000 | **10-Year:** -11228.50000000 | **30-Year:** -4338.16000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 0.58%                | 0.58%                | 0.00%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $138455.36               | $-300812.20                                |
| Month 2  | $-675146.81              | $1202809.99                                |
| Month 3  | $-813143.09              | $-26614.42                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Asset Backed Funding Certificates                                       | ABFC 2007-NC1 Trust                                                             | CUSIP: 00076BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    591717 | PA      | $558187.36    | 0.23%             | 2037-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Aimco                                                                   | AIMCO CLO 24 Ltd                                                                | CUSIP: 00092QAE1<br>LEI: 254900THVAKUZYK59M09 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $476403.00    | 0.20%             | 2038-04-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| AGNC Investment Corp                                                    | AGNC Investment Corp                                                            | CUSIP: 00123Q104<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EC               |  | US        |    144641 | NS      | $1550551.52   | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| AMC NETWORKS INC                                                        | AMC Networks Inc                                                                | CUSIP: 00164VAG8<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |    183000 | PA      | $192157.32    | 0.08%             | 2029-01-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| AMSR Trust                                                              | AMSR 2021-SFR2 Trust                                                            | CUSIP: 00179VAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $740373.83    | 0.30%             | 2038-08-17      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                              | AMSR 2022-SFR1 Trust                                                            | CUSIP: 00179WAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $847439.46    | 0.35%             | 2039-03-17      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                              | AMSR 2021-SFR3 Trust                                                            | CUSIP: 00180UAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    620000 | PA      | $610932.19    | 0.25%             | 2038-10-17      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                              | AMSR 2025-SFR1 Trust                                                            | CUSIP: 00182MAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $647113.95    | 0.26%             | 2042-06-17      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                                                | American Airlines Inc/AAdvantage Loyalty IP Ltd                                 | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    150000 | PA      | $152830.50    | 0.06%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Academic Loan Funding Trust                                             | Academic Loan Funding Trust 2012-1                                              | CUSIP: 00400V206<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3368 | PA      | $267419.20    | 0.11%             | 2044-12-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                                    | ACE Securities Corp Home Equity Loan Trust Series 2004-IN1                      | CUSIP: 004421FD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260585 | PA      | $247611.51    | 0.10%             | 2034-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                                    | ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1                    | CUSIP: 00442JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1077748 | PA      | $442502.27    | 0.18%             | 2037-03-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / FIN INC                                                  | Acrisure LLC / Acrisure Finance Inc                                             | CUSIP: 00489LAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | PA      | $286517.00    | 0.12%             | 2030-11-06      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                          | Adjustable Rate Mortgage Trust 2005-4                                           | CUSIP: 007036KJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283646 | PA      | $242590.15    | 0.10%             | 2035-08-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| ADTALEM GLOBAL EDUCATION                                                | Adtalem Global Education Inc                                                    | CUSIP: 00737WAA7<br>LEI: 549300Z467EZLMODV621 | Long             | DBT              | CORP              | US        |    294000 | PA      | $294226.38    | 0.12%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    130000 | PA      | $129394.20    | 0.05%             | 2028-01-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                          | Air Lease Corp                                                                  | CUSIP: 00912XAY0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    120000 | PA      | $118713.60    | 0.05%             | 2027-12-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                | Ajax Mortgage Loan Trust 2019-F                                                 | CUSIP: 00969PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1264975.27   | 0.52%             | 2059-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                | Ajax Mortgage Loan Trust 2021-D                                                 | CUSIP: 009723AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    637040 | PA      | $637343.52    | 0.26%             | 2060-03-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY CORP                                                     | Alliant Energy Corp                                                             | CUSIP: 018802AF5<br>LEI: 5493009ML300G373MZ12 | Long             | DBT              | CORP              | US        |    505000 | PA      | $504429.35    | 0.21%             | 2056-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE                                                  | Alliant Energy Finance LLC                                                      | CUSIP: 01882YAD8<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    535000 | PA      | $498341.80    | 0.20%             | 2032-03-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO                                                 | Allied Universal Holdco LLC                                                     | CUSIP: 019576AD9<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |    125000 | PA      | $131891.25    | 0.05%             | 2031-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| ALLO Issuer, LLC                                                        | ALLO Issuer LLC                                                                 | CUSIP: 01983KAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $926441.30    | 0.38%             | 2053-06-20      | Fixed         | 12.18%                | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1800000 | PA      | $1456808.40   | 0.60%             | 2055-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3675000 | PA      | $3110237.03   | 1.27%             | 2055-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1425000 | PA      | $1260740.25   | 0.52%             | 2056-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    875000 | PA      | $809086.69    | 0.33%             | 2056-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3725000 | PA      | $3433308.29   | 1.41%             | 2056-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1233405.55   | 0.50%             | 2056-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1650000 | PA      | $1610819.10   | 0.66%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4625000 | PA      | $4613795.94   | 1.89%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                        | Altice France SA                                                                | CUSIP: 02090DAA6<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     52192 | PA      | $53726.44     | 0.02%             | 2029-11-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                        | Altice France SA                                                                | CUSIP: 02090DAD0<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     69979 | PA      | $67220.43     | 0.03%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                                                     | Altice Financing SA                                                             | CUSIP: 02154CAJ2<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    366000 | PA      | $282303.12    | 0.12%             | 2027-07-15      | Fixed         | 9.63%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                        | Altria Group Inc                                                                | CUSIP: 02209SBS1<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    195000 | PA      | $198328.65    | 0.08%             | 2028-02-04      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                                                | Amcor Flexibles North America Inc                                               | CUSIP: 02344AAF5<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    365000 | PA      | $370193.95    | 0.15%             | 2028-03-17      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                | American Assets Trust LP                                                        | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              |  | US        |    275000 | PA      | $250896.25    | 0.10%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                                 | American Electric Power Co Inc                                                  | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    755000 | PA      | $749858.45    | 0.31%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                     | American Express Co                                                             | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    145000 | PA      | $143119.35    | 0.06%             | 2026-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                     | American Express Co                                                             | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    150000 | PA      | $152730.00    | 0.06%             | 2033-07-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                     | American Tower Corp                                                             | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    495000 | PA      | $470269.80    | 0.19%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AMERICOLD REALTY OPER PA                                                | Americold Realty Operating Partnership LP                                       | CUSIP: 03063UAB7<br>LEI: 549300FKD9KVWNHSUU79 | Long             | DBT              |  | US        |    370000 | PA      | $372971.10    | 0.15%             | 2032-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PART/FIN CORP                                                  | AmeriGas Partners LP / AmeriGas Finance Corp                                    | CUSIP: 030981AM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    271000 | PA      | $280807.49    | 0.11%             | 2028-06-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PART/FIN CORP                                                  | AmeriGas Partners LP / AmeriGas Finance Corp                                    | CUSIP: 030981AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    195000 | PA      | $207860.25    | 0.09%             | 2030-06-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                               | Amgen Inc                                                                       | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58926.60     | 0.02%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                | Angel Oak Mortgage Trust 2024-11                                                | CUSIP: 03463QAD8<br>LEI: 2549009VFCBSE99NTJ29 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $763707.53    | 0.31%             | 2069-08-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Annaly Capital Management Inc                                           | Annaly Capital Management Inc                                                   | CUSIP: 035710839<br>LEI: 2DTL0G3FPRYUT58TI025 | Long             | EC               |  | US        |     41441 | NS      | $926620.76    | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| ELEVANCE HEALTH INC                                                     | Elevance Health Inc                                                             | CUSIP: 036752BK8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    425000 | PA      | $422947.25    | 0.17%             | 2036-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                                              | Apidos CLO XXXVII                                                               | CUSIP: 03769HAC1<br>LEI: 549300OGB01ASKLNI660 | Long             | ABS-CBDO         | CORP              | KY        |    725000 | PA      | $725624.95    | 0.30%             | 2034-10-22      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS LP/FIN                                                | Archrock Partners LP / Archrock Partners Finance Corp                           | CUSIP: 03959KAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $257962.50    | 0.11%             | 2032-09-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ARDAGH GROUP SA                                                         | Ardagh Group SA                                                                 | CUSIP: 03969UAA4<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |     85000 | PA      | $78000.25     | 0.03%             | 2030-12-01      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| ARDAGH GROUP SA                                                         | Ardagh Group SA                                                                 | CUSIP: 039959AA9<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |    205000 | PA      | $222349.15    | 0.09%             | 2030-12-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst                        | Asset Backed Securities Corp Home Equity Loan Trust Series RFC 2007-HE1         | CUSIP: 04544RAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163165 | PA      | $159852.90    | 0.07%             | 2036-12-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                   | Athene Global Funding                                                           | CUSIP: 04685A2Z3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    240000 | PA      | $237009.60    | 0.10%             | 2026-06-29      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                   | Athene Global Funding                                                           | CUSIP: 04685A3L3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    135000 | PA      | $132943.95    | 0.05%             | 2027-03-08      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                | Avis Budget Rental Car Funding AESOP LLC 2021                                   | CUSIP: 05377REU4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $246496.38    | 0.10%             | 2028-02-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    179000 | PA      | $173724.87    | 0.07%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO LTD.                                                        | BBAM US CLO VI Ltd                                                              | CUSIP: 05556VAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $279536.60    | 0.11%             | 2039-01-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| bmo sba coof trust                                                      | BMO SBA COOF Trust 2019-1                                                       | CUSIP: 05588XAA4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   2856491 | PA      | $81206.18     | 0.03%             | 2045-10-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| BCRED BSL CLO 2021-1, LTD                                               | BCRED CLO 2023-1 LLC                                                            | CUSIP: 055978AA8<br>LEI: 2549001W2Y6F50VEZG93 | Long             | ABS-CBDO         | CORP              | US        |    850000 | PA      | $852260.15    | 0.35%             | 2036-01-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                               | BXP Trust 2017-GM                                                               | CUSIP: 056083AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575000 | PA      | $557570.08    | 0.23%             | 2039-06-13      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| BXHPP Trust                                                             | BXHPP Trust 2021-FILM                                                           | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430000 | PA      | $403551.69    | 0.17%             | 2036-08-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| BXHPP Trust                                                             | BXHPP Trust 2021-FILM                                                           | CUSIP: 05609JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515000 | PA      | $477985.46    | 0.20%             | 2036-08-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                                        | Bain Capital Credit CLO 2020-4 Ltd                                              | CUSIP: 05684HAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $249561.25    | 0.10%             | 2036-10-20      | Floating      | 10.64%                | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                     | Banc of America Funding 2006-3 Trust                                            | CUSIP: 058931AW6<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |     75882 | PA      | $65000.00     | 0.03%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                     | Banc of America Funding 2006-3 Trust                                            | CUSIP: 058931BF2<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |     76836 | PA      | $70253.30     | 0.03%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                                  | Banc of America Alternative Loan Trust 2005-10                                  | CUSIP: 05948KQ85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214477 | PA      | $187875.25    | 0.08%             | 2035-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| BANIJAY ENTERTAINMENT                                                   | Banijay Entertainment SAS                                                       | CUSIP: 060335AB2<br>LEI: 969500CE0IE2EZ5VBG13 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $207752.00    | 0.09%             | 2029-05-01      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 060505GB4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    140000 | PA      | $138787.60    | 0.06%             | 2027-01-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    395000 | PA      | $390465.40    | 0.16%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    290000 | PA      | $259465.90    | 0.11%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GJP5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     45000 | PA      | $41360.85     | 0.02%             | 2032-03-11      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    460000 | PA      | $457792.00    | 0.19%             | 2027-03-11      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    145000 | PA      | $129699.60    | 0.05%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    120000 | PA      | $118090.80    | 0.05%             | 2028-02-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                 | Bayer US Finance II LLC                                                         | CUSIP: 07274NAN3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    515000 | PA      | $472291.05    | 0.19%             | 2038-06-25      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BCPE FLAVOR DEBT/ISSUER                                                 | BCPE Flavor Debt Merger Sub LLC and BCPE Flavor Issuer Inc                      | CUSIP: 072933AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $182206.20    | 0.07%             | 2032-07-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                             | Bear Stearns ARM Trust 2003-7                                                   | CUSIP: 07384MYZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132169 | PA      | $120531.84    | 0.05%             | 2033-10-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                                | Bear Stearns ALT-A Trust 2005-3                                                 | CUSIP: 07386HSN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130938 | PA      | $127787.15    | 0.05%             | 2035-04-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                              | Bear Stearns Asset Backed Securities I Trust 2005-AC6                           | CUSIP: 073879L55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215595 | PA      | $206556.00    | 0.08%             | 2035-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                             | Bear Stearns ARM Trust 2005-9                                                   | CUSIP: 07387AEG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71373 | PA      | $69180.62     | 0.03%             | 2035-10-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                              | Bear Stearns Asset Backed Securities I Trust 2006-IM1                           | CUSIP: 07387UFD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98657 | PA      | $107286.81    | 0.04%             | 2036-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                             | Bear Stearns ARM Trust 2007-4                                                   | CUSIP: 07401CAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470993 | PA      | $422621.34    | 0.17%             | 2047-06-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                     | Bear Stearns Mortgage Funding Trust 2007-AR3                                    | CUSIP: 07401VAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21597186 | PA      | $450840.17    | 0.18%             | 2037-03-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Bear Mountain Park CLO, Ltd                                             | Bear Mountain Park CLO Ltd                                                      | CUSIP: 07403CAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    625000 | PA      | $626611.25    | 0.26%             | 2037-07-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| BECLE SA DE CV                                                          | Becle SAB de CV                                                                 | CUSIP: 07586PAA9<br>LEI: 529900JY55CZKMJLCE09 | Long             | DBT              | CORP              | MX        |    395000 | PA      | $343488.05    | 0.14%             | 2031-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2020-IG3 Mortgage Trust                                               | CUSIP: 08162QBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    555000 | PA      | $524529.89    | 0.21%             | 2048-09-15      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                | Benchmark 2019-B14 Mortgage Trust                                               | CUSIP: 08162YBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    535000 | PA      | $4012.50      | 0.00%             | 2062-12-15      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                        | Berry Global Inc                                                                | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    149000 | PA      | $145289.90    | 0.06%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                        | Berry Global Inc                                                                | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    323000 | PA      | $322680.23    | 0.13%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                        | Berry Global Inc                                                                | CUSIP: 08576PAL5<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     95000 | PA      | $97959.25     | 0.04%             | 2028-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                        | Berry Global Inc                                                                | CUSIP: 08576PAQ4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31310.10     | 0.01%             | 2034-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                        | Berry Global Inc                                                                | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40015.20     | 0.02%             | 2026-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.                        | BCMSC Trust 2000-A                                                              | CUSIP: 09774XBQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3316690 | PA      | $217897.94    | 0.09%             | 2030-06-15      | Variable      | 8.29%                 | No            |                  2 | On Loan: No      |
