# EDGAR Filing Document

**Accession Number:** 0001516212
**File Stem:** 0001752724-23-046975
**Filing Date:** 2023-2
**Character Count:** 125941
**Document Hash:** a200581b7d21be4c2ae0998cda26c82e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-046975.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-046975

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SSGA Active Trust
- **CENTRAL INDEX KEY:** 0001516212
- **IRS NUMBER:** 000000000

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22542
- **FILM NUMBER:** 23683669

**BUSINESS ADDRESS:**
- **STREET 1:** ONE LINCOLN STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02111
- **BUSINESS PHONE:** 617-664-1465

**MAIL ADDRESS:**
- **STREET 1:** ONE LINCOLN STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02111

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SSgA Active Trust
- **DATE OF NAME CHANGE:** 20141208

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SSgA Active ETF Trust
- **DATE OF NAME CHANGE:** 20110322

## Series and Classes Contracts Data

### SPDR DoubleLine Short Duration Total Return Tactical ETF (Series ID: S000052162)

| Class ID   | Class Name                                               | Ticker Symbol   |
|:---|:---|:---|
| C000164160 | SPDR DoubleLine Short Duration Total Return Tactical ETF | STOT            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** SSGA Active Trust

- **b. Investment Company Act file number:** 811-22542

- **c. CIK number of Registrant:** 0001516212

- **d. LEI of Registrant:** 549300MAXSRPQ75ICU67

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

  - **Street Address 1:** One Iron Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 617-664-8594

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

- **a. Name of Series:** SPDR DoubleLine Short Duration Total Return Tactical ETF

- **b. EDGAR series identifier (if any):** S000052162

- **c. LEI of Series:** 549300JKQUMR3G362R19

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $126659259.51

**Total Liabilities:** $161992.29

**Net Assets:** $126497267.22

**Delayed Delivery Securities:** $113850.00

**Cash Not Reported:** $8016.11

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -144.34000000 | **1-Year:** -3209.74000000 | **5-Year:** -6650.76000000 | **10-Year:** -656.32000000 | **30-Year:** -13.59000000