| Brazil Government International Bonds                                   | Brazil Government International Bonds                                           | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    200000 | PA      | $202440.00    | 0.08%             | 2034-03-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                                            | British American Tobacco PLC                                                    | CUSIP: 110448107<br>LEI: 213800FKA5MF17RJKT63 | Long             | EC               | CORP              | GB        |     15706 | NS      | $889273.72    | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                                                | BX Commercial Mortgage Trust 2025-BCAT                                          | CUSIP: 12433HAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    718714 | PA      | $722320.28    | 0.30%             | 2042-08-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | Credit-Based Asset Servicing and Securitization LLC                             | CUSIP: 12489WGJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164257 | PA      | $161653.49    | 0.07%             | 2032-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                  | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $119097.60    | 0.05%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                  | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    215000 | PA      | $197780.65    | 0.08%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                  | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $53943.60     | 0.02%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS Mortgage Loan Trust 2007-CB2                                             | CUSIP: 1248MBAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    657069 | PA      | $379753.47    | 0.16%             | 2037-02-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS Mortgage Loan Trust 2007-CB2                                             | CUSIP: 1248MBAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    645578 | PA      | $373112.34    | 0.15%             | 2037-02-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | Credit-Based Asset Servicing and Securitization LLC                             | CUSIP: 12498NAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1619859 | PA      | $1317309.46   | 0.54%             | 2036-12-25      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Capital Automotive Reit                                                 | CARS-DB4 LP                                                                     | CUSIP: 12510HAH3<br>LEI: N/A                  | Long             | ABS-O            |  | US        |    700000 | PA      | $686124.67    | 0.28%             | 2050-02-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                          | CFMT 2024-NR1 LLC                                                               | CUSIP: 12531DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    769957 | PA      | $770987.97    | 0.32%             | 2029-11-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                                                    | CHNGE Mortgage Trust 2023-1                                                     | CUSIP: 12547QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $460145.91    | 0.19%             | 2058-03-25      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2019-R1                                                               | CUSIP: 12555VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    521057 | PA      | $495699.83    | 0.20%             | 2058-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-R3                                                               | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    533123 | PA      | $499049.08    | 0.20%             | 2057-06-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2022-II Ltd                                                        | CUSIP: 12567VAC5<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |    685000 | PA      | $445866.50    | 0.18%             | 2035-04-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM TRUST 2025-R1                                                               | CUSIP: 12575LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    683458 | PA      | $681795.52    | 0.28%             | 2099-02-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                     | COMM 2013-CCRE12 Mortgage Trust                                                 | CUSIP: 12591KAF2<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |    658857 | PA      | $6.59         | 0.00%             | 2046-10-10      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-R5                                                               | CUSIP: 12592SAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1096000 | PA      | $755764.99    | 0.31%             | 2061-08-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF Securitization Trust II                                            | COOF Securitization Trust II Series 2015-2                                      | CUSIP: 12593RAA6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1324484 | PA      | $78255.29     | 0.03%             | 2041-08-25      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-R4                                                               | CUSIP: 12598HAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    527772 | PA      | $499292.44    | 0.20%             | 2061-05-01      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                     | COMM 2012-LC4 Mortgage Trust                                                    | CUSIP: 126192AJ2<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |   8248780 | PA      | $82.49        | 0.00%             | 2044-12-10      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                        | CSC Holdings LLC                                                                | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    418000 | PA      | $277518.56    | 0.11%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                        | CSC Holdings LLC                                                                | CUSIP: 126307BN6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    191000 | PA      | $142516.56    | 0.06%             | 2029-01-31      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                     | COMM 2016-787S Mortgage Trust                                                   | CUSIP: 12635WAJ6<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |    693000 | PA      | $679846.93    | 0.28%             | 2036-02-10      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust                                        | COOPR Residential Mortgage Trust 2025-CES4                                      | CUSIP: 12636SAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $420994.39    | 0.17%             | 2060-11-25      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                     | COMM 2020-CX Mortgage Trust                                                     | CUSIP: 12656KAL1<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $281360.73    | 0.12%             | 2046-11-10      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP/BIP-V CHIN                                                | CQP Holdco LP / BIP-V Chinook Holdco LLC                                        | CUSIP: 12657NAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $198142.00    | 0.08%             | 2031-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47291.50     | 0.02%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    375000 | PA      | $392088.75    | 0.16%             | 2054-12-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                      | Alternative Loan Trust 2005-46CB                                                | CUSIP: 12668ABD6<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    443176 | PA      | $304803.99    | 0.12%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                      | Alternative Loan Trust 2006-8T1                                                 | CUSIP: 12668BMF7<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |   4674003 | PA      | $546694.78    | 0.22%             | 2036-04-25      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2006-HYB2                                       | CUSIP: 126694C63<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    491057 | PA      | $372847.98    | 0.15%             | 2036-04-20      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                   | CWABS Asset-Backed Certificates Trust 2007-13                                   | CUSIP: 126698AC3<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |    334914 | PA      | $309097.69    | 0.13%             | 2047-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2004-HYB4                                       | CUSIP: 12669FW25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56774 | PA      | $17216.86     | 0.01%             | 2034-09-20      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2006-14                                         | CUSIP: 12670AAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5378214 | PA      | $23576.48     | 0.01%             | 2036-09-25      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                                                   | Caesars Entertainment Inc                                                       | CUSIP: 12769GAC4<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    125000 | PA      | $128161.25    | 0.05%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                          | Carrington Mortgage Loan Trust Series 2007-RFC1                                 | CUSIP: 144526AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    586509 | PA      | $579317.59    | 0.24%             | 2036-12-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                          | Carrington Mortgage Loan Trust Series 2006-NC4                                  | CUSIP: 14453MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1104367.75   | 0.45%             | 2036-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                          | Carvana Auto Receivables Trust 2022-N1                                          | CUSIP: 14686GAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4700 | PA      | $204806.98    | 0.08%             | 2028-12-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                          | Carvana Auto Receivables Trust 2022-P3                                          | CUSIP: 14686MAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2900 | PA      | $235424.04    | 0.10%             | 2029-09-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                          | Carvana Auto Receivables Trust 2023-P2                                          | CUSIP: 14686TAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2000 | PA      | $169669.18    | 0.07%             | 2030-06-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                          | Carvana Auto Receivables Trust 2021-N3                                          | CUSIP: 14687GAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2200 | PA      | $156322.26    | 0.06%             | 2028-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                          | Carvana Auto Receivables Trust 2023-P1                                          | CUSIP: 14688EAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4400 | PA      | $257452.78    | 0.11%             | 2030-03-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                            | Centene Corp                                                                    | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    248000 | PA      | $222079.04    | 0.09%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                                  | CenterPoint Energy Inc                                                          | CUSIP: 15189TBS5<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |    205000 | PA      | $206672.80    | 0.08%             | 2056-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CENTRAL GARDEN & PET CO                                                 | Central Garden & Pet Co                                                         | CUSIP: 153527AN6<br>LEI: 5493004DVZLD37DJ0H83 | Long             | DBT              | CORP              | US        |     24000 | PA      | $23047.20     | 0.01%             | 2030-10-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| CENTRAL GARDEN & PET CO                                                 | Central Garden & Pet Co                                                         | CUSIP: 153527AP1<br>LEI: 5493004DVZLD37DJ0H83 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94268.00     | 0.04%             | 2031-04-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    220000 | PA      | $189525.60    | 0.08%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    198000 | PA      | $125056.80    | 0.05%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $142065.00    | 0.06%             | 2032-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $179453.70    | 0.07%             | 2034-02-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    515000 | PA      | $461821.10    | 0.19%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967QJ3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    140000 | PA      | $142034.20    | 0.06%             | 2031-02-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust 2005-8                                            | CUSIP: 17307GE20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274813 | PA      | $218823.17    | 0.09%             | 2035-10-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust 2005-11                                           | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119012 | PA      | $121872.73    | 0.05%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                                     | CitiMortgage Alternative Loan Trust Series 2006-A3                              | CUSIP: 17309KAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    432027 | PA      | $382883.22    | 0.16%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS Mortgage Loan Trust 2007-CB3                                             | CUSIP: 17311YAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1049228 | PA      | $383110.76    | 0.16%             | 2037-03-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                     | Citigroup Commercial Mortgage Trust 2014-GC21                                   | CUSIP: 17322MAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4710600 | PA      | $124059.77    | 0.05%             | 2047-05-10      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                     | Citigroup Commercial Mortgage Trust 2015-GC35                                   | CUSIP: 17324KAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1484397 | PA      | $646.45       | 0.00%             | 2048-11-10      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| CLEARWATER PAPER CORP                                                   | Clearwater Paper Corp                                                           | CUSIP: 18538RAJ2<br>LEI: 549300HCVV19GXN4P292 | Long             | DBT              | CORP              | US        |    125000 | PA      | $117687.50    | 0.05%             | 2028-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                                                  | Cloud Software Group Inc                                                        | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |     95000 | PA      | $98993.80     | 0.04%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                                     | CitiMortgage Alternative Loan Trust Series 2006-A5                              | CUSIP: 18974BAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    403141 | PA      | $358753.17    | 0.15%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COGENT COMMS GRP / FIN                                                  | Cogent Communications Group LLC / Cogent Finance Inc                            | CUSIP: 19240WAB5<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |    135000 | PA      | $126531.45    | 0.05%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cologix Data Centers Issuer LLC                                         | Cologix Data Centers US Issuer LLC                                              | CUSIP: 19521UAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $591249.72    | 0.24%             | 2051-12-26      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                                 | Colombia Government International Bonds                                         | CUSIP: 195325EL5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    200000 | PA      | $213322.00    | 0.09%             | 2035-11-14      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                        | COLT 2025-7 Mortgage Loan Trust                                                 | CUSIP: 19689CAE1<br>LEI: 213800DOQUYA3TO33M98 | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $624968.31    | 0.26%             | 2070-06-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                 | HCA Inc                                                                         | CUSIP: 197677AJ6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    235000 | PA      | $246695.95    | 0.10%             | 2027-12-01      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754AAJ2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    650000 | PA      | $672470.50    | 0.28%             | 2041-12-25      | Floating      | 9.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754JAC8<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    533433 | PA      | $542393.56    | 0.22%             | 2039-09-25      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754KAJ0<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    650000 | PA      | $674260.02    | 0.28%             | 2041-11-25      | Floating      | 10.07%                | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754LAJ8<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $829578.72    | 0.34%             | 2041-12-25      | Floating      | 9.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754RAJ5<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    805000 | PA      | $831569.11    | 0.34%             | 2041-10-25      | Floating      | 9.87%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.                                   | Conseco Finance Securitizations Corp                                            | CUSIP: 20846QAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1171972 | PA      | $288122.94    | 0.12%             | 2030-06-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| Consolidated Communications LLC, Fidium Fiber Finance Holdco LLC        | Consolidated Communications LLC/Fidium Fiber Finance Holdco LLC                 | CUSIP: 209031AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245000 | PA      | $251010.71    | 0.10%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2325000 | PA      | $2194903.46   | 0.90%             | 2055-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1800000 | PA      | $1753694.10   | 0.72%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3275000 | PA      | $3266512.84   | 1.34%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1225000 | PA      | $1236919.25   | 0.51%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                          | Credit Suisse First Boston Mortgage Securities Corp                             | CUSIP: 225470RS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    948046 | PA      | $201860.13    | 0.08%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                    | Cross 2024-H7 Mortgage Trust                                                    | CUSIP: 22757CAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    570000 | PA      | $573764.79    | 0.23%             | 2069-11-25      | Variable      | 7.59%                 | No            |                  2 | On Loan: No      |
| CRSNT Trust                                                             | CRSNT Trust 2021-MOON                                                           | CUSIP: 22877LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $611964.49    | 0.25%             | 2036-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                                | DSLA Mortgage Loan Trust 2006-AR2                                               | CUSIP: 23332QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    293417 | PA      | $199452.71    | 0.08%             | 2036-10-19      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                                 | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAL0<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    370000 | PA      | $375435.30    | 0.15%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR6                   | CUSIP: 25150RAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225296 | PA      | $198571.77    | 0.08%             | 2037-02-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-B SECURITIES INC MORTGAGE L                                | Deutsche Alt-B Securities Inc Mortgage Loan Trust Series 2006-AB2               | CUSIP: 251511AB7<br>LEI: 5299003GGM6YEXXXJ012 | Long             | ABS-MBS          | CORP              | US        |    693903 | PA      | $643767.00    | 0.26%             | 2036-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                       | DISH Network Corp                                                               | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    150000 | PA      | $156192.00    | 0.06%             | 2027-11-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                     | Dominion Energy Inc                                                             | CUSIP: 25746UDZ9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    600000 | PA      | $604494.00    | 0.25%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $176.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $4705.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $8158.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of New York Mellon                                                 | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              |  | US        |         1 | NC      | $-14165.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $120.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |         1 | NC      | $8223.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-952.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-914.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-1499.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-6100.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-3451.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-4171.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-180.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |         1 | NC      | $2691.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-770.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                      | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-892.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |         1 | NC      | $-99.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |         1 | NC      | $3435.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                      | EFMT 2025-NQM1                                                                  | CUSIP: 26846CAE6<br>LEI: 254900TJEVLCYF1H3X71 | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $704741.52    | 0.29%             | 2070-01-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                      | EFMT 2025-CES1                                                                  | CUSIP: 26846VAG9<br>LEI: 254900CMJGXNT3R7H775 | Long             | ABS-MBS          | CORP              | US        |    670000 | PA      | $681477.10    | 0.28%             | 2060-01-25      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                                                     | Eaton Vance CLO 2013-1 Ltd                                                      | CUSIP: 27830BCG7<br>LEI: 5493001O5CL3BBUIEH94 | Long             | ABS-CBDO         | CORP              | KY        |    475000 | PA      | $475957.13    | 0.19%             | 2038-10-15      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                                           | EchoStar Corp                                                                   | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |     80000 | PA      | $88452.00     | 0.04%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| EDGEWELL PERSONAL CARE                                                  | Edgewell Personal Care Co                                                       | CUSIP: 28035QAA0<br>LEI: 549300CY8QZDL4Z3RU59 | Long             | DBT              | CORP              | US        |    133000 | PA      | $133179.55    | 0.05%             | 2028-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VIII Ltd                                                    | Elmwood CLO VIII Ltd                                                            | CUSIP: 290021AL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $496022.00    | 0.20%             | 2037-04-20      | Floating      | 10.13%                | No            |                  2 | On Loan: No      |
| Elmwood CLO III Ltd                                                     | Elmwood CLO III Ltd                                                             | CUSIP: 29002JAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $436250.00    | 0.18%             | 2037-07-18      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 17 Ltd                                                      | Elmwood CLO 17 Ltd                                                              | CUSIP: 29003GAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    850000 | PA      | $522704.95    | 0.21%             | 2037-07-17      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| ENERGIZER HOLDINGS INC                                                  | Energizer Holdings Inc                                                          | CUSIP: 29272WAG4<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |    250000 | PA      | $240210.00    | 0.10%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                      | Energy Transfer LP                                                              | CUSIP: 29273V100<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | EC               | CORP              | US        |     70993 | NS      | $1170674.57   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                                                      | Energy Transfer LP                                                              | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    634000 | PA      | $632040.94    | 0.26%             | 2028-02-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP                                                            | Entergy Corp                                                                    | CUSIP: 29364GAR4<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    300000 | PA      | $300240.00    | 0.12%             | 2056-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Partners LP                                         | Enterprise Products Partners LP                                                 | CUSIP: 293792107<br>LEI: K4CDIF4M54DJZ6TB4Q48 | Long             | EC               | CORP              | US        |     21772 | NS      | $698010.32    | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                  | Extra Space Storage LP                                                          | CUSIP: 30225VAQ0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |     56000 | PA      | $49778.40     | 0.02%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                             | Extended Stay America Trust 2025-ESH                                            | CUSIP: 30227TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625000 | PA      | $630476.25    | 0.26%             | 2042-10-15      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| EZCORP INC                                                              | EZCORP Inc                                                                      | CUSIP: 302301AJ5<br>LEI: 5493003K6PG3ZQ7TUQ63 | Long             | DBT              | CORP              | US        |    225000 | PA      | $239613.75    | 0.10%             | 2032-04-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust 2006-FF13                                    | CUSIP: 30247DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    522673 | PA      | $346659.92    | 0.14%             | 2036-10-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                      | Meta Platforms Inc                                                              | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    995000 | PA      | $1003586.85   | 0.41%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                      | Meta Platforms Inc                                                              | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399900.00    | 0.16%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                      | Meta Platforms Inc                                                              | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    185000 | PA      | $177947.80    | 0.07%             | 2055-11-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                                   | FRTKL 2021-SFR1                                                                 | CUSIP: 30322DAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1015000 | PA      | $992520.19    | 0.41%             | 2038-09-17      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                                                | FHF Issuer Trust 2024-3                                                         | CUSIP: 30339EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    390977 | PA      | $390299.27    | 0.16%             | 2030-11-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAPITAL                                                | Farmers Exchange Capital                                                        | CUSIP: 309588AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $524885.00    | 0.21%             | 2028-07-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| FARMERS INS EXCH                                                        | Farmers Insurance Exchange                                                      | CUSIP: 309601AE2<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4252.75      | 0.00%             | 2057-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                        | Freddie Mac Strips                                                              | CUSIP: 31325YBW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3198927 | PA      | $431472.42    | 0.18%             | 2052-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQTB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1169859 | PA      | $1116046.78   | 0.46%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2376991 | PA      | $2113377.63   | 0.87%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2206278 | PA      | $1796253.74   | 0.74%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1352053 | PA      | $1201093.80   | 0.49%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1146031 | PA      | $1125652.66   | 0.46%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    909729 | PA      | $867741.17    | 0.36%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWEK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    531019 | PA      | $521342.20    | 0.21%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    550696 | PA      | $540489.07    | 0.22%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    498717 | PA      | $475466.90    | 0.19%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    484524 | PA      | $475392.66    | 0.19%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KPW79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    701435 | PA      | $668951.76    | 0.27%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136AT5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570269 | PA      | $10331.34     | 0.00%             | 2039-07-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B7HP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7900000 | PA      | $136699.23    | 0.06%             | 2029-03-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BTLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4681862 | PA      | $242907.37    | 0.10%             | 2054-07-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137APLC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364985 | PA      | $39593.91     | 0.02%             | 2042-04-15      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BLN38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144423 | PA      | $1.44         | 0.00%             | 2043-10-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BP7A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7587217 | PA      | $75.87        | 0.00%             | 2026-03-25      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BPCS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    668454 | PA      | $1010.24      | 0.00%             | 2029-03-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BTAF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2499972 | PA      | $38008.08     | 0.02%             | 2044-12-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FG7J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    564258 | PA      | $5.64         | 0.00%             | 2046-05-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMU91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3750000 | PA      | $27895.50     | 0.01%             | 2047-05-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6755465 | PA      | $59964.88     | 0.02%             | 2027-06-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certificates                                     | Freddie Mac Multifamily PC REMIC Trust 2019-P002                                | CUSIP: 3137FQKX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1295000 | PA      | $67763.01     | 0.03%             | 2033-07-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWGL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2713714 | PA      | $54699.39     | 0.02%             | 2027-05-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H7R88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1735434 | PA      | $116135.43    | 0.05%             | 2050-12-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HHAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1194400 | PA      | $78916.75     | 0.03%             | 2054-11-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HLK35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    334994 | PA      | $331109.58    | 0.14%             | 2055-06-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HLMB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    332673 | PA      | $325583.07    | 0.13%             | 2055-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HLPB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2221703 | PA      | $132151.31    | 0.05%             | 2055-06-25      | Floating      | 1.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HLT85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103313 | PA      | $101354.97    | 0.04%             | 2055-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HLVW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    340191 | PA      | $333757.21    | 0.14%             | 2055-06-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HMVM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1449163 | PA      | $144854.34    | 0.06%             | 2055-09-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138LF5C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1006375 | PA      | $875376.30    | 0.36%             | 2046-11-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 31396JM36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    800379 | PA      | $41984.53     | 0.02%             | 2036-03-15      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31396Q4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73578 | PA      | $7933.45      | 0.00%             | 2039-09-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31396VE20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    526517 | PA      | $41322.03     | 0.02%             | 2037-05-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31396VS66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25421 | PA      | $1874.73      | 0.00%             | 2037-05-25      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 31397CW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184187 | PA      | $18390.28     | 0.01%             | 2036-11-15      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 31397GWM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42196 | PA      | $1219.50      | 0.00%             | 2037-05-15      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 31397TTP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66135 | PA      | $6299.11      | 0.00%             | 2038-06-15      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MHSL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    727477 | PA      | $591821.78    | 0.24%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MNMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1267120 | PA      | $1078075.64   | 0.44%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307271 | PA      | $249973.22    | 0.10%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1790908 | PA      | $1758547.51   | 0.72%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289274 | PA      | $284002.20    | 0.12%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340444 | PA      | $324678.24    | 0.13%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    949157 | PA      | $932747.38    | 0.38%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EJ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1187923 | PA      | $1132726.62   | 0.46%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1698327 | PA      | $1666584.77   | 0.68%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1389141 | PA      | $1181891.66   | 0.48%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EJP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    796289 | PA      | $647801.67    | 0.27%             | 2052-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EMQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1166120 | PA      | $1111575.88   | 0.46%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418FF28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1588162 | PA      | $1552435.95   | 0.64%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                         | Fannie Mae Interest Strip                                                       | CUSIP: 31423XZ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3654791 | PA      | $487456.81    | 0.20%             | 2052-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                         | Fannie Mae Interest Strip                                                       | CUSIP: 31424UGV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3190394 | PA      | $420879.06    | 0.17%             | 2052-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                        | Freddie Mac Strips                                                              | CUSIP: 3142G6FR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1261323 | PA      | $177028.19    | 0.07%             | 2052-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FERRELLGAS LP/FERRELLGAS                                                | Ferrellgas LP / Ferrellgas Finance Corp                                         | CUSIP: 315289AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $125045.70    | 0.05%             | 2029-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FERRELLGAS LP/FERRELLGAS                                                | Ferrellgas LP / Ferrellgas Finance Corp                                         | CUSIP: 315292AU6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    352000 | PA      | $363088.00    | 0.15%             | 2031-01-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT                                                  | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc              | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $38041.20     | 0.02%             | 2030-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                                           | FirstCash Inc                                                                   | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |    280000 | PA      | $281453.20    | 0.12%             | 2030-01-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2005-AA10                   | CUSIP: 32051GA88<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |    111444 | PA      | $83278.20     | 0.03%             | 2035-12-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2021-SFR3 Trust                                          | FirstKey Homes 2021-SFR3 Trust                                                  | CUSIP: 33768JAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1173000 | PA      | $1149189.62   | 0.47%             | 2038-12-17      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                                          | FirstKey Homes 2022-SFR1 Trust                                                  | CUSIP: 