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

- **3-Month:** -69.86000000 | **1-Year:** -1261.27000000 | **5-Year:** -3154.40000000 | **10-Year:** -833.25000000 | **30-Year:** -126.19000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000164160 | -0.57%               | 1.26%                | 0.39%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-55108.26               | $-1029743.12                               |
| Month 2  | $-31833.38               | $1207741.39                                |
| Month 3  | $-29841.53               | $121460.93                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| WAMU Mortgage Pass-Through Certificates              | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust                 | CUSIP: 92925GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1885722 | PA      | $1566853.31   | 1.24%             | 2036-12-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| Resideo Funding Inc.                                 | Resideo Funding Inc. 2021 Term Loan                                            | CUSIP: 76090LAE4<br>LEI: 5493000IFJ6XJKH66598 | Long             | LON              | CORP              | US        |    295489 | PA      | $293828.08    | 0.23%             | 2028-02-11      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                    | Expedia Group Inc                                                              | CUSIP: 30212PAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    285000 | PA      | $287057.70    | 0.23%             | 2025-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BANCO INTERNAC DEL PERU                              | Banco Internacional del Peru SAA Interbank                                     | CUSIP: 000000000<br>LEI: 5493001TRCGXJLRLHN14 | Long             | DBT              | CORP              | PE        |    150000 | PA      | $135772.50    | 0.11%             | 2030-07-08      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                             | CUSIP: 3137H4YN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    907229 | PA      | $767321.91    | 0.61%             | 2047-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                | PRPM 2022-1 LLC                                                                | CUSIP: 693582AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1719305 | PA      | $1607555.47   | 1.27%             | 2027-02-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                  | COMM 2015-CCRE25 Mortgage Trust                                                | CUSIP: 12593PAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1109489 | PA      | $19035.81     | 0.02%             | 2048-08-10      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| ICU Medical, Inc.                                    | ICU Medical, Inc. Term Loan B                                                  | CUSIP: 000000000<br>LEI: 5493003NRW7LS2QZRH60 | Long             | LON              | CORP              | US        |     29775 | PA      | $28881.75     | 0.02%             | 2029-01-08      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                  | Elevance Health Inc                                                            | CUSIP: 94973VBJ5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    220000 | PA      | $214515.40    | 0.17%             | 2024-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                         | State Street Institutional US Government Money Market Fund                     | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |   4559807 | NS      | $4559807.42   | 3.60%             |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage Securities Trust                         | GS Mortgage Securities Trust 2020-GC47                                         | CUSIP: 36258RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2112033 | PA      | $127908.16    | 0.10%             | 2053-05-12      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                       | Pagaya AI Debt Selection Trust 2021-5                                          | CUSIP: 69547EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    999882 | PA      | $914388.29    | 0.72%             | 2029-08-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust 2021-SAVE                                | CUSIP: 95003LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90902 | PA      | $82559.75     | 0.07%             | 2040-02-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FENIX POWER PERU SA                                  | Fenix Power Peru SA                                                            | CUSIP: 000000000<br>LEI: 549300VBTI7WLU4G4642 | Long             | DBT              | CORP              | PE        |    298824 | PA      | $273862.80    | 0.22%             | 2027-09-20      | Fixed         | 4.32%                 | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                    | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    290000 | PA      | $279183.00    | 0.22%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                       | Pagaya AI Debt Selection Trust 2021-3                                          | CUSIP: 69546RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    999946 | PA      | $925993.02    | 0.73%             | 2029-05-15      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                 | Glencore Funding LLC                                                           | CUSIP: 378272AF5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    290000 | PA      | $288474.60    | 0.23%             | 2023-05-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Welltower Inc                                        | Welltower Inc                                                                  | CUSIP: 95040QAG9<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              |  | US        |    295000 | PA      | $288657.50    | 0.23%             | 2024-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                             | Penske Truck Leasing Co Lp / PTL Finance Corp                                  | CUSIP: 709599BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    305000 | PA      | $287865.10    | 0.23%             | 2024-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                  | Sound Point CLO XXVI Ltd                                                       | CUSIP: 83614XAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $963738.00    | 0.76%             | 2034-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Peace Park CLO, Ltd.                                 | Peace Park CLO Ltd                                                             | CUSIP: 70470MAC9<br>LEI: 549300XHXTUZ93V6SK42 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $972300.00    | 0.77%             | 2034-10-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust 2022-PSB                                                              | CUSIP: 05606DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148284 | PA      | $147971.00    | 0.12%             | 2039-08-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                     | WFRBS Commercial Mortgage Trust 2014-C23                                       | CUSIP: 92939HBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $224201.79    | 0.18%             | 2057-10-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                | Toorak Mortgage Corp 2020-1 Ltd                                                | CUSIP: 89052WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451355 | PA      | $435943.18    | 0.34%             | 2023-03-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                | Toronto-Dominion Bank/The                                                      | CUSIP: 89114TZE5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    300000 | PA      | $279198.00    | 0.22%             | 2024-09-10      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINER                                     | Triton Container International Ltd                                             | CUSIP: 89680YAD7<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |    305000 | PA      | $294422.60    | 0.23%             | 2023-08-01      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Fleetcor Technologies Operating Company, LLC         | Fleetcor Technologies Operating Company, LLC 2021 Term Loan B4                 | CUSIP: 33903RAY5<br>LEI: 549300FKKKZCXLK48427 | Long             | LON              | CORP              | US        |    418630 | PA      | $414967.24    | 0.33%             | 2028-04-28      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                               | CUSIP: 3132CWUB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1066298 | PA      | $951392.42    | 0.75%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                       | CPS Auto Receivables Trust 2021-A                                              | CUSIP: 12656NAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $568499.79    | 0.45%             | 2026-12-15      | Fixed         | 1.16%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                               | General Motors Financial Co Inc                                                | CUSIP: 37045XBG0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    280000 | PA      | $275738.40    | 0.22%             | 2026-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust 2019-C52                                 | CUSIP: 95002MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2890379 | PA      | $206394.30    | 0.16%             | 2052-08-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| PRA Health Sciences, Inc.                            | PRA Health Sciences, Inc. US Term Loan                                         | CUSIP: 000000000<br>LEI: 549300R1HR1VWWHIAK47 | Long             | LON              | CORP              | US        |     50143 | PA      | $50055.13     | 0.04%             | 2028-07-03      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed CTFS                  | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE5 Trust       | CUSIP: 93934XAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    278652 | PA      | $99592.82     | 0.08%             | 2036-10-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Trans Union, LLC                                     | Trans Union, LLC 2021 Term Loan B6                                             | CUSIP: 89334GAZ7<br>LEI: X8NPN6PWJOM1QCTYFV34 | Long             | LON              | CORP              | US        |     75663 | PA      | $75048.14     | 0.06%             | 2028-12-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| PERIAMA HOLDINGS LLC/DE                              | Periama Holdings LLC/DE                                                        | CUSIP: 000000000<br>LEI: 254900NINXO00BLT2Z47 | Long             | DBT              | CORP              | US        |    200000 | PA      | $186738.00    | 0.15%             | 2026-04-19      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                | CUSIP: 3140QKKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1008707 | PA      | $876227.03    | 0.69%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Minejesa Capital BV                                  | Minejesa Capital BV                                                            | CUSIP: 000000000<br>LEI: 549300KS7ERCP10BKC35 | Long             | DBT              | CORP              | NL        |    400000 | PA      | $352228.00    | 0.28%             | 2030-08-10      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust 2021-VIEW                                                             | CUSIP: 05606GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299000 | PA      | $283384.14    | 0.22%             | 2036-06-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| TRANSPORT DE GAS PERU                                | Transportadora de Gas del Peru SA                                              | CUSIP: 000000000<br>LEI: 529900SKHHNI5HVI0Y66 | Long             | DBT              | CORP              | PE        |    200000 | PA      | $187696.00    | 0.15%             | 2028-04-30      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2006-41CB                                               | CUSIP: 02149CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244296 | PA      | $136419.95    | 0.11%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                                 | FS RIALTO                                                                      | CUSIP: 30319YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150000 | PA      | $143655.60    | 0.11%             | 2038-05-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                       | Morgan Stanley Capital I Trust 2016-UBS12                                      | CUSIP: 61691EBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1342516 | PA      | $27244.50     | 0.02%             | 2049-12-15      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                          | Legacy Mortgage Asset Trust 2021-GS1                                           | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400108 | PA      | $365648.13    | 0.29%             | 2066-10-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| TNB GLOBAL VENTURES CAP                              | TNB Global Ventures Capital Bhd                                                | CUSIP: 000000000<br>LEI: 5493004U8XEGPFWIBZ14 | Long             | DBT              | CORP              | MY        |    300000 | PA      | $277152.00    | 0.22%             | 2026-10-19      | Fixed         | 3.24%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                       | Morgan Stanley Capital I Trust 2019-PLND                                       | CUSIP: 61691XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163000 | PA      | $158804.58    | 0.13%             | 2036-05-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust           | JPMBB Commercial Mortgage Securities Trust 2014-C25                            | CUSIP: 46643PBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $140722.08    | 0.11%             | 2047-11-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                  | Bank of Nova Scotia/The                                                        | CUSIP: 0641596E1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    155000 | PA      | $144487.90    | 0.11%             | 2024-07-31      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust        | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP                | CUSIP: 46651MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49199 | PA      | $47907.27     | 0.04%             | 2036-07-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                | Truist Financial Corp                                                          | CUSIP: 89788MAH5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    295000 | PA      | $290203.30    | 0.23%             | 2026-07-28      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                                   | Shackleton 2013-III CLO Ltd                                                    | CUSIP: 81881QAS5<br>LEI: 549300S9WB2KLCOJR134 | Long             | ABS-CBDO         | CORP              | KY        |    497278 | PA      | $489421.06    | 0.39%             | 2030-07-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                                    | Jamestown CLO XV Ltd                                                           | CUSIP: 47050EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $490000.00    | 0.39%             | 2033-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 51 Ltd                   | Octagon Investment Partners 51 Ltd                                             | CUSIP: 67578JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $966600.00    | 0.76%             | 2034-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                                      | Vibrant ClO VIII Ltd                                                           | CUSIP: 92558FAA7<br>LEI: 5493007UH0SOAZ6NCZ28 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $491200.00    | 0.39%             | 2031-01-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                                 | FS Rialto 2022-Fl4 Issuer LLC                                                  | CUSIP: 30326MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $238645.75    | 0.19%             | 2039-01-19      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust        | JPMCC Commercial Mortgage Securities Trust 2019-COR5                           | CUSIP: 46591EAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1086734 | PA      | $68183.60     | 0.05%             | 2052-06-13      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                             | CUSIP: 29273RBD0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29069.40     | 0.02%             | 2025-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GPMT Ltd.                                            | GPMT 2021-FL3 Ltd                                                              | CUSIP: 36264BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     64773 | PA      | $63184.63     | 0.05%             | 2035-07-16      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Elanco Animal Health Incorporated                    | Elanco Animal Health Incorporated Term Loan B                                  | CUSIP: 28414BAF3<br>LEI: 549300SHPNDCE059M934 | Long             | LON              | CORP              | US        |    277123 | PA      | $266686.62    | 0.21%             | 2027-08-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                             | Microchip Technology Inc                                                       | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    305000 | PA      | $289966.55    | 0.23%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                               | CUSIP: 91282CEY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4842968.75   | 3.83%             | 2025-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UPL Corp Ltd                                         | UPL Corp Ltd                                                                   | CUSIP: 000000000<br>LEI: 213800AQLATW4WEEH674 | Long             | DBT              | CORP              | MU        |    200000 | PA      | $168097.42    | 0.13%             | 2028-03-08      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                              | CUSIP: 3136ARSE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230293 | PA      | $224660.22    | 0.18%             | 2046-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust               | Velocity Commercial Capital Loan Trust 2018-2                                  | CUSIP: 92259BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    268457 | PA      | $257289.95    | 0.20%             | 2048-10-26      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                             | CUSIP: 3137BJQF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71049 | PA      | $66156.33     | 0.05%             | 2030-07-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust          | MF1 2022-FL8 Ltd                                                               | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    157000 | PA      | $150539.92    | 0.12%             | 2037-02-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                              | CUSIP: 3136B2EN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180740 | PA      | $174126.78    | 0.14%             | 2048-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                     | WFRBS Commercial Mortgage Trust 2014-C21                                       | CUSIP: 92939FAW9<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $239545.82    | 0.19%             | 2047-08-15      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| IQVIA Inc.                                           | IQVIA Inc. 2018 USD Term Loan B3                                               | CUSIP: 44969CBJ8<br>LEI: 549300PLWY28YB00C717 | Long             | LON              | CORP              | US        |    271862 | PA      | $271097.77    | 0.21%             | 2025-06-11      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                               | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    285000 | PA      | $280468.50    | 0.22%             | 2024-06-02      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities               | Natixis Commercial Mortgage Securities Trust 2018-FL1                          | CUSIP: 63874MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49442 | PA      | $47721.68     | 0.04%             | 2035-06-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| BrightSpire Capital, Inc                             | BRSP 2021-FL1 Ltd                                                              | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    151000 | PA      | $146441.16    | 0.12%             | 2038-08-19      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust 2019-C51                                 | CUSIP: 95001VAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    982604 | PA      | $59378.92     | 0.05%             | 2052-06-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                               | UnitedHealth Group Inc                                                         | CUSIP: 91324PEN8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     75000 | PA      | $75906.00     | 0.06%             | 2025-10-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Company LLC                        | Vistra Operations Company LLC 1st Lien Term Loan B3                            | CUSIP: 88233FAK6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | LON              | CORP              | US        |    368459 | PA      | $365800.34    | 0.29%             | 2025-12-31      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                  | CUSIP: 172967MA6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    210000 | PA      | $210121.80    | 0.17%             | 2024-06-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                            | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                    | CUSIP: 61764PBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1142260 | PA      | $10240.59     | 0.01%             | 2046-12-15      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Axalta Coating Systems Dutch Holding B B.V           | Axalta Coating Systems Dutch Holding B B.V 2022 USD Term Loan B                | CUSIP: 90347BAJ7<br>LEI: 549300NZ43V4QV4UGN28 | Long             | LON              | CORP              | US        |    115000 | PA      | $115258.75    | 0.09%             | 2029-12-20      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                   | Royalty Pharma PLC                                                             | CUSIP: 78081BAG8<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $290721.00    | 0.23%             | 2023-09-02      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Grifols Worldwide Operations USA, Inc.               | Grifols Worldwide Operations USA, Inc. USD 2019 Term Loan B                    | CUSIP: 39843PAG8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    319481 | PA      | $309631.58    | 0.24%             | 2027-11-15      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| VTR COMUNICACIONES SPA                               | VTR Comunicaciones SpA                                                         | CUSIP: 000000000<br>LEI: 213800XDZJKMC1AEUV94 | Long             | DBT              | CORP              | CL        |    200000 | PA      | $124716.00    | 0.10%             | 2028-01-15      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| COMCAST CORP                                         | Comcast Corp                                                                   | CUSIP: 20030NDZ1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    140000 | PA      | $141905.40    | 0.11%             | 2025-11-07      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LoanCore 2018-CRE1 Issuer, Ltd.                      | LoanCore 2019-CRE3 Issuer Ltd                                                  | CUSIP: 53947DAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    107612 | PA      | $107133.78    | 0.08%             | 2034-04-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd      | Arbor Realty Collateralized Loan Obligation 2020-FL1 Ltd                       | CUSIP: 03880WAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    131000 | PA      | $127455.40    | 0.10%             | 2035-02-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| BBVA BANCO CONTINENTAL                               | Banco BBVA Peru SA                                                             | CUSIP: 000000000<br>LEI: 549300H1JNU0HLNFU552 | Long             | DBT              | CORP              | PE        |    100000 | PA      | $97105.00     | 0.08%             | 2029-09-22      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Commercial Mortgage Trust 2021-21M                                          | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134847 | PA      | $129580.97    | 0.10%             | 2036-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Nexstar Broadcasting, Inc.                           | Nexstar Broadcasting, Inc. 2019 Term Loan B4                                   | CUSIP: 65336RAW8<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |    135800 | PA      | $134934.69    | 0.11%             | 2026-09-18      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                                 | Parker-Hannifin Corp                                                           | CUSIP: 701094AQ7<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    265000 | PA      | $259268.05    | 0.20%             | 2024-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                              | BDS 2022-FL11 LLC                                                              | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $240945.25    | 0.19%             | 2039-03-19      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                              | BDS 2019-FL4 LTD                                                               | CUSIP: 05492KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1874 | PA      | $1873.73      | 0.00%             | 2036-08-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust 2021-2                                     | CUSIP: 30166RAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    402470 | PA      | $392795.02    | 0.31%             | 2026-01-15      | Fixed         | 0.74%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                          | Extended Stay America Trust 2021-ESH                                           | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146429 | PA      | $142171.81    | 0.11%             | 2038-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Focus Financial Partners, LLC                        | Focus Financial Partners, LLC 2021 Term Loan B4                                | CUSIP: 34416DAU2<br>LEI: 5493007L0E0VKRC2CP39 | Long             | LON              | CORP              | US        |     34648 | PA      | $34063.55     | 0.03%             | 2028-06-30      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                        | Citigroup Inc                                                                  | CUSIP: 172967ND9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     90000 | PA      | $82910.70     | 0.07%             | 2025-11-03      | Fixed         | 1.28%                 | No            |                  2 | On Loan: No      |
| Northwoods Capital Ltd                               | Northwoods Capital XVI Ltd                                                     | CUSIP: 66859WAA0<br>LEI: 549300DXMQIRCT0KIT70 | Long             | ABS-CBDO         | CORP              | KY        |   1000626 | PA      | $983114.89    | 0.78%             | 2030-11-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                 | BAT International Finance PLC                                                  | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    310000 | PA      | $274470.90    | 0.22%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| LoanCore 2019-CRE2 Issuer, Ltd.                      | LoanCore 2019-CRE2 Issuer Ltd                                                  | CUSIP: 53946JAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     87377 | PA      | $85210.89     | 0.07%             | 2036-05-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| ICON Luxembourg S.A.R.L.                             | ICON Luxembourg S.A.R.L. LUX Term Loan                                         | CUSIP: 000000000<br>LEI: 635400PUWMHSPI2DDA35 | Long             | LON              | CORP              | LU        |    201254 | PA      | $200903.11    | 0.16%             | 2028-07-03      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Laurel Road Prime Student Loan Trust                 | Laurel Road Prime Student Loan Trust 2019-A                                    | CUSIP: 51889RAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30044 | PA      | $29060.13     | 0.02%             | 2048-10-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                              | CUSIP: 31398SXN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146558 | PA      | $144374.98    | 0.11%             | 2040-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Stars Group Holdings B.V. (The)                      | Stars Group Holdings B.V. (The) 2018 USD Incremental Term Loan                 | CUSIP: 000000000<br>LEI: 549300RNFXC8F8RT6R13 | Long             | LON              | CORP              | NL        |    360289 | PA      | $355884.47    | 0.28%             | 2026-07-21      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                                 | FS Rialto 2021-FL3                                                             | CUSIP: 30323CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    181000 | PA      | $172590.02    | 0.14%             | 2036-11-16      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization      | Credit-Based Asset Servicing and Securitization LLC                            | CUSIP: 17307GLP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    557965 | PA      | $502168.18    | 0.40%             | 2034-10-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| Merit                                                | MHP 2022-MHIL                                                                  | CUSIP: 55293DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152550 | PA      | $145927.29    | 0.12%             | 2027-01-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| NortonLifeLock Inc.                                  | NortonLifeLock Inc. 2022 Term Loan B                                           | CUSIP: 66877AAD0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | LON              | CORP              | US        |    277494 | PA      | $273389.78    | 0.22%             | 2029-09-12      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                             | CUSIP: 3137BHKL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    520486 | PA      | $480875.91    | 0.38%             | 2043-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                     | Bain Capital Credit CLO 2019-1                                                 | CUSIP: 05683VAS3<br>LEI: 549300B0VI605XM3L529 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $486127.00    | 0.38%             | 2034-04-19      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                           | Affirm Asset Securitization Trust 2022-A                                       | CUSIP: 00834WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $475115.95    | 0.38%             | 2027-05-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 2021-1, Ltd.                              | CQS US CLO 2021-1 Ltd                                                          | CUSIP: 12659UAA0<br>LEI: 549300GF7PVRIKZNMY06 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $964500.00    | 0.76%             | 2035-01-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Dollar Tree Inc                                      | Dollar Tree Inc                                                                | CUSIP: 256746AG3<br>LEI: 549300PMSTQITB1WHR43 | Long             | DBT              | CORP              | US        |    270000 | PA      | $263684.70    | 0.21%             | 2025-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                          | SREIT Trust 2021-MFP                                                           | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181000 | PA      | $174056.35    | 0.14%             | 2038-11-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                      | CSAIL 2017-CX10 Commercial Mortgage Trust                                      | CUSIP: 12595JAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    845506 | PA      | $22774.93     | 0.02%             | 2050-11-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                       | Lowe's Cos Inc                                                                 | CUSIP: 548661EK9<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    170000 | PA      | $167733.90    | 0.13%             | 2025-09-08      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Reynolds Consumer Products LLC                       | Reynolds Consumer Products LLC Term Loan                                       | CUSIP: 76171JAB7<br>LEI: 549300DWNZYMOSR1X343 | Long             | LON              | CORP              | US        |    407757 | PA      | $405112.82    | 0.32%             | 2027-02-04      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC          | BBCMS 2017-DELC Mortgage Trust                                                 | CUSIP: 05552EAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38000 | PA      | $36861.75     | 0.03%             | 2036-08-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXI Ltd.                            | Marble Point CLO XXI Ltd                                                       | CUSIP: 56606KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1921264.00   | 1.52%             | 2034-10-17      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                             | Banco Mercantil del Norte SA/Grand Cayman                                      | CUSIP: 000000000<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |    200000 | PA      | $178066.00    | 0.14%             | 2027-01-24      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                               | CUSIP: 3132D57E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1325244 | PA      | $1181142.31   | 0.93%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ali Group North America Corporation                  | Ali Group North America Corporation 2021 Term Loan B                           | CUSIP: 01608UAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     75178 | PA      | $74707.92     | 0.06%             | 2029-07-30      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| ACREC 2021-FL1 Ltd                                   | ACREC 2021-FL1 Ltd                                                             | CUSIP: 00500RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    181000 | PA      | $172258.42    | 0.14%             | 2036-10-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| ADANI INTERNATIONAL CONT                             | Adani International Container Terminal Pvt Ltd                                 | CUSIP: 000000000<br>LEI: 335800J4SLERP6S94P28 | Long             | DBT              | CORP              | IN        |    187500 | PA      | $147018.42    | 0.12%             | 2031-02-16      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR                               | Millicom International Cellular SA                                             | CUSIP: 