33768NAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1098432.17   | 0.45%             | 2039-05-19      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                              | Fiserv Inc                                                                      | CUSIP: 337738BH0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     65000 | PA      | $67048.80     | 0.03%             | 2033-08-21      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                              | Fiserv Inc                                                                      | CUSIP: 337738BL1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    215000 | PA      | $218268.00    | 0.09%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                              | Fiserv Inc                                                                      | CUSIP: 337738BP2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    125000 | PA      | $124031.25    | 0.05%             | 2031-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                              | Fiserv Inc                                                                      | CUSIP: 337738BQ0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    215000 | PA      | $214802.20    | 0.09%             | 2035-08-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Flexential Issuer, LLC                                                  | Flexential Issuer 2021-1                                                        | CUSIP: 33938MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    118857 | PA      | $117172.46    | 0.05%             | 2051-11-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                   | Foundry JV Holdco LLC                                                           | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     70000 | PA      | $72324.70     | 0.03%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                     | Freddie Mac STACR REMIC Trust 2021-DNA7                                         | CUSIP: 35564KNE5<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | USGSE             | US        |    470000 | PA      | $494257.26    | 0.20%             | 2041-11-25      | Floating      | 11.67%                | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                                 | Fremont Home Loan Trust 2005-A                                                  | CUSIP: 35729PHP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1432275 | PA      | $1331269.35   | 0.54%             | 2035-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                                 | Frontier Communications Holdings LLC                                            | CUSIP: 35908MAE0<br>LEI: 549300ZCZ76HYCS0H445 | Long             | DBT              | CORP              | US        |    465000 | PA      | $490077.45    | 0.20%             | 2031-03-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| GCAT                                                                    | GCAT 2021-NQM6 Trust                                                            | CUSIP: 36167KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    821058 | PA      | $756100.88    | 0.31%             | 2066-08-25      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                        | GGAM Finance Ltd                                                                | CUSIP: 36170JAA4<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |    117000 | PA      | $124049.25    | 0.05%             | 2028-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                        | GGAM Finance Ltd                                                                | CUSIP: 36170JAC0<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |    115000 | PA      | $117830.15    | 0.05%             | 2027-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                                                    | GCAT 2025-NQM1 Trust                                                            | CUSIP: 36171GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $656975.28    | 0.27%             | 2069-11-25      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179X5H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    385817 | PA      | $392269.68    | 0.16%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    646097 | PA      | $616412.38    | 0.25%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179YRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2258764 | PA      | $2294587.89   | 0.94%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36180AB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1222835 | PA      | $1193090.87   | 0.49%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                 | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              |  | US        |    345000 | PA      | $354208.05    | 0.15%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                 | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              |  | US        |     55000 | PA      | $56026.30     | 0.02%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275017 | PA      | $268464.24    | 0.11%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                             | GSAMP Trust 2007-NC1                                                            | CUSIP: 3622MGAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2064670 | PA      | $1032193.59   | 0.42%             | 2046-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                 | GSR Mortgage Loan Trust 2005-AR3                                                | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109187 | PA      | $80721.58     | 0.03%             | 2035-05-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                  | GSAA Home Equity Trust 2006-13                                                  | CUSIP: 36244SAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1052161 | PA      | $288470.29    | 0.12%             | 2036-07-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| GSC Capital Corp Mortgage Trust                                         | GSC Capital Corp Mortgage Trust 2006-2                                          | CUSIP: 362480AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130901 | PA      | $128734.46    | 0.05%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                            | GS Mortgage Securities Trust 2016-GS2                                           | CUSIP: 36252TAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2730327 | PA      | $27.30        | 0.00%             | 2049-05-10      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| GCAT                                                                    | GCAT 2025-NQM4 Trust                                                            | CUSIP: 367923AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560000 | PA      | $567429.07    | 0.23%             | 2070-06-25      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                     | General Electric Co                                                             | CUSIP: 36962GX74<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1321754.00   | 0.54%             | 2036-08-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GETTY IMAGES INC                                                        | Getty Images Inc                                                                | CUSIP: 374276AR4<br>LEI: 5493005NV20IG4VEKZ40 | Long             | DBT              | CORP              | US        |    125000 | PA      | $126205.00    | 0.05%             | 2030-11-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                     | Global Payments Inc                                                             | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    375000 | PA      | $375888.75    | 0.15%             | 2028-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PART/GLP FINANCE                                                 | Global Partners LP / GLP Finance Corp                                           | CUSIP: 37954FAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | PA      | $278564.00    | 0.11%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GLOBAL PART/GLP FINANCE                                                 | Global Partners LP / GLP Finance Corp                                           | CUSIP: 37954FAL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    167000 | PA      | $170453.56    | 0.07%             | 2033-07-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Goal Capital Funding Trust                                              | Goal Capital Funding Trust 2006-1                                               | CUSIP: 38021BAG5<br>LEI: 5493009VZI2B6V83UU74 | Long             | ABS-O            | CORP              | US        |     77363 | PA      | $75312.42     | 0.03%             | 2042-08-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO1, LTD                                 | Goldentree Loan Management US Clo 8 Ltd                                         | CUSIP: 38136QAJ8<br>LEI: 549300LOEERRNVSKVY31 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $240964.75    | 0.10%             | 2034-10-20      | Floating      | 12.20%                | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO1, LTD                                 | Goldentree Loan Management US Clo 15 Ltd                                        | CUSIP: 38139CAL1<br>LEI: 549300JGUKVX0EDNOJ93 | Long             | ABS-CBDO         | CORP              | JE        |    375000 | PA      | $374072.25    | 0.15%             | 2038-10-20      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO1, LTD                                 | GoldenTree Loan Management US CLO 22 Ltd                                        | CUSIP: 38139HAC0<br>LEI: 254900AWFHWNFOUM2K51 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246957.00    | 0.10%             | 2037-10-20      | Floating      | 11.80%                | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1326739.50   | 0.54%             | 2027-09-10      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                                          | Golub Capital Partners Clo 42M-R                                                | CUSIP: 381742AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    600000 | PA      | $600030.00    | 0.25%             | 2036-01-20      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38374M7D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    583467 | PA      | $55640.11     | 0.02%             | 2036-07-20      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38374NU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    651964 | PA      | $13597.65     | 0.01%             | 2036-11-20      | Floating      | 0.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38375DLA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147751 | PA      | $2416.18      | 0.00%             | 2038-05-20      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38376G6L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    628482 | PA      | $18.29        | 0.00%             | 2051-08-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38376GXY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4497222 | PA      | $47252.31     | 0.02%             | 2050-09-16      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38378BV30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    737818 | PA      | $15436.41     | 0.01%             | 2053-02-16      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38378KGP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4735532 | PA      | $1904.63      | 0.00%             | 2055-02-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38378XDR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2002411 | PA      | $9791.39      | 0.00%             | 2055-05-16      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38378XLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    939394 | PA      | $24458.07     | 0.01%             | 2054-11-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38379EFX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3248719 | PA      | $272436.01    | 0.11%             | 2044-08-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380BP58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1055385 | PA      | $209217.21    | 0.09%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8971157 | PA      | $597730.24    | 0.24%             | 2060-11-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38384D6P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199164 | PA      | $178465.84    | 0.07%             | 2053-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38384YDR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3228982 | PA      | $192268.60    | 0.08%             | 2054-10-20      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38384YEE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2424228 | PA      | $189057.12    | 0.08%             | 2054-10-20      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance Plc                                        | Grace Trust 2020-GRCE                                                           | CUSIP: 38406JAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10620000 | PA      | $142593.68    | 0.06%             | 2040-12-10      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance Plc                                        | Grace Trust 2020-GRCE                                                           | CUSIP: 38406JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $616861.35    | 0.25%             | 2040-12-10      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance Plc                                        | Grace Trust 2020-GRCE                                                           | CUSIP: 38406JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    376000 | PA      | $299177.33    | 0.12%             | 2040-12-10      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Funding                                      | Gracie Point International Funding 2025-1 LLC                                   | CUSIP: 38411WAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    605000 | PA      | $606527.99    | 0.25%             | 2028-08-15      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| GRAND CANYON UNIVERSITY                                                 | Grand Canyon University                                                         | CUSIP: 38528UAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $249302.50    | 0.10%             | 2028-10-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                                                | Graphic Packaging International LLC                                             | CUSIP: 38869AAE7<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71315.30     | 0.03%             | 2032-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GREAT CAN GAMING/RAPTOR                                                 | Great Canadian Gaming Corp/Raptor LLC                                           | CUSIP: 389925AA6<br>LEI: 549300FU60SSFLTE0M84 | Long             | DBT              | CORP              | XX        |     63000 | PA      | $63745.29     | 0.03%             | 2029-11-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Greenpoint Manufactured Housing                                         | Greenpoint Manufactured Housing                                                 | CUSIP: 395383AN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    324501 | PA      | $176548.19    | 0.07%             | 2030-03-20      | Variable      | 8.14%                 | No            |                  2 | On Loan: No      |
| GRIFOLS SA                                                              | Grifols SA                                                                      | CUSIP: 39843UAA0<br>LEI: 959800HSSNXWRKBK4N60 | Long             | DBT              | CORP              | ES        |    259000 | PA      | $256011.14    | 0.10%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced Securuties Limited                         | HOMES 2024-AFC1 Trust                                                           | CUSIP: 403945AG3<br>LEI: 2549009KYOPIDSS2IL61 | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $380068.32    | 0.16%             | 2059-08-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| HOA ROYALTYCO LLC                                                       | HOA RoyaltyCo LLC                                                               | CUSIP: 403962AB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    566849 | PA      | $113373.20    | 0.05%             | 2055-11-22      | Fixed         | 4.72%                 | No            |                  3 | On Loan: No      |
| ESC GABS144A HOA FDG L                                                  | ESC GABS144A HOA FDG L                                                          | CUSIP: 403ESCAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    581626 | PA      | $0.06         | 0.00%             | 2051-08-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| HCA INC                                                                 | HCA Inc                                                                         | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103093.00    | 0.04%             | 2028-09-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                       | HSBC Holdings PLC                                                               | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     55000 | PA      | $50054.95     | 0.02%             | 2031-08-18      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation                                               | HSI Asset Loan Obligation Trust 2007-2                                          | CUSIP: 40432BAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260836 | PA      | $183172.22    | 0.07%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HAH GROUP HOLDING CO LLC                                                | HAH Group Holding Co LLC                                                        | CUSIP: 40518JAA7<br>LEI: 254900FFJQHW9R90FL74 | Long             | DBT              | CORP              | US        |     45000 | PA      | $42192.90     | 0.02%             | 2031-10-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                                                | Healthcare Realty Holdings LP                                                   | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |    130000 | PA      | $123446.70    | 0.05%             | 2030-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| HEALTHEQUITY INC                                                        | HealthEquity Inc                                                                | CUSIP: 42226AAA5<br>LEI: 529900LRJU1RAFQHM467 | Long             | DBT              | CORP              | US        |    265000 | PA      | $260346.60    | 0.11%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                    | Kraft Heinz Foods Co                                                            | CUSIP: 423074AF0<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    210000 | PA      | $220445.40    | 0.09%             | 2028-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                             | Hertz Vehicle Financing III LP                                                  | CUSIP: 42806MAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    820000 | PA      | $808476.95    | 0.33%             | 2027-12-27      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                             | Hertz Vehicle Financing III LLC                                                 | CUSIP: 42806MCJ6<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    365000 | PA      | $367804.00    | 0.15%             | 2027-06-25      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                                        | Hilton USA Trust 2016-HHV                                                       | CUSIP: 43300LAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1341000 | PA      | $1315483.05   | 0.54%             | 2038-11-05      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                | Host Hotels & Resorts LP                                                        | CUSIP: 44107TBD7<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              |  | US        |    175000 | PA      | $182812.00    | 0.07%             | 2032-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd                                          | HPS Loan Management 2024-19 Ltd                                                 | CUSIP: 442924AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $752769.00    | 0.31%             | 2037-04-15      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD                                                   | HUB International Ltd                                                           | CUSIP: 44332PAJ0<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |    104000 | PA      | $109249.92    | 0.04%             | 2032-01-31      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                | Hudson Pacific Properties LP                                                    | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |    313000 | PA      | $299256.17    | 0.12%             | 2027-11-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                | Hudson Pacific Properties LP                                                    | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |      5000 | PA      | $4931.30      | 0.00%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                            | Hudson Yards 2019-30HY Mortgage Trust                                           | CUSIP: 44421GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $417647.61    | 0.17%             | 2039-07-10      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                            | Hudson Yards 2019-55HY Mortgage Trust                                           | CUSIP: 44421MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $129487.65    | 0.05%             | 2041-12-10      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                              | Humana Inc                                                                      | CUSIP: 444859CD2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    200000 | PA      | $204378.00    | 0.08%             | 2035-05-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                       | Hyatt Hotels Corp                                                               | CUSIP: 448579AU6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    310000 | PA      | $315840.40    | 0.13%             | 2028-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                                                          | ICG US CLO 2022-1i Ltd                                                          | CUSIP: 44933EAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003846.00   | 0.41%             | 2038-10-20      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| ITT HOLDINGS LLC                                                        | ITT Holdings LLC                                                                | CUSIP: 45074JAA2<br>LEI: 549300TH2PHOLK31LB42 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96095.00     | 0.04%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                   | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     85000 | PA      | $85064.60     | 0.03%             | 2029-01-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                   | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    244000 | PA      | $233615.36    | 0.10%             | 2030-06-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                   | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     49000 | PA      | $49006.37     | 0.02%             | 2029-11-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                                 | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    125000 | PA      | $128637.50    | 0.05%             | 2027-07-27      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                                 | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAJ2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $504200.00    | 0.21%             | 2028-06-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                  | Residential Asset Securitization Trust 2005-A15                                 | CUSIP: 45660L4F3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    935594 | PA      | $255088.51    | 0.10%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2005-AR19                                      | CUSIP: 45660LXA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332083 | PA      | $264942.14    | 0.11%             | 2035-10-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2004-AR6                                       | CUSIP: 45660NX83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191490 | PA      | $182867.12    | 0.07%             | 2034-10-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2006-AR9                                       | CUSIP: 45661EGC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    414999 | PA      | $221148.27    | 0.09%             | 2036-06-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2007-FLX2                                      | CUSIP: 45668RAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1061309 | PA      | $964155.74    | 0.39%             | 2037-04-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2007-AR5                                       | CUSIP: 45669EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    501787 | PA      | $404274.81    | 0.17%             | 2037-05-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                              | Intel Corp                                                                      | CUSIP: 458140BU3<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    205000 | PA      | $179873.15    | 0.07%             | 2031-08-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                              | Intel Corp                                                                      | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23334.00     | 0.01%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                | International Flavors & Fragrances Inc                                          | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    725000 | PA      | $654269.00    | 0.27%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                | International Flavors & Fragrances Inc                                          | CUSIP: 459506AR2<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     15000 | PA      | $11542.35     | 0.00%             | 2040-11-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                                                     | Invitation Homes Operating Partnership LP                                       | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              |  | US        |     95000 | PA      | $83097.45     | 0.03%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ION PLAT FIN US/SARL                                                    | ION Platform Finance US Inc / ION Platform Finance SARL                         | CUSIP: 46206AAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $203038.00    | 0.08%             | 2029-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INFO MGMT                                                 | Iron Mountain Information Management Services Inc                               | CUSIP: 46285MAA8<br>LEI: N/A                  | Long             | DBT              |  | US        |    420000 | PA      | $401100.00    | 0.16%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                                                | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 46590XAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    540000 | PA      | $512573.40    | 0.21%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2004-A6                                                | CUSIP: 466247HA4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    137655 | PA      | $137297.16    | 0.06%             | 2034-12-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                                      | JP Morgan Alternative Loan Trust                                                | CUSIP: 46628GAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299611 | PA      | $162863.29    | 0.07%             | 2036-05-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                     | JP Morgan Mortgage Acquisition Trust 2006-WF1                                   | CUSIP: 46628SAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770102 | PA      | $459332.04    | 0.19%             | 2036-07-25      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2007-S2                                                | CUSIP: 46630WAA8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    146910 | PA      | $48778.57     | 0.02%             | 2037-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                           | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3                    | CUSIP: 46635TAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  46995179 | PA      | $275553.88    | 0.11%             | 2046-02-15      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                              | JPMBB Commercial Mortgage Securities Trust 2014-C23                             | CUSIP: 46643ABG7<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |    605348 | PA      | $6.05         | 0.00%             | 2047-09-15      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                              | JPMBB Commercial Mortgage Securities Trust 2014-C24                             | CUSIP: 46643GAG5<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |   1000469 | PA      | $10.00        | 0.00%             | 2047-11-15      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                              | JPMBB Commercial Mortgage Securities Trust 2015-C29                             | CUSIP: 46644RAE5<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |  26458000 | PA      | $180312.59    | 0.07%             | 2048-05-15      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic                                                       | JP Morgan Resecuritization Trust Series 2015-4                                  | CUSIP: 46645AAJ0<br>LEI: 5493004MQHFTPQUDN572 | Long             | ABS-MBS          | CORP              | US        |   2593051 | PA      | $806759.07    | 0.33%             | 2047-06-26      | Variable      | 8.27%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    160000 | PA      | $142257.60    | 0.06%             | 2031-11-19      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBW5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1245000 | PA      | $1241489.10   | 0.51%             | 2027-02-04      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    425000 | PA      | $421697.75    | 0.17%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    660000 | PA      | $630339.60    | 0.26%             | 2029-06-01      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     90000 | PA      | $90949.50     | 0.04%             | 2035-10-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                           | JPMCC Commercial Mortgage Securities Trust 2017-JP5                             | CUSIP: 46647TAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8893421 | PA      | $62374.90     | 0.03%             | 2050-03-15      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                           | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB                 | CUSIP: 46651EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    585000 | PA      | $554501.79    | 0.23%             | 2039-06-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                 | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     96000 | PA      | $100953.60    | 0.04%             | 2031-04-30      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                 | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    315000 | PA      | $329231.70    | 0.13%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JAZZ SECURITIES DAC                                                     | Jazz Securities DAC                                                             | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |    460000 | PA      | $454061.40    | 0.19%             | 2029-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                                                    | JetBlue 2020-1 Class A Pass Through Trust                                       | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    538252 | PA      | $510537.49    | 0.21%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KEDRION SPA                                                             | Kedrion SpA                                                                     | CUSIP: 49272YAB9<br>LEI: 81560047FA58E1BEDF67 | Long             | DBT              | CORP              | IT        |    415000 | PA      | $409148.50    | 0.17%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Knock Issuer Trust 2025-1                                               | Knock Issuer Trust 2025-1                                                       | CUSIP: 49917PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $627954.41    | 0.26%             | 2030-02-25      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                                 | Kodiak Gas Services LLC                                                         | CUSIP: 50012LAD6<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |    250000 | PA      | $255422.50    | 0.10%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KRE Commercial Mortgage Trust                                           | KRE Commercial Mortgage Trust 2025-AIP4                                         | CUSIP: 50077KAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490000 | PA      | $490707.56    | 0.20%             | 2042-03-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| LMRE 2025-SFR1 Trust Issuing Entity                                     | LMRE 2025 SFR1 Trust                                                            | CUSIP: 50208WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $550193.35    | 0.23%             | 2042-12-17      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    490000 | PA      | $502764.50    | 0.21%             | 2028-06-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                   | Lehman Mortgage Trust 2006-7                                                    | CUSIP: 52520QAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2866294 | PA      | $343175.09    | 0.14%             | 2036-11-25      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust Series 2006-12N                                                 | CUSIP: 525226AG1<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |    346799 | PA      | $372997.25    | 0.15%             | 2046-08-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust Series 2006-10N                                                 | CUSIP: 525229AE0<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |    302145 | PA      | $298230.08    | 0.12%             | 2046-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                    | LXP Industrial Trust                                                            | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              |  | US        |    275000 | PA      | $252296.00    | 0.10%             | 2030-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| LINEAGE OP LP                                                           | Lineage OP LP                                                                   | CUSIP: 53567YAA7<br>LEI: 254900CSRDL1G4SRQE89 | Long             | DBT              |  | US        |    230000 | PA      | $232265.50    | 0.10%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DI Issuer LLC                                                           | Lmdv Issuer Co LLC                                                              | CUSIP: 538908AE4<br>LEI: 254900A6HRP8XHJJGM20 | Long             | ABS-O            | CORP              | US        |    360000 | PA      | $360864.00    | 0.15%             | 2055-12-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                          | Long Beach Mortgage Loan Trust 2004-4                                           | CUSIP: 542514HT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237882 | PA      | $232774.37    | 0.10%             | 2034-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                                           | MASTR Alternative Loan Trust 2007-HF1                                           | CUSIP: 55291YAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1046089 | PA      | $409257.21    | 0.17%             | 2047-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTL                                                        | MGM Resorts International                                                       | CUSIP: 552953CJ8<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |     75000 | PA      | $77298.00     | 0.03%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MFT Trust                                                               | MFT 2020-B6 Mortgage Trust                                                      | CUSIP: 55316TAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $146095.31    | 0.06%             | 2040-08-10      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XLV Ltd                                                    | CUSIP: 55820BAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    625000 | PA      | $623919.38    | 0.26%             | 2034-07-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBU6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     69000 | PA      | $45695.94     | 0.02%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      8000 | PA      | $5661.28      | 0.00%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                                                    | Michaels Cos Inc/The                                                            | CUSIP: 55916AAA2<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |    281000 | PA      | $270364.15    | 0.11%             | 2028-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                                                    | Michaels Cos Inc/The                                                            | CUSIP: 55916AAB0<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |     60000 | PA      | $55418.40     | 0.02%             | 2029-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                                           | MASTR Alternative Loan Trust 2006-2                                             | CUSIP: 5764342J2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5843533 | PA      | $321213.73    | 0.13%             | 2036-03-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                     | Mastr Asset Backed Securities Trust 2007-HE1                                    | CUSIP: 576457AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1735102.60   | 0.71%             | 2037-05-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Medina Valley Independent School District                               | MEDINA VLY TX INDEP SCH DIST                                                    | CUSIP: 584887WW9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     90000 | PA      | $91813.14     | 0.04%             | 2050-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                  | Merrill Lynch Mortgage Investors Trust Series 2006-RM2                          | CUSIP: 590216AA5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-O            | CORP              | US        |   3668456 | PA      | $1032203.05   | 0.42%             | 2037-05-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note Asset                                    | Merrill Lynch Alternative Note Asset Trust Series 2007-OAR2                     | CUSIP: 59024BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    449348 | PA      | $363396.01    | 0.15%             | 2037-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3                  | CUSIP: 59024VAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234428 | PA      | $235052.39    | 0.10%             | 2037-06-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3                  | CUSIP: 59024VAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    336861 | PA      | $338829.44    | 0.14%             | 2037-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Backed Securities Trust                          | Merrill Lynch Mortgage Backed Securities Trust Series 2007-2                    | CUSIP: 59025GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75926 | PA      | $65760.27     | 0.03%             | 2036-08-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Modivcare Inc                                                           | Modivcare Inc 2025 Incremental Term Loan                                        | CUSIP: 60783LAD2<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | LON              | CORP              | US        |    180415 | PA      | $73142.93     | 0.03%             | 2026-01-12      | Floating      | 15.44%                | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                                           | ModivCare Inc                                                                   | CUSIP: 60783XAC8<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | DBT              | CORP              | US        |    537600 | PA      | $8064.00      | 0.00%             | 2029-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                               | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22                     | CUSIP: 61690FAN3<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |   1276463 | PA      | $12.76        | 0.00%             | 2048-04-15      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    410000 | PA      | $364301.40    | 0.15%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                               | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                     | CUSIP: 61766RBA3<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |   5631330 | PA      | $22024.69     | 0.01%             | 2049-11-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                          | Morgan Stanley Capital I Trust 2020-CNP                                         | CUSIP: 61770YAG0<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $518850.41    | 0.21%             | 2042-04-05      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                                 | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    150000 | PA      | $150478.50    | 0.06%             | 2028-11-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                                  | Mosaic Solar Loan Trust 2021-2                                                  | CUSIP: 61946RAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $70330.55     | 0.03%             | 2047-04-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                                  | Mosaic Solar Loan Trust 2021-3                                                  | CUSIP: 61946TAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $77929.60     | 0.03%             | 2052-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                                  | Mosaic Solar Loan Trust 2021-1                                                  | CUSIP: 61947DAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    950000 | PA      | $136796.20    | 0.06%             | 2046-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NCR VOYIX CORP                                                          | NCR Voyix Corp                                                                  | CUSIP: 62886EBA5<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |    128000 | PA      | $127239.68    | 0.05%             | 2029-04-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| NGL ENRGY OP/FIN CORP                                                   | NGL Energy Operating LLC / NGL Energy Finance Corp                              | CUSIP: 62922LAD0<br>LEI: 5299005YSRP46BE8Z459 | Long             | DBT              | CORP              | US        |    210000 | PA      | $217782.60    | 0.09%             | 2032-02-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                                | Neuberger Berman Loan Advisers Clo 56 Ltd                                       | CUSIP: 64135UAC1<br>LEI: 2549001742TZTUKJHB13 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $440708.10    | 0.18%             | 2037-07-24      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                                    | New Mountain CLO 8 Ltd                                                          | CUSIP: 64755HAB1<br>LEI: 254900PW0IZ6YH8P9I85 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $447787.20    | 0.18%             | 