000000000<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |    180000 | PA      | $167484.60    | 0.13%             | 2028-01-15      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| AI CANDELARIA SPAIN SLU                              | AI Candelaria Spain SA                                                         | CUSIP: 000000000<br>LEI: 213800L5KA2MJ5FKRZ02 | Long             | DBT              | CORP              | ES        |    235417 | PA      | $223504.59    | 0.18%             | 2028-12-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                             | Canadian Pacific Railway Co                                                    | CUSIP: 13645RBD5<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    310000 | PA      | $289245.50    | 0.23%             | 2024-12-02      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                  | JPMorgan Chase & Co                                                            | CUSIP: 46625HMN7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    285000 | PA      | $278869.65    | 0.22%             | 2025-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS         | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust | CUSIP: 93934FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301754 | PA      | $268671.49    | 0.21%             | 2035-10-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Bank                                                 | BANK 2017-BNK6                                                                 | CUSIP: 060352AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1014964 | PA      | $26953.95     | 0.02%             | 2060-07-15      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137BQC21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95363 | PA      | $113.66       | 0.00%             | 2023-03-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                                   | BSPRT 2021-FL6 Issuer Ltd                                                      | CUSIP: 05601HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    138000 | PA      | $134273.86    | 0.11%             | 2036-03-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                    | Citigroup Mortgage Loan Trust 2007-AR8                                         | CUSIP: 17313FAR3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | ABS-MBS          | CORP              | US        |   3228771 | PA      | $2454960.63   | 1.94%             | 2037-07-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust          | MF1 2021-FL7 Ltd                                                               | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    192000 | PA      | $183573.31    | 0.15%             | 2036-10-16      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust 2021-SAVE                                | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90902 | PA      | $84930.84     | 0.07%             | 2040-02-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                              | Regatta VI Funding Ltd                                                         | CUSIP: 75887NAW9<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $968700.00    | 0.77%             | 2034-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                       | CarVal CLO IV Ltd                                                              | CUSIP: 14687EAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $484500.00    | 0.38%             | 2034-07-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust              | Lendingpoint 2021-A Asset Securitization Trust                                 | CUSIP: 52607FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    390475 | PA      | $387299.89    | 0.31%             | 2028-12-15      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Go Daddy Operating Company, LLC                      | Go Daddy Operating Company, LLC 2022 Term Loan B5                              | CUSIP: 38017BAT3<br>LEI: 5493005GJOH8HLL11157 | Long             | LON              | CORP              | US        |    307737 | PA      | $307629.63    | 0.24%             | 2029-10-21      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                              | Loanpal Solar Loan 2021-1 Ltd                                                  | CUSIP: 53948PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    343852 | PA      | $259092.73    | 0.20%             | 2048-01-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                  | COMM 2018-HCLV Mortgage Trust                                                  | CUSIP: 20048KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $65655.72     | 0.05%             | 2033-09-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                       | Fannie Mae-Aces                                                                | CUSIP: 3136BCC73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1068850 | PA      | $921310.08    | 0.73%             | 2030-11-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                               | CUSIP: 91282CFP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9000000 | PA      | $8994375.00   | 7.11%             | 2025-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EMPRESA ELECTRICA COCHRA                             | Empresa Electrica Cochrane SpA                                                 | CUSIP: 000000000<br>LEI: 5493000S11JF8TJHYT07 | Long             | DBT              | CORP              | CL        |    132720 | PA      | $122512.50    | 0.10%             | 2027-05-14      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                  | Southern California Edison Co                                                  | CUSIP: 842400HC0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    285000 | PA      | $282982.20    | 0.22%             | 2024-04-01      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Securities LLC    | LCCM 2021-FL2 Trust                                                            | CUSIP: 50202KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    151000 | PA      | $146369.28    | 0.12%             | 2038-12-13      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                          | Diamond Resorts Owner Trust 2021-1                                             | CUSIP: 25273CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    520992 | PA      | $474221.07    | 0.37%             | 2033-11-21      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| FS Rialto 2019-FL1 Issuer, Ltd.                      | FS Rialto 2019-FL1                                                             | CUSIP: 30312UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     67280 | PA      | $66930.76     | 0.05%             | 2036-12-16      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                             | CUSIP: 29278NAM5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    260000 | PA      | $260660.40    | 0.21%             | 2024-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                  | American Express Co                                                            | CUSIP: 025816CV9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    145000 | PA      | $142118.85    | 0.11%             | 2024-05-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust          | MF1 Multifamily Housing Mortgage Loan Trust                                    | CUSIP: 55282XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    138000 | PA      | $133059.74    | 0.11%             | 2036-07-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                      | CSAIL 2017-CX9 Commercial Mortgage Trust                                       | CUSIP: 12595FAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1255008 | PA      | $22862.40     | 0.02%             | 2050-09-15      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd                                  | Macquarie Group Ltd                                                            | CUSIP: 55608JAL2<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    290000 | PA      | $288770.40    | 0.23%             | 2024-03-27      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                             | Avolon Holdings Funding Ltd                                                    | CUSIP: 05401AAB7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    290000 | PA      | $286937.60    | 0.23%             | 2023-10-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Level 3 Financing Inc.                               | Level 3 Financing Inc. 2019 Term Loan B                                        | CUSIP: 52729KAP1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |    329356 | PA      | $316447.09    | 0.25%             | 2027-03-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd      | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                         | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $239405.75    | 0.19%             | 2037-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| EQUS 2021-EQAZ Mortgage Trust                        | EQUS 2021-EQAZ Mortgage Trust                                                  | CUSIP: 29478JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180996 | PA      | $174270.27    | 0.14%             | 2038-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| SMR 2022-IND Mortgage Trust                          | SMR 2022-IND Mortgage Trust                                                    | CUSIP: 78458MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155299 | PA      | $149329.39    | 0.12%             | 2039-02-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                  | Iron Mountain, Inc. 2018 Term Loan B                                           | CUSIP: 46284NAQ2<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | LON              | CORP              | US        |    418411 | PA      | $413703.73    | 0.33%             | 2026-01-02      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Cable One, Inc.                                      | Cable One, Inc. 2021 Term Loan B4                                              | CUSIP: 12685LAG5<br>LEI: 549300648QS85T0XSH18 | Long             | LON              | CORP              | US        |    285600 | PA      | $279781.39    | 0.22%             | 2028-05-03      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                                   | BSPRT 2021-FL7 Issuer Ltd                                                      | CUSIP: 05602CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $191297.80    | 0.15%             | 2038-12-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                  | Charles Schwab Corp/The                                                        | CUSIP: 808513BZ7<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    295000 | PA      | $286902.25    | 0.23%             | 2027-03-03      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                | Entergy Louisiana LLC                                                          | CUSIP: 29364WBK3<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    310000 | PA      | $288823.90    | 0.23%             | 2024-10-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust 2022-ONL                                 | CUSIP: 95003WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $454737.42    | 0.36%             | 2039-12-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust          | MF1 2021-FL6 Ltd                                                               | CUSIP: 55283TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    150000 | PA      | $144113.25    | 0.11%             | 2036-07-16      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                       | Morgan Stanley Capital I Trust 2021-L6                                         | CUSIP: 61692CAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151000 | PA      | $133370.36    | 0.11%             | 2054-06-15      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                      | Residential Mortgage Loan Trust 2020-1                                         | CUSIP: 76119CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1125197 | PA      | $1071552.38   | 0.85%             | 2060-01-26      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| SS&C Technologies Inc.                               | SS&C Technologies Inc. 2018 Term Loan B5                                       | CUSIP: 78466DBF0<br>LEI: 549300KY09TR3J12JU49 | Long             | LON              | CORP              | US        |    414835 | PA      | $408535.61    | 0.32%             | 2025-04-16      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                       | MSC Trust 2021-ILP                                                             | CUSIP: 62479WAA9<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    180403 | PA      | $173524.27    | 0.14%             | 2023-11-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                             | Republic of South Africa Government International Bond                         | CUSIP: 836205AT1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    200000 | PA      | $193148.00    | 0.15%             | 2026-04-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                             | Capital One Financial Corp                                                     | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    285000 | PA      | $279576.45    | 0.22%             | 2026-07-24      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Element Solutions Inc.                               | Element Solutions Inc. 2019 Term Loan B1                                       | CUSIP: 72766TAD1<br>LEI: 549300FLGN6P5CU20J91 | Long             | LON              | CORP              | US        |    182343 | PA      | $182342.53    | 0.14%             | 2026-01-31      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| EMPRESA ELECTRICA ANGAMO                             | Empresa Electrica Angamos SA                                                   | CUSIP: 000000000<br>LEI: 529900PQ7VWZL30RZ733 | Long             | DBT              | CORP              | CL        |    113000 | PA      | $100626.50    | 0.08%             | 2029-05-25      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                             | Benchmark 2018-B1 Mortgage Trust                                               | CUSIP: 08162PAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1662166 | PA      | $33703.68     | 0.03%             | 2051-01-15      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                           | Verus Securitization Trust 2022-3                                              | CUSIP: 92538UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    823299 | PA      | $777178.44    | 0.61%             | 2067-02-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                 | Keurig Dr Pepper Inc                                                           | CUSIP: 49271VAL4<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    305000 | PA      | $289673.75    | 0.23%             | 2024-03-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                              | Hyundai Capital America                                                        | CUSIP: 44891ABY2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    335000 | PA      | $309674.00    | 0.24%             | 2024-09-17      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                          | Hertz Vehicle Financing LLC                                                    | CUSIP: 42806MAB5<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $320677.95    | 0.25%             | 2025-12-26      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                             | Benchmark 2019-B15 Mortgage Trust                                              | CUSIP: 08160KAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4057985 | PA      | $162334.08    | 0.13%             | 2072-12-15      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust        | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP                | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187129 | PA      | $173214.46    | 0.14%             | 2037-04-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Bank                                                 | BANK 2020-BNK26                                                                | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1304580 | PA      | $83298.89     | 0.07%             | 2063-03-15      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                 | Royal Bank of Canada                                                           | CUSIP: 78016EZ59<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    300000 | PA      | $290478.00    | 0.23%             | 2025-04-14      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                     | WFRBS Commercial Mortgage Trust 2013-C18                                       | CUSIP: 96221QAH6<br>LEI: 549300O5GNH0TNJ6B119 | Long             | ABS-MBS          | CORP              | US        |    713985 | PA      | $3454.54      | 0.00%             | 2046-12-15      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                                 | FS Rialto 2022-FL5 Issuer LLC                                                  | CUSIP: 30327MAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $295747.20    | 0.23%             | 2037-06-19      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                                             | BXMT 2021-FL4 Ltd                                                              | CUSIP: 05609GAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    138000 | PA      | $134713.94    | 0.11%             | 2038-05-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| SINGTEL GROUP TREASURY                               | SingTel Group Treasury Pte Ltd                                                 | CUSIP: 000000000<br>LEI: 2549002FQJ4364A54N70 | Long             | DBT              | CORP              | SG        |    200000 | PA      | $192630.03    | 0.15%             | 2025-06-30      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Asplundh Tree Expert, LLC                            | Asplundh Tree Expert, LLC 2021 Term Loan B                                     | CUSIP: 04538FAD1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    418577 | PA      | $418401.03    | 0.33%             | 2027-09-07      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                             | Marsh & McLennan Cos Inc                                                       | CUSIP: 571748BF8<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    285000 | PA      | $281044.20    | 0.22%             | 2024-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                               | UnitedHealth Group Inc                                                         | CUSIP: 91324PEG3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67680.20     | 0.05%             | 2027-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC Trust 2017-CHOP                                                           | CUSIP: 12651QAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29000 | PA      | $25923.19     | 0.02%             | 2032-07-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS                                  | Braskem Netherlands Finance BV                                                 | CUSIP: 000000000<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $193810.00    | 0.15%             | 2081-01-23      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC 2020-RPL3 Trust                                                           | CUSIP: 12656PAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    867224 | PA      | $826703.91    | 0.65%             | 2060-03-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| BROADCOM CRP / CAYMN FI                              | Broadcom Corp / Broadcom Cayman Finance Ltd                                    | CUSIP: 11134LAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     60000 | PA      | $56802.00     | 0.04%             | 2027-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| KT CORP                                              | KT Corp                                                                        | CUSIP: 000000000<br>LEI: 9884005ACF8449EANY26 | Long             | DBT              | CORP              | KR        |    200000 | PA      | $182124.00    | 0.14%             | 2026-07-18      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                         | GS Mortgage Securities Trust 2017-GS7                                          | CUSIP: 36254CAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373027 | PA      | $13931.99     | 0.01%             | 2050-08-10      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| SA GLOBAL SUKUK LTD                                  | SA Global Sukuk Ltd                                                            | CUSIP: 78397PAB7<br>LEI: 5493007DFAVKU7UOGR47 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $178766.00    | 0.14%             | 2026-06-17      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                  | Citigroup Commercial Mortgage Trust 2016-GC37                                  | CUSIP: 17290XAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381648 | PA      | $15685.68     | 0.01%             | 2049-04-10      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| LoanCore 2022-CRE7 Issuer Ltd.                       | LoanCore 2022-CRE7 Issuer Ltd                                                  | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $483632.50    | 0.38%             | 2037-01-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Conagra Brands Inc                                   | Conagra Brands Inc                                                             | CUSIP: 205887CA8<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |     47000 | PA      | $46334.48     | 0.04%             | 2024-05-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Horizon Therapeutics USA Inc.                        | Horizon Therapeutics USA Inc. 2021 Term Loan B2                                | CUSIP: 44055UAD7<br>LEI: 254900IS87RLPXY88S03 | Long             | LON              | CORP              | US        |    419674 | PA      | $419787.51    | 0.33%             | 2028-03-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| MEXICO GENERADORA DE ENE                             | Mexico Generadora de Energia S de rl                                           | CUSIP: 000000000<br>LEI: 635400GBINBYW1VUAD14 | Long             | DBT              | CORP              | MX        |    136700 | PA      | $131266.18    | 0.10%             | 2032-12-06      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| BXHPP TRUST                                          | BXHPP Trust 2021-FILM                                                          | CUSIP: 05609JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224000 | PA      | $207472.54    | 0.16%             | 2036-08-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                   | Panama Government International Bond                                           | CUSIP: 698299BE3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    250000 | PA      | $241790.00    | 0.19%             | 2025-03-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                             | CUSIP: 3137APJB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344602 | PA      | $331356.64    | 0.26%             | 2027-04-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                            | Anchorage Capital CLO 19 Ltd                                                   | CUSIP: 03328JAA5<br>LEI: 549300ZNOS7Q8W8H3S38 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1447800.00   | 1.14%             | 2034-10-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                 | Bank of America Corp                                                           | CUSIP: 06051GHE2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    195000 | PA      | $194857.65    | 0.15%             | 2024-03-05      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                         | Ecopetrol SA                                                                   | CUSIP: 279158AK5<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    100000 | PA      | $95330.00     | 0.08%             | 2025-01-16      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BANK HAPOALIM                                        | Bank Hapoalim BM                                                               | CUSIP: 000000000<br>LEI: B6ARUI4946ST4S7WOU88 | Long             | DBT              | CORP              | IL        |    200000 | PA      | $172096.00    | 0.14%             | 2032-01-21      | Fixed         | 3.26%                 | Yes           |                  2 | On Loan: No      |