2038-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                                    | New Mountain CLO 8 Ltd                                                          | CUSIP: 64755HAE5<br>LEI: 254900PW0IZ6YH8P9I85 | Long             | ABS-CBDO         | CORP              | KY        |     60000 | PA      | $0.01         | 0.00%             | 2038-10-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Rithm Capital Corp                                                      | Rithm Capital Corp                                                              | CUSIP: 64828T201<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EC               |  | US        |     55339 | NS      | $603195.10    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| New Residential Mortgage Loan Trust                                     | New Residential Mortgage Loan Trust 2022-NQM2                                   | CUSIP: 64831MAB8<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    930000 | PA      | $759377.46    | 0.31%             | 2062-03-27      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority Future Tax Secured Revenue | NEW YORK CITY NY TRANSITIONAL FIN AUTH REV                                      | CUSIP: 64972JPT9<br>LEI: 5493003476LG35QAKM08 | Long             | DBT              | MUN               | US        |    230000 | PA      | $238369.47    | 0.10%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                                      | NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE                            | CUSIP: 6499022E2<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    903339 | PA      | $918737.45    | 0.38%             | 2033-03-15      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| New York State Thruway Authority                                        | NEW YORK ST THRUWAY AUTH PERSONAL INCOME TAX REVENUE                            | CUSIP: 650028C68<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    160000 | PA      | $164722.88    | 0.07%             | 2059-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                                     | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AR1             | CUSIP: 65535VRY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96988 | PA      | $62341.12     | 0.03%             | 2036-02-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                                         | Oakwood Mortgage Investors Inc                                                  | CUSIP: 67087TAU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    431584 | PA      | $169432.27    | 0.07%             | 2030-03-15      | Variable      | 7.61%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                                         | Oakwood Mortgage Investors Inc                                                  | CUSIP: 67087TBC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1717630 | PA      | $196083.77    | 0.08%             | 2029-09-15      | Variable      | 8.15%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                                         | Oakwood Mortgage Investors Inc                                                  | CUSIP: 67087TBW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    681680 | PA      | $81781.67     | 0.03%             | 2030-07-15      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                                         | Oakwood Mortgage Investors Inc                                                  | CUSIP: 67087TCL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1671028 | PA      | $97823.99     | 0.04%             | 2031-06-15      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                                         | Oakwood Mortgage Investors Inc                                                  | CUSIP: 67087TCV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    461885 | PA      | $160040.34    | 0.07%             | 2022-09-15      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                             | OCP CLO 2015-9 Ltd                                                              | CUSIP: 67092BAE3<br>LEI: 254900XV0U0WEM36A370 | Long             | ABS-CBDO         | CORP              | KY        |   1360000 | PA      | $557130.80    | 0.23%             | 2037-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| NXPT Commercial Mortgage Trust                                          | NXPT Commercial Mortgage Trust 2024-STOR                                        | CUSIP: 67119YAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    528000 | PA      | $534533.89    | 0.22%             | 2041-11-05      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                                      | One New York Plaza Trust 2020-1NYP                                              | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390000 | PA      | $382601.86    | 0.16%             | 2036-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                          | 1261229 BC Ltd                                                                  | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    240000 | PA      | $250094.40    | 0.10%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ONT GAMING GTA/OTG CO-IS                                                | Ontario Gaming GTA LP/OTG Co-Issuer Inc                                         | CUSIP: 68306MAA7<br>LEI: 894500EC9KLZLOC3V025 | Long             | DBT              | CORP              | CA        |    127000 | PA      | $120972.58    | 0.05%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| OPAL BIDCO                                                              | OPAL BIDCO                                                                      | CUSIP: 68348BAA1<br>LEI: 969500R96XT7XY2UJ564 | Long             | DBT              | CORP              | FR        |    193000 | PA      | $197848.16    | 0.08%             | 2032-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                                          | Open Text Corp                                                                  | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |    580000 | PA      | $603907.60    | 0.25%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT INC                                                           | Open Text Holdings Inc                                                          | CUSIP: 683720AC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    270000 | PA      | $252109.80    | 0.10%             | 2031-12-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| OPTION CARE HEALTH INC                                                  | Option Care Health Inc                                                          | CUSIP: 68404LAA0<br>LEI: 549300DI3Q5ACSYJRI17 | Long             | DBT              | CORP              | US        |    275000 | PA      | $268787.75    | 0.11%             | 2029-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| OREGON TOOL LUX LP                                                      | Oregon Tool Lux LP                                                              | CUSIP: 68610BAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    228735 | PA      | $53084.82     | 0.02%             | 2029-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BC8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    130000 | PA      | $127470.20    | 0.05%             | 2026-09-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     30000 | PA      | $33981.90     | 0.01%             | 2034-10-20      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                                   | PRPM 2024-RPL1 LLC                                                              | CUSIP: 69380XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $627727.10    | 0.26%             | 2064-12-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                                   | PRPM 2024-RPL2 LLC                                                              | CUSIP: 69381DAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $847829.70    | 0.35%             | 2054-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                                   | Palmer Square CLO 2024-3 Ltd                                                    | CUSIP: 69688HAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    625000 | PA      | $485354.38    | 0.20%             | 2037-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PAPA JOHN'S INTERNATIONA                                                | Papa John's International Inc                                                   | CUSIP: 698813AA0<br>LEI: HZYLD3DK5XOX0WBVNB56 | Long             | DBT              | CORP              | US        |    135000 | PA      | $128984.40    | 0.05%             | 2029-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                             | Paychex Inc                                                                     | CUSIP: 704326AB3<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    250000 | PA      | $259180.00    | 0.11%             | 2032-04-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PENN ENTERTAINMENT INC                                                  | Penn Entertainment Inc                                                          | CUSIP: 707569AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $165168.30    | 0.07%             | 2027-01-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                                    | Pilgrim's Pride Corp                                                            | CUSIP: 72147KAK4<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    700000 | PA      | $748076.00    | 0.31%             | 2033-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                                          | PMT Loan Trust 2024-INV1                                                        | CUSIP: 73015BBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645330 | PA      | $654540.93    | 0.27%             | 2059-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                       | Post Holdings Inc                                                               | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    505000 | PA      | $491971.00    | 0.20%             | 2030-04-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                                    | PRET 2025-NPL6 LLC                                                              | CUSIP: 740936AA7<br>LEI: 2549004EWBYQ3J21FL07 | Long             | ABS-O            | CORP              | US        |    647043 | PA      | $650037.35    | 0.27%             | 2055-06-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| PRESTIGE BRANDS INC                                                     | Prestige Brands Inc                                                             | CUSIP: 74112BAM7<br>LEI: 549300JBVP4J6D42I235 | Long             | DBT              | CORP              | US        |    595000 | PA      | $556586.80    | 0.23%             | 2031-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PRIMO / TRITON WATER HLD                                                | Primo Water Holdings Inc / Triton Water Holdings Inc                            | CUSIP: 74168RAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125000 | PA      | $125775.00    | 0.05%             | 2029-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential Trust                                                      | CUSIP: 74333HAN5<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    730000 | PA      | $723006.38    | 0.30%             | 2038-07-17      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential 2021-SFR7 Trust                                            | CUSIP: 74333PAL1<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   1451000 | PA      | $1364085.83   | 0.56%             | 2040-08-17      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential 2021-SFR9 Trust                                            | CUSIP: 74333QAJ4<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   1707000 | PA      | $1602880.68   | 0.66%             | 2040-11-17      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential 2021-SFR8 Trust                                            | CUSIP: 74333TAQ2<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   1450000 | PA      | $1430383.39   | 0.59%             | 2038-10-17      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential 2021-SFR10 Trust                                           | CUSIP: 74333WAS1<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    624323 | PA      | $606583.65    | 0.25%             | 2040-12-17      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QS7 Trust                                                      | CUSIP: 748940AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217364 | PA      | $178499.12    | 0.07%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QS6 Trust                                                      | CUSIP: 74922EAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2119627 | PA      | $58093.67     | 0.02%             | 2036-06-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2007-QS2 Trust                                                      | CUSIP: 74923CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4862695 | PA      | $52666.39     | 0.02%             | 2037-01-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                             | RCKT Mortgage Trust 2024-CES6                                                   | CUSIP: 749410AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $807288.80    | 0.33%             | 2044-09-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                             | RCKT Mortgage Trust 2024-CES7                                                   | CUSIP: 749414AK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630000 | PA      | $640663.00    | 0.26%             | 2044-10-25      | Fixed         | 7.31%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                             | RCKT Mortgage Trust 2024-CES8                                                   | CUSIP: 749421AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $712463.08    | 0.29%             | 2044-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTY/RHP FINAN                                                | RHP Hotel Properties LP / RHP Finance Corp                                      | CUSIP: 749571AK1<br>LEI: N/A                  | Long             | DBT              |  | US        |    125000 | PA      | $129747.50    | 0.05%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                           | RFMSI Series 2006-S9 Trust                                                      | CUSIP: 749577AP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13377308 | PA      | $164088.73    | 0.07%             | 2036-09-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QS8 Trust                                                      | CUSIP: 75115AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394193 | PA      | $334518.72    | 0.14%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QS13 Trust                                                     | CUSIP: 75115DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1647502 | PA      | $233339.65    | 0.10%             | 2036-09-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2007-QS3 Trust                                                      | CUSIP: 75116BAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5917598 | PA      | $85735.34     | 0.04%             | 2037-02-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2007-QS6 Trust                                                      | CUSIP: 75116CCP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129229 | PA      | $105794.79    | 0.04%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Redwood Trust Inc                                                       | Redwood Trust Inc                                                               | CUSIP: 758075402<br>LEI: DRBV4N1ERQLEMIF11G78 | Long             | EC               |  | US        |     61963 | NS      | $342655.39    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| UPBOUND GROUP INC                                                       | Upbound Group Inc                                                               | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |    270000 | PA      | $266530.50    | 0.11%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| RENTOKIL TERMINIX LLC                                                   | Rentokil Terminix Funding LLC                                                   | CUSIP: 760130AA2<br>LEI: 984500D5BAA7560EKJ44 | Long             | DBT              | CORP              | US        |    235000 | PA      | $239227.65    | 0.10%             | 2030-04-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2005-QA8 Trust                                                      | CUSIP: 761118BS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    267763 | PA      | $134223.77    | 0.05%             | 2035-07-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QS1 Trust                                                      | CUSIP: 761118SB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163878 | PA      | $130223.91    | 0.05%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                  | Residential Asset Securitization Trust 2007-A5                                  | CUSIP: 76114HAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005934 | PA      | $168626.42    | 0.07%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RIDE 2025-SHRE                                                          | RIDE 2025-SHRE                                                                  | CUSIP: 765692AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    480000 | PA      | $491823.94    | 0.20%             | 2047-02-14      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| RINGCENTRAL INC                                                         | RingCentral Inc                                                                 | CUSIP: 76680RAJ6<br>LEI: 549300C8EH0H1614VE84 | Long             | DBT              | CORP              | US        |    115000 | PA      | $122013.85    | 0.05%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| RIVERS ENTERPRISE                                                       | Rivers Enterprise Lender LLC / Rivers Enterprise Lender Corp                    | CUSIP: 76884GAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $255100.00    | 0.10%             | 2030-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                                  | Rockford Tower CLO 2025-2 Ltd                                                   | CUSIP: 77342RAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $606603.60    | 0.25%             | 2038-03-31      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| ROLLINS INC                                                             | Rollins Inc                                                                     | CUSIP: 775711AC8<br>LEI: 549300F2A0BXT4SGWD84 | Long             | DBT              | CORP              | US        |    370000 | PA      | $378539.60    | 0.15%             | 2035-02-24      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                                            | State Street Institutional U.S. Government Money Market Fund                    | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |    270112 | NS      | $270112.24    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                              | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                            | CUSIP: 78413MAC2<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |    805000 | PA      | $677663.09    | 0.28%             | 2043-01-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                              | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                            | CUSIP: 78413MAQ1<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |    880000 | PA      | $669097.88    | 0.27%             | 2043-01-05      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust                                           | SFO Commercial Mortgage Trust 2021-555                                          | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $549215.54    | 0.22%             | 2038-05-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                                                    | SCG Commercial Mortgage Trust 2025-FLWR                                         | CUSIP: 78438AAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $502546.90    | 0.21%             | 2042-08-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| SLC Student Loan Trust                                                  | SLC Student Loan Trust 2004-1                                                   | CUSIP: 784423AH8<br>LEI: 25490083RPF52FIUZ551 | Long             | ABS-O            | CORP              | US        |    154462 | PA      | $136146.75    | 0.06%             | 2031-08-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| SLC Student Loan Trust                                                  | SLC Student Loan Trust 2006-1                                                   | CUSIP: 784427AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156785 | PA      | $141604.98    | 0.06%             | 2055-03-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2004-2                                                   | CUSIP: 78442GLB0<br>LEI: 549300Y3YMECZJOAL893 | Long             | ABS-O            | CORP              | US        |    131800 | PA      | $125983.79    | 0.05%             | 2039-07-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2005-9                                                   | CUSIP: 78442GRC2<br>LEI: SCSW2GRYW6ZPGKE5DL61 | Long             | ABS-O            | CORP              | US        |    286988 | PA      | $272105.61    | 0.11%             | 2041-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-2                                                   | CUSIP: 784442AD7<br>LEI: 549300MHMWVKFEDI8G73 | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $237138.05    | 0.10%             | 2083-01-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2007-6                                                   | CUSIP: 78444CAF0<br>LEI: 549300DP3T6QDZHB8271 | Long             | ABS-O            | CORP              | US        |     70710 | PA      | $66667.48     | 0.03%             | 2043-04-27      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2007-7                                                   | CUSIP: 78444EAE9<br>LEI: 549300IZGFDRVV7YTH38 | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $154769.85    | 0.06%             | 2070-10-27      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-3                                                   | CUSIP: 78444GAD6<br>LEI: 549300OORAXMFXOHG132 | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $232381.89    | 0.10%             | 2083-04-26      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-5                                                   | CUSIP: 78444YAE5<br>LEI: 549300SRMXHPGI3BJ386 | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $273786.40    | 0.11%             | 2073-07-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-4                                                   | CUSIP: 78445AAE6<br>LEI: 549300EQOYJZL2D96G46 | Long             | ABS-O            | CORP              | US        |    515000 | PA      | $540620.84    | 0.22%             | 2073-04-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-6                                                   | CUSIP: 78445CAE2<br>LEI: 549300JQFJDGC1WO7674 | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $232068.11    | 0.10%             | 2083-07-26      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-7                                                   | CUSIP: 78445FAE5<br>LEI: 54930067BGNOZYMNWK87 | Long             | ABS-O            | CORP              | US        |    305000 | PA      | $303547.80    | 0.12%             | 2083-07-26      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan EDC Repackaging Trust 2013-M1                                  | CUSIP: 78447T103<br>LEI: 549300QFNKDN6MY4H751 | Long             | ABS-O            | CORP              | US        |      1000 | PA      | $188261.69    | 0.08%             | 2029-10-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SMRT                                                                    | SMRT 2022-MINI                                                                  | CUSIP: 78457JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $508738.46    | 0.21%             | 2039-01-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| SMRT                                                                    | SMRT 2022-MINI                                                                  | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005000 | PA      | $1000759.91   | 0.41%             | 2039-01-15      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| SMRT                                                                    | SMRT 2022-MINI                                                                  | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246000 | PA      | $242595.53    | 0.10%             | 2039-01-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                          | Sabre GLBL Inc                                                                  | CUSIP: 78573NAL6<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17017.60     | 0.01%             | 2029-11-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                          | Sabre GLBL Inc                                                                  | CUSIP: 78573NAN2<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20555.00     | 0.01%             | 2030-03-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust                               | Santander Consumer Auto Receivables Trust 2021-C                                | CUSIP: 80281HAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5500 | PA      | $588865.63    | 0.24%             | 2028-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     55000 | PA      | $54377.95     | 0.02%             | 2027-06-14      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust                               | Santander Consumer Auto Receivables Trust 2021-B                                | CUSIP: 802824AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5000 | PA      | $1433207.87   | 0.59%             | 2029-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                            | Saxon Asset Securities Trust 2007-3                                             | CUSIP: 80557BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1326000 | PA      | $1158415.74   | 0.47%             | 2047-09-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| SCRIPPS ESCROW II INC                                                   | Scripps Escrow II Inc                                                           | CUSIP: 81105DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $64411.20     | 0.03%             | 2029-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                                         | Sealed Air Corp                                                                 | CUSIP: 812127AC2<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |     70000 | PA      | $72608.20     | 0.03%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | Securitized Asset Backed Receivables LLC Trust 2006-CB1                         | CUSIP: 81375WHH2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |    852673 | PA      | $736229.86    | 0.30%             | 2036-01-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                          | Securitized Asset Backed Receivables LLC Trust 2007-NC2                         | CUSIP: 81378GAD0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |   1494000 | PA      | $1026555.79   | 0.42%             | 2037-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Serenity-Peace Park CLO LTD                                             | Serenity-Peace Park Clo Ltd                                                     | CUSIP: 81750HAC8<br>LEI: 3912001A818O0ZP8HP89 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $487266.00    | 0.20%             | 2038-10-24      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                                | Sinclair Television Group Inc                                                   | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |    195000 | PA      | $204032.40    | 0.08%             | 2033-02-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                                                     | Sirius XM Radio LLC                                                             | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    246000 | PA      | $246634.68    | 0.10%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XVI, LTD.                                              | Sixth Street CLO XX Ltd                                                         | CUSIP: 83012RAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    467250 | PA      | $257376.25    | 0.11%             | 2038-07-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XVI, LTD.                                              | Sixth Street CLO VIII Ltd                                                       | CUSIP: 83012VAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    275000 | PA      | $274423.60    | 0.11%             | 2034-10-20      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                                | Snap Inc                                                                        | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |    200000 | PA      | $207558.00    | 0.08%             | 2033-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                                | Snap Inc                                                                        | CUSIP: 83304AAM8<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |    290000 | PA      | $298929.10    | 0.12%             | 2034-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SOTERA HEALTH HLDGS LLC                                                 | Sotera Health Holdings LLC                                                      | CUSIP: 83600WAE9<br>LEI: 549300OVT7MBXFLOFU20 | Long             | DBT              | CORP              | US        |    120000 | PA      | $126614.40    | 0.05%             | 2031-06-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                                     | Spectrum Brands Inc                                                             | CUSIP: 84762LAX3<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |    435000 | PA      | $355821.30    | 0.15%             | 2031-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| STAPLES INC                                                             | Staples Inc                                                                     | CUSIP: 855030AQ5<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54742.60     | 0.02%             | 2029-09-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| STAR PARENT INC                                                         | Star Parent Inc                                                                 | CUSIP: 855170AA4<br>LEI: 254900GRGCJYRMDRWT73 | Long             | DBT              | CORP              | US        |    375000 | PA      | $400987.50    | 0.16%             | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Stratus CLO                                                             | Stratus CLO 2021-3 Ltd                                                          | CUSIP: 86315XAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $75.38        | 0.00%             | 2029-12-29      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 863579ZE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75847 | PA      | $70410.53     | 0.03%             | 2035-10-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                               | Structured Asset Mortgage Investments II Trust 2006-AR4                         | CUSIP: 86360QAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    467656 | PA      | $389621.94    | 0.16%             | 2036-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Structured Receivables Finance LLC                                      | Structured Receivables Finance 2010-A LLC                                       | CUSIP: 86365FAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199043 | PA      | $200777.46    | 0.08%             | 2046-01-16      | Fixed         | 7.61%                 | No            |                  2 | On Loan: No      |
| Structured Receivables Finance LLC                                      | Structured Receivables Finance 2010-B LLC                                       | CUSIP: 86365LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    228460 | PA      | $232475.23    | 0.10%             | 2036-08-15      | Fixed         | 7.97%                 | No            |                  2 | On Loan: No      |
| SUBURBAN PROPANE PARTNRS                                                | Suburban Propane Partners LP/Suburban Energy Finance Corp                       | CUSIP: 864486AM7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $250185.00    | 0.10%             | 2035-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                               | Sunoco LP                                                                       | CUSIP: 86765KAE9<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    375000 | PA      | $384978.75    | 0.16%             | 2030-09-18      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mortgage Trust                               | TCO Commercial Mortgage Trust 2024-DPM                                          | CUSIP: 87231EAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $501782.80    | 0.21%             | 2039-12-15      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| TCW Central Cash Fund                                                   | TCW Central Cash Fund                                                           | CUSIP: 872365671<br>LEI: 2549003KPNUIFJCJM366 | Long             | EC               | RF                | US        |  10566318 | NS      | $10566318.00  | 4.33%             |  |  |  | No            |                  1 | On Loan: No      |
| TIF Funding II LLC                                                      | TIF Funding II LLC                                                              | CUSIP: 872480AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    912156 | PA      | $837371.61    | 0.34%             | 2046-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| TCW Private Asset Income Fund                                           | TCW Private Asset Income Fund                                                   | CUSIP: 87807Y206<br>LEI: 254900JOZ7KOHWZ5ZD02 | Long             | EC               | RF                | US        |    656578 | NS      | $6565776.65   | 2.69%             |  |  |  | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                   | Tenet Healthcare Corp                                                           | CUSIP: 88033GDB3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    490000 | PA      | $490960.40    | 0.20%             | 2027-11-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                 | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAT8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    309000 | PA      | $324329.49    | 0.13%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TEVA PHARM FIN IV                                                       | Teva Pharmaceutical Finance Netherlands IV BV                                   | CUSIP: 881937AA4<br>LEI: 549300GKSD1RG56QRY33 | Long             | DBT              | CORP              | NL        |     58000 | PA      | $60209.80     | 0.02%             | 2030-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                           | TransDigm Inc                                                                   | CUSIP: 893647BW6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    260000 | PA      | $266362.20    | 0.11%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                           | TransDigm Inc                                                                   | CUSIP: 893647BY2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    360000 | PA      | $369738.00    | 0.15%             | 2033-05-31      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INTERNTNL LTD                                                | Transocean International Ltd                                                    | CUSIP: 893830BX6<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |     75000 | PA      | $78387.00     | 0.03%             | 2030-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN TITAN FIN LTD                                                | Transocean Titan Financing Ltd                                                  | CUSIP: 89386MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    136810 | PA      | $139975.30    | 0.06%             | 2028-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                                      | Tricon Residential 2021-SFR1 Trust                                              | CUSIP: 89614YAG1<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $742389.68    | 0.30%             | 2038-07-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                                       | 1211 Avenue of the Americas Trust 2015-1211                                     | CUSIP: 90117PAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680000 | PA      | $620372.50    | 0.25%             | 2035-08-10      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                                       | 245 Park Avenue Trust 2017-245P                                                 | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $622782.55    | 0.25%             | 2037-06-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                          | 280 Park Avenue 2017-280P Mortgage Trust                                        | CUSIP: 90205FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490000 | PA      | $485584.27    | 0.20%             | 2034-09-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                           | UBS Commercial Mortgage Trust 2017-C5                                           | CUSIP: 90276TAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4051625 | PA      | $54748.80     | 0.02%             | 2050-11-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| U.S. Bank National Association                                          | US Bank C&I Credit-Linked Notes Series 2025-2                                   | CUSIP: 90355PAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    413442 | PA      | $414889.05    | 0.17%             | 2032-09-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                   | Mexico Government International Bond                                            | CUSIP: 91087BBL3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    284000 | PA      | $280379.00    | 0.11%             | 2035-09-22      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                              | US Bancorp                                                                      | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15858.00     | 0.01%             | 2035-01-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                              | US Bancorp                                                                      | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    225000 | PA      | $232083.00    | 0.10%             | 2031-05-15      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CPN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    152000 | PA      | $150521.56    | 0.06%             | 2030-11-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CPR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1165000 | PA      | $1159675.59   | 0.47%             | 2030-12-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CPS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    315000 | PA      | $314397.07    | 0.13%             | 2027-12-31      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| VT TOPCO INC                                                            | VT Topco Inc                                                                    | CUSIP: 91838PAA9<br>LEI: 5493007T812R37X02Y38 | Long             | DBT              | CORP              | US        |    170000 | PA      | $177588.80    | 0.07%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| VZ SECURED FINANCING BV                                                 | VZ Secured Financing BV                                                         | CUSIP: 91845AAA3<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |    615000 | PA      | $557343.75    | 0.23%             | 2032-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                                          | VCAT 2025-NPL1 LLC                                                              | CUSIP: 921962AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    516670 | PA      | $518882.30    | 0.21%             | 2055-01-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                   | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     38000 | PA      | $38930.62     | 0.02%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                   | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    258000 | PA      | $264310.68    | 0.11%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                  | Venture Global LNG Inc                                                          | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    189000 | PA      | $195373.08    | 0.08%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                  | Venture Global LNG Inc                                                          | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    378000 | PA      | $299682.18    | 0.12%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                              | Verizon Communications Inc                                                      | CUSIP: 92343V104<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | EC               | CORP              | US        |     15224 | NS      | $620073.52    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust                                              | Verus Securitization Trust 2025-3                                               | CUSIP: 924928AE4<br>LEI: 213800DYYV3EM7TSTN14 | Long             | ABS-MBS          | CORP              | US        |    734000 | PA      | $749621.72    | 0.31%             | 2070-05-25      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                              | Verus Securitization Trust 2023-5                                               | CUSIP: 924934AE2<br>LEI: 984500BADC7CFE3B0756 | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $766577.95    | 0.31%             | 2068-06-25      | Variable      | 7.97%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                              | Verus Securitization Trust 2023-4                                               | CUSIP: 92539TAA1<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |    591415 | PA      | $592027.87    | 0.24%             | 2068-05-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                              | Verus Securitization Trust 2023-7                                               | CUSIP: 92539YAE2<br>LEI: 213800W65K5FH3AI2J91 | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $659639.44    | 0.27%             | 2068-10-25      | Variable      | 7.90%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              |  | US        |      7000 | PA      | $6798.68      | 0.00%             | 2030-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              |  | US        |     33000 | PA      | $33071.28     | 0.01%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              |  | US        |     50000 | PA      | $49074.50     | 0.02%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FIN                                                | Virgin Media Secured Finance PLC                                                | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |    140000 | PA      | $138006.40    | 0.06%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                                        | Vmed O2 UK Financing I PLC                                                      | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    271000 | PA      | $250601.83    | 0.10%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                                | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668CS9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     70000 | PA      | $72580.90     | 0.03%             | 2035-03-27      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                                        | WFRBS Commercial Mortgage Trust 2013-C14                                        | CUSIP: 92890PAL8<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |     99339 | PA      | $0.99         | 0.00%             | 2046-06-15      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC                                                      | Voyager Parent LLC                                                              | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |    245000 | PA      | $260216.95    | 0.11%             | 2032-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                                          | WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust                       | CUSIP: 933631AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1411160 | PA      | $644853.44    | 0.26%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust                            | Wells Fargo Mortgage Backed Securities 2007-AR3 Trust                           | CUSIP: 94983UAD9<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |     56600 | PA      | $50395.00     | 0.02%             | 2037-04-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                      | Wells Fargo Alternative Loan 2007-PA2 Trust                                     | CUSIP: 94985FAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1064312 | PA      | $116864.13    | 0.05%             | 2037-06-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    390000 | PA      | $364611.00    | 0.15%             | 2031-02-11      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    805000 | PA      | $786847.25    | 0.32%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18676.80     | 0.01%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                   | Wells Fargo Commercial Mortgage Trust 2018-C47                                  | CUSIP: 95002DBR9<br>LEI: 549300VHRKFNCWVN9Y77 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $747929.03    | 0.31%             | 2061-09-15      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| NCFA1                                                                   | NCFA1                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    671406 | PA      | $671406.47    | 0.27%             | 2028-06-12      | Fixed         | 2.75%                 | No            |                  3 | On Loan: No      |
| LOAN PARTICIPATION 2                                                    | LOAN PARTICIPATION 2                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    794087 | PA      | $794086.55    | 0.33%             | 2027-12-19      | Fixed         | 3.14%                 | No            |                  3 | On Loan: No      |
| Westlake Automobile Receivables Trust                                   | Westlake Automobile Receivables Trust 2024-1                                    | CUSIP: 96043RAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $615472.32    | 0.25%             | 2029-10-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES/ESCR                                                | Windstream Services LLC / Windstream Escrow Finance Corp                        | CUSIP: 97381AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    235000 | PA      | $246905.10    | 0.10%             | 2031-10-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                                                    | Wingstop Funding LLC                                                            | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    541750 | PA      | $525425.88    | 0.22%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| XEROX CORPORATION                                                       | Xerox Corp                                                                      | CUSIP: 984121CS0<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |    255000 | PA      | $245539.50    | 0.10%             | 2030-10-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| YEOMAN CAP S A                                                          | YEOMAN CAP S A                                                                  | CUSIP: 985923101<br>LEI: 549300ORV6YW6ESSNQ21 | Long             | EC               | CORP              | LU        |     13307 | NS      | $99802.50     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ZAYO GROUP HOLDINGS INC                                                 | Zayo Group Holdings Inc                                                         | CUSIP: 98919VAC9<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | DBT              | CORP              | US        |    176909 | PA      | $168286.46    | 0.07%             | 2030-03-09      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| WORLDLINE SA/FRANCE                                                     | Worldline SA/France                                                             | CUSIP: 000000000<br>LEI: 549300CJMQNCA0U4TS33 | Long             | DBT              | CORP              | FR        |    126833 | PA      | $145577.49    | 0.06%             | 2026-07-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PACIFIC NATIONAL FINANCE                                                | Pacific National Finance Pty Ltd                                                | CUSIP: 000000000<br>LEI: 213800SSTRDXLWWVF948 | Long             | DBT              | CORP              | AU        |    280000 | PA      | $171659.15    | 0.07%             | 2029-09-24      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                                  | Treasury Corp of Victoria                                                       | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |    330000 | PA      | $150935.06    | 0.06%             | 2037-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AURIZON NETWORK PTY LTD                                                 | Aurizon Network Pty Ltd                                                         | CUSIP: 000000000<br>LEI: 549300FNL9A7DVZKZ444 | Long             | DBT              | CORP              | AU        |    290000 | PA      | $171311.39    | 0.07%             | 2030-09-02      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| GLOBAL SWITCH FINANCE                                                   | Global Switch Finance BV                                                        | CUSIP: 000000000<br>LEI: 635400GVJAKOJNEUMF33 | Long             | DBT              | CORP              | NL        |    315000 | PA      | $347484.74    | 0.14%             | 2030-10-07      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                                 | KazMunayGas National Co JSC                                                     | CUSIP: 000000000<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    200000 | PA      | $180698.00    | 0.07%             | 2033-04-14      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| ZHENRO PROPERTIES GROUP                                                 | Zhenro Properties Group Ltd                                                     | CUSIP: 000000000<br>LEI: 549300I66TVJEL841P38 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $864.00       | 0.00%             | 2026-01-07      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| DWR CYMRU FINANCING UK                                                  | DWR Cymru Financing UK PLC                                                      | CUSIP: 000000000<br>LEI: 213800GDOFO2ED5PNC85 | Long             | DBT              | CORP              | GB        |    125000 | PA      | $128109.25    | 0.05%             | 2034-03-31      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                                                  | Blackstone Property Partners Europe Holdings Sarl                               | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |    150000 | PA      | $168500.77    | 0.07%             | 2028-05-04      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| VONOVIA SE                                                              | Vonovia SE                                                                      | CUSIP: 000000000<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $155584.16    | 0.06%             | 2041-06-14      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Highways PLC                                                            | Highways 2021 PLC                                                               | CUSIP: 000000000<br>LEI: 635400GGBFFTA8MRIA09 | Long             | ABS-MBS          | CORP              | GB        |    425000 | PA      | $574055.00    | 0.24%             | 2031-12-18      | Floating      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| Vita Scientia                                                           | Vita Scientia 2022-1 DAC                                                        | CUSIP: 000000000<br>LEI: 635400JHBEHLCY2DZM20 | Long             | ABS-MBS          | CORP              | IE        |   1500000 | PA      | $1752208.55   | 0.72%             | 2033-02-27      | Floating      | 4.56%                 | Yes           |                  2 | On Loan: No      |
| SUEZ                                                                    | Suez SACA                                                                       | CUSIP: 000000000<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $217966.27    | 0.09%             | 2034-05-24      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| NATL GAS TRANSMISSION                                                   | National Gas Transmission PLC                                                   | CUSIP: 000000000<br>LEI: FPCHGTHKVH9ZWXS7S453 | Long             | DBT              | CORP              | GB        |    215000 | PA      | $262821.77    | 0.11%             | 2030-04-05      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FIN NV                                                  | Volkswagen International Finance NV                                             | CUSIP: 000000000<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $270877.62    | 0.11%             | 2032-09-06      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                                                    | Sartorius Finance BV                                                            | CUSIP: 000000000<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $248997.61    | 0.10%             | 2035-09-14      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| RAC BOND CO PLC                                                         | RAC Bond Co PLC                                                                 | CUSIP: 000000000<br>LEI: 2138008FCM2SUNLC7B21 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $145808.76    | 0.06%             | 2028-11-06      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| DAVIDE CAMPARI-MILANO SP                                                | Davide Campari-Milano NV                                                        | CUSIP: 000000000<br>LEI: 213800ED5AN2J56N6Z02 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $228982.62    | 0.09%             | 2029-01-17      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| UNITED UTILITIES WAT FIN                                                | United Utilities Water Finance PLC                                              | CUSIP: 000000000<br>LEI: 213800313INX42GDLR44 | Long             | DBT              | CORP              | GB        |    115000 | PA      | $134454.03    | 0.06%             | 2034-05-23      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| GRIFOLS SA                                                              | Grifols SA                                                                      | CUSIP: 000000000<br>LEI: 959800HSSNXWRKBK4N60 | Long             | DBT              | CORP              | ES        |    203000 | PA      | $250670.29    | 0.10%             | 2030-05-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| ELIA GROUP SA/NV                                                        | Elia Group SA/NV                                                                | CUSIP: 000000000<br>LEI: 549300S1MP1NFDIKT460 | Long             | DBT              | CORP              | BE        |    100000 | PA      | $119546.15    | 0.05%             | 2031-06-11      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                                | Electricite de France SA                                                        | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $467670.90    | 0.19%             | 2044-06-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                                | Electricite de France SA                                                        | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    100000 | PA      | $138357.18    | 0.06%             | 2035-06-17      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE                                                 | Yorkshire Water Finance PLC                                                     | CUSIP: 000000000<br>LEI: 213800O8BDOGHJMTCP32 | Long             | DBT              | CORP              | GB        |    180000 | PA      | $250594.85    | 0.10%             | 2034-11-18      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| EQUINIX EU 2 FINANCING C                                                | Equinix Europe 2 Financing Corp LLC                                             | CUSIP: 000000000<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              |  | US        |    155000 | PA      | $176349.27    | 0.07%             | 2034-11-22      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| LA FRANCAISE DES JEUX SA                                                | La Francaise des Jeux SACA                                                      | CUSIP: 000000000<br>LEI: 969500R4CLSQFTYYI535 | Long             | DBT              | CORP              | FR        |    100000 | PA      | $115286.41    | 0.05%             | 2033-11-21      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Arbour CLO                                                              | ARBOUR CLO VIII DAC                                                             | CUSIP: 000000000<br>LEI: 635400YH93RIIHDLXQ91 | Long             | ABS-CBDO         | CORP              | IE        |    600000 | PA      | $705067.75    | 0.29%             | 2034-10-15      | Floating      | 3.71%                 | Yes           |                  2 | On Loan: No      |
| Shamrock Residential                                                    | Shamrock Residential 2024-1 DAC                                                 | CUSIP: 000000000<br>LEI: 635400DULOLZBZ1GY715 | Long             | ABS-MBS          | CORP              | IE        |    575000 | PA      | $673360.80    | 0.28%             | 2078-12-24      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| DIGITAL DUTCH FINCO BV                                                  | Digital Dutch Finco BV                                                          | CUSIP: 000000000<br>LEI: 549300ONZ5IS6B6IMJ70 | Long             | DBT              |  | NL        |    135000 | PA      | $154943.79    | 0.06%             | 2035-03-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                                    | Heathrow Funding Ltd                                                            | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |    120000 | PA      | $139303.46    | 0.06%             | 2036-01-16      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| NEWDAY FUNDING                                                          | Newday Funding Master Issuer PLC - Series 2024-2                                | CUSIP: 000000000<br>LEI: 213800GBPRAJHSB5YK19 | Long             | ABS-O            | CORP              | GB        |    450000 | PA      | $616310.68    | 0.25%             | 2032-07-15      | Floating      | 7.74%                 | Yes           |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                                | New South Wales Treasury Corp                                                   | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    965000 | PA      | $626354.11    | 0.26%             | 2038-02-24      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| UK Logisitics                                                           | UK Logistics 2025-1 DAC                                                         | CUSIP: 000000000<br>LEI: 635400LLQ82YFJBFFU27 | Long             | ABS-MBS          | CORP              | GB        |    215363 | PA      | $290441.26    | 0.12%             | 2035-05-17      | Floating      | 9.36%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                                                    | Flutter Treasury DAC                                                            | CUSIP: 000000000<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |    125000 | PA      | $169950.38    | 0.07%             | 2031-06-04      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| DYNO NOBEL LTD                                                          | Dyno Nobel Ltd                                                                  | CUSIP: 000000000<br>LEI: 254900UW2F3BKV6Z9V18 | Long             | DBT              | CORP              | AU        |    180000 | PA      | $117503.87    | 0.05%             | 2032-11-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                                | Queensland Treasury Corp                                                        | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |    335000 | PA      | $215129.09    | 0.09%             | 2038-08-13      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| VONOVIA SE                                                              | Vonovia SE                                                                      | CUSIP: 000000000<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |     60000 | PA      | $38565.39     | 0.02%             | 2035-09-03      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Together Asset Backed Securitisation                                    | Together Asset Backed Securitisation 14 2025-1ST1 PLC                           | CUSIP: 000000000<br>LEI: 213800ATT519H28VFU67 | Long             | ABS-MBS          | CORP              | GB        |    500000 | PA      | $669008.52    | 0.27%             | 2066-08-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                            | Alphabet Inc                                                                    | CUSIP: 000000000<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    155000 | PA      | $177623.55    | 0.07%             | 2044-11-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                            | Alphabet Inc                                                                    | CUSIP: 000000000<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    100000 | PA      | $113764.33    | 0.05%             | 2038-11-06      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                       | EURO-BUND FUTURE MAR26                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -18 | NC      | $19210.86     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                       | EURO-BUXL 30Y BND MAR26                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -2 | NC      | $3881.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                  | US ULTRA BOND CBT MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -73 | NC      | $131612.22    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                  | US 5YR NOTE (CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       295 | NC      | $-14402.69    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                  | US 2YR NOTE (CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -127 | NC      | $-34790.28    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                  | US 10YR ULTRA FUT MAR26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -235 | NC      | $58091.88     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                        | LONG GILT FUTURE MAR26                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        -4 | NC      | $-2890.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                                     | AUST 10Y BOND FUT MAR26                                                         | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       -17 | NC      | $530.43       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                                     | AUST 3YR BOND FUT MAR26                                                         | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        -9 | NC      | $844.61       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Modivcare Inc.                                                          | Modivcare Inc 2025 DIP Term Loan                                                | CUSIP: 000000000<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | LON              | CORP              | US        |     41936 | PA      | $41516.64     | 0.02%             | 2026-02-22      | Floating      | 10.73%                | No            |                  2 | On Loan: No      |
| Modivcare Inc.                                                          | Modivcare Inc 2025 DIP Delayed Draw Term Loan                                   | CUSIP: 000000000<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | LON              | CORP              | US        |     22343 | PA      | $22119.57     | 0.01%             | 2026-02-22      | Floating      | 10.82%                | No            |                  2 | On Loan: No      |
| Oregon Tool Inc                                                         | Oregon Tool Inc 2025 2nd Lien Term Loan                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    238833 | PA      | $172437.23    | 0.07%             | 2029-10-15      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                                                   | Guatemala Government Bond                                                       | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |    200000 | PA      | $178806.00    | 0.07%             | 2033-10-07      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                                                   | Guatemala Government Bond                                                       | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |    200000 | PA      | $209600.00    | 0.09%             | 2036-08-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-17

**Name of Applicant:** TCW STRATEGIC INCOME FUND INC

**Signature:** Richard Villa

**Name of Signer:** Richard Villa

**Title:** Treasurer