| Rialto Real Estate Fund LP                           | RIAL 2022-FL8 Issuer Ltd                                                       | CUSIP: 76243NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    250000 | PA      | $243750.00    | 0.19%             | 2037-01-19      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust               | Residential Asset Securitization Trust 2006-A6                                 | CUSIP: 76113FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2585499 | PA      | $636627.40    | 0.50%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                             | CUSIP: 3137B22L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    847455 | PA      | $780183.29    | 0.62%             | 2043-03-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                              | CUSIP: 3136B1M50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162110 | PA      | $156284.66    | 0.12%             | 2047-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                     | Great Wolf Trust 2019-WOLF                                                     | CUSIP: 39152TAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $118356.07    | 0.09%             | 2036-12-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| BBVA COLOMBIA SA                                     | Banco Bilbao Vizcaya Argentaria Colombia SA                                    | CUSIP: 000000000<br>LEI: 5493009W53901OCHI065 | Long             | DBT              | CORP              | CO        |    200000 | PA      | $192188.00    | 0.15%             | 2025-04-21      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| KFC Holding Co.                                      | KFC Holding Co. 2021 Term Loan B                                               | CUSIP: 72584DAF1<br>LEI: 549300G2LG4YUB3MM115 | Long             | LON              | CORP              | US        |    268990 | PA      | $265963.60    | 0.21%             | 2028-03-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                              | Nissan Motor Acceptance Co LLC                                                 | CUSIP: 65480CAB1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     85000 | PA      | $77475.80     | 0.06%             | 2024-09-16      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Securities LLC    | LCCM 2021-FL3 Trust                                                            | CUSIP: 50190FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    181000 | PA      | $175863.76    | 0.14%             | 2038-11-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Sapphire Aviation Finance I Limited                  | SAPPHIRE AVIATION FINANCE II LTD                                               | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    373315 | PA      | $282270.44    | 0.22%             | 2040-03-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                     | CARLYLE US CLO 2021-1 LTD                                                      | CUSIP: 14316MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $968499.00    | 0.77%             | 2034-04-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS                               | Zimmer Biomet Holdings Inc                                                     | CUSIP: 98956PAU6<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |    310000 | PA      | $288507.70    | 0.23%             | 2024-11-22      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                               | CUSIP: 912828R28<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |         0 | PA      | $0.00         | 0.00%             | 2023-04-30      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| CHCP 2021-FL1 Ltd.                                   | CHCP 2021-FL1 Ltd                                                              | CUSIP: 12546JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    281511 | PA      | $276879.07    | 0.22%             | 2038-02-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                   | STWD 2019-FL1 Ltd                                                              | CUSIP: 78485WAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $98139.60     | 0.08%             | 2038-07-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                           | CUSIP: 06051GJU4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     90000 | PA      | $88630.20     | 0.07%             | 2025-04-22      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| BANK LEUMI LE-ISRAEL                                 | Bank Leumi Le-Israel BM                                                        | CUSIP: 000000000<br>LEI: 7JDSZWRGUQY2DSTWCR57 | Long             | DBT              | CORP              | IL        |    200000 | PA      | $176976.00    | 0.14%             | 2031-01-29      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| VMC Finance LLC                                      | VMC Finance 2022-FL5 LLC                                                       | CUSIP: 91835BAA3<br>LEI: 549300QK6J0UZ3WZJ014 | Long             | ABS-CBDO         | CORP              | US        |    450000 | PA      | $438029.10    | 0.35%             | 2039-02-18      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                 | Freeport-McMoRan Inc                                                           | CUSIP: 35671DCE3<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    150000 | PA      | $139258.50    | 0.11%             | 2028-03-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                       | Morgan Stanley Capital I Trust 2019-PLND                                       | CUSIP: 61691XAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127000 | PA      | $115764.42    | 0.09%             | 2036-05-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                        | UBS Commercial Mortgage Trust 2017-C1                                          | CUSIP: 90276EAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    607071 | PA      | $30822.78     | 0.02%             | 2050-06-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                | CUSIP: 3140J9VE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    707097 | PA      | $669560.24    | 0.53%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ingersoll-Rand Services Company                      | Ingersoll-Rand Services Company 2020 USD Spinco Term Loan                      | CUSIP: 365556AU3<br>LEI: 549300YHGS5RRRQQ4T26 | Long             | LON              | CORP              | US        |    443165 | PA      | $440210.87    | 0.35%             | 2027-03-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| NLY Commercial Mortgage Trust                        | NLY Commercial Mortgage Trust                                                  | CUSIP: 629167AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    120000 | PA      | $117600.00    | 0.09%             | 2036-02-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS                               | BBVA Bancomer SA/Texas                                                         | CUSIP: 000000000<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |    200000 | PA      | $195770.00    | 0.15%             | 2029-11-12      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                  | American Express Co                                                            | CUSIP: 025816CR8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    140000 | PA      | $139507.20    | 0.11%             | 2025-03-04      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust                              | Luminent Mortgage Trust 2007-1                                                 | CUSIP: 55028CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2608802 | PA      | $2309528.97   | 1.83%             | 2036-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BRIGHTHSE FIN GLBL FUND                              | Brighthouse Financial Global Funding                                           | CUSIP: 10921U2D9<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |    135000 | PA      | $131935.50    | 0.10%             | 2023-06-28      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                              | TRTX 2022-FL5 Issuer Ltd                                                       | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $192710.40    | 0.15%             | 2039-02-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                | Republic Services Inc                                                          | CUSIP: 760759AU4<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    290000 | PA      | $277976.60    | 0.22%             | 2024-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                         | GS Mortgage Securities Corportation Trust 2021-IP                              | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181000 | PA      | $171585.19    | 0.14%             | 2036-10-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                | CUSIP: 31418D4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    845056 | PA      | $753182.42    | 0.60%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                               | Marlette Funding Trust 2021-1                                                  | CUSIP: 57110NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $617506.79    | 0.49%             | 2031-06-16      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                        | Commonbond Student Loan Trust 2018-BGS                                         | CUSIP: 20268MAC0<br>LEI: 549300EJIXF1G1X7PN20 | Long             | ABS-O            | CORP              | US        |    131773 | PA      | $122307.84    | 0.10%             | 2045-09-25      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Gray Television, Inc.                                | Gray Television, Inc. 2021 Term Loan D                                         | CUSIP: 389376AZ7<br>LEI: 529900TM5726KDN7UU35 | Long             | LON              | CORP              | US        |     79200 | PA      | $77079.82     | 0.06%             | 2028-12-01      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                              | CUSIP: 3136A4T25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296323 | PA      | $289302.25    | 0.23%             | 2026-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                                 | CUSIP: 6174468W2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    280000 | PA      | $278272.40    | 0.22%             | 2024-01-25      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust 2021-C60                                 | CUSIP: 95003DBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151000 | PA      | $132821.09    | 0.10%             | 2054-08-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Walker & Dunlop, Inc.                                | Walker & Dunlop, Inc. 2021 Term Loan                                           | CUSIP: 93148QAG5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     39600 | PA      | $38907.00     | 0.03%             | 2028-12-16      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC                                | USASF Receivables 2020-1 LLC                                                   | CUSIP: 90353QAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74262 | PA      | $74129.90     | 0.06%             | 2024-05-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                    | CUSIP: 694308KE6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    115000 | PA      | $113268.10    | 0.09%             | 2025-06-08      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                              | HCA Inc                                                                        | CUSIP: 404119BN8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    290000 | PA      | $288410.80    | 0.23%             | 2024-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Bill                                                    | CUSIP: 912796XZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  21800000 | PA      | $21713029.12  | 17.16%            | 2023-02-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                | VOLT C LLC                                                                     | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430170 | PA      | $384092.92    | 0.30%             | 2051-05-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| WMG Acquisition Corp.                                | WMG Acquisition Corp. 2021 Term Loan G                                         | CUSIP: 92929LAV0<br>LEI: 549300NAS11NXI33CP80 | Long             | LON              | CORP              | US        |    277767 | PA      | $274989.05    | 0.22%             | 2028-01-20      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                              | HalseyPoint CLO 3 Ltd                                                          | CUSIP: 40638UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1130450.00   | 0.89%             | 2032-11-30      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2006-J7                                                 | CUSIP: 23244FAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    417950 | PA      | $206433.75    | 0.16%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                      | CSAIL 2017-C8 Commercial Mortgage Trust                                        | CUSIP: 12595BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244394 | PA      | $9194.63      | 0.01%             | 2050-06-15      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                | Cantor Commercial Real Estate Lending 2019-CF1                                 | CUSIP: 12529MDE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163000 | PA      | $152191.78    | 0.12%             | 2052-05-15      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Setanta Aircraft Leasing Designated Activity Company | Setanta Aircraft Leasing Designated Activity Company Term Loan B               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | IE        |    185000 | PA      | $184445.00    | 0.15%             | 2028-11-05      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| BANCO NACIONAL COM EXT                               | Banco Nacional de Comercio Exterior SNC/Cayman Islands                         | CUSIP: 000000000<br>LEI: 4469000001BL6VG3DH44 | Long             | DBT              | CORP              | MX        |    200000 | PA      | $166154.00    | 0.13%             | 2031-08-11      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Clean Harbors Inc.                                   | Clean Harbors Inc. 2021 Incremental Term Loan B                                | CUSIP: 18449EAF7<br>LEI: 5493000SJVZVZJKHJF48 | Long             | LON              | CORP              | US        |     74250 | PA      | $74053.98     | 0.06%             | 2028-10-08      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                 | Colombia Government International Bond                                         | CUSIP: 195325CX1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    200000 | PA      | $188040.00    | 0.15%             | 2026-01-28      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                    | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    175000 | PA      | $170674.00    | 0.13%             | 2024-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                     | CUSIP: 92343VEP5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    285000 | PA      | $287277.15    | 0.23%             | 2025-05-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Catalent Pharma Solutions Inc.                       | Catalent Pharma Solutions Inc. 2021 Term Loan B3                               | CUSIP: 14880BAH4<br>LEI: 549300HALRZ339MSTH85 | Long             | LON              | CORP              | US        |     34561 | PA      | $34091.71     | 0.03%             | 2028-02-22      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Trans Union, LLC                                     | Trans Union, LLC 2019 Term Loan B5                                             | CUSIP: 89334GAX2<br>LEI: X8NPN6PWJOM1QCTYFV34 | Long             | LON              | CORP              | US        |    186424 | PA      | $184110.82    | 0.15%             | 2026-11-16      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                  | Citigroup Commercial Mortgage Trust 2019-PRM                                   | CUSIP: 29429JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261000 | PA      | $258246.05    | 0.20%             | 2036-05-10      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                         | Broadcom Inc                                                                   | CUSIP: 11135FBB6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    230000 | PA      | $218081.40    | 0.17%             | 2025-11-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                     | Bank of Montreal                                                               | CUSIP: 06368FAH2<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    280000 | PA      | $278521.60    | 0.22%             | 2024-03-08      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                            | CUSIP: 46647PDB9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    145000 | PA      | $143731.25    | 0.11%             | 2026-04-26      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Regatta XXIII Funding Ltd                            | Regatta XXIII Funding Ltd                                                      | CUSIP: 75889FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2265000 | PA      | $2185951.50   | 1.73%             | 2035-01-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| KREF 2021-FL2 Ltd                                    | KREF 2021-FL2 Ltd                                                              | CUSIP: 48275RAC1<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $233418.50    | 0.18%             | 2039-02-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                             | Warnermedia Holdings Inc                                                       | CUSIP: 55903VAU7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    305000 | PA      | $291616.60    | 0.23%             | 2025-03-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| SASOL FINANCING USA LLC                              | Sasol Financing USA LLC                                                        | CUSIP: 80386WAC9<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |    200000 | PA      | $177210.00    | 0.14%             | 2026-09-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                | Athene Global Funding                                                          | CUSIP: 04685A2X8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    295000 | PA      | $289430.40    | 0.23%             | 2024-05-24      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| MSCG Trust                                           | MSCG Trust 2018-SELF                                                           | CUSIP: 55358PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72196 | PA      | $70786.31     | 0.06%             | 2037-10-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                          | Oracle Corp                                                                    | CUSIP: 68389XCF0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    275000 | PA      | $280904.25    | 0.22%             | 2025-11-10      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                            | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15                    | CUSIP: 61763KBB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    583215 | PA      | $2860.85      | 0.00%             | 2047-04-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                               | Marriott International Inc/MD                                                  | CUSIP: 571900BB4<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    295000 | PA      | $288737.15    | 0.23%             | 2024-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CLNC 2019-FL1, Ltd                                   | CLNC 2019-FL1 Ltd                                                              | CUSIP: 12565DAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    131000 | PA      | $126721.15    | 0.10%             | 2035-08-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| ADANI PORTS AND SPECIAL                              | Adani Ports & Special Economic Zone Ltd                                        | CUSIP: 000000000<br>LEI: 335800QOAXP5TM7OYP69 | Long             | DBT              | CORP              | IN        |    200000 | PA      | $175027.59    | 0.14%             | 2027-07-30      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust        | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4                  | CUSIP: 46645UAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1359147 | PA      | $24172.62     | 0.02%             | 2049-12-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                          | Legacy Mortgage Asset Trust 2021-GS2                                           | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    344258 | PA      | $311171.50    | 0.25%             | 2061-04-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                | VOLT CI LLC                                                                    | CUSIP: 92873EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1452674 | PA      | $1288400.36   | 1.02%             | 2051-05-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                            | BPR Trust 2021-TY                                                              | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192000 | PA      | $182366.33    | 0.14%             | 2038-09-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                            | BPR Trust 2022-OANA                                                            | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $246177.76    | 0.19%             | 2037-04-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                | CUSIP: 31418CDJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162352 | PA      | $149546.15    | 0.12%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| arbor multifamily mortgage securities trust          | Arbor Multifamily Mortgage Securities Trust 2021-MF2                           | CUSIP: 03881VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139000 | PA      | $122304.91    | 0.10%             | 2054-06-15      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| GNL Quintero SA                                      | GNL Quintero SA                                                                | CUSIP: 000000000<br>LEI: 549300JJJIQXE6E1QY27 | Long             | DBT              | CORP              | CL        |    329440 | PA      | $318795.79    | 0.25%             | 2029-07-31      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-18

**Name of Applicant:** SSGA Active Trust

**Signature:** Arthur Jensen

**Name of Signer:** Arthur Jensen

**Title:** Deputy Treasurer