# EDGAR Filing Document

**Accession Number:** 0000816153
**File Stem:** 0001410368-25-029194
**Filing Date:** 2025-11
**Character Count:** 144347
**Document Hash:** 0111d24296db3d2220b1d96fc5c72988
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-029194.hdr.sgml**: 20251124

**ACCESSION NUMBER**: 0001410368-25-029194

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251124

**DATE AS OF CHANGE**: 20251124

**PERIOD START**: 20250930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** THORNBURG INVESTMENT TRUST
- **CENTRAL INDEX KEY:** 0000816153

**ORGANIZATION NAME:**
- **EIN:** 061158764
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05201
- **FILM NUMBER:** 251510270

**BUSINESS ADDRESS:**
- **STREET 1:** 2300 NORTH RIDGETOP ROAD
- **CITY:** SANTA FE
- **STATE:** NM
- **ZIP:** 87506-8361
- **BUSINESS PHONE:** 5059840200

**MAIL ADDRESS:**
- **STREET 1:** 2300 NORTH RIDGETOP ROAD
- **CITY:** SANTA FE
- **STATE:** NM
- **ZIP:** 87506-8361

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** THORNBURG INCOME TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LIMITED TERM TRUST
- **DATE OF NAME CHANGE:** 19870816

## Series and Classes Contracts Data

### Thornburg Investment Income Builder Fund (Series ID: S000011851)

| Class ID   | Class Name                                          | Ticker Symbol   |
|:---|:---|:---|
| C000032380 | Thornburg Investment Income Builder Fund - Class A  | TIBAX           |
| C000032381 | Thornburg Investment Income Builder Fund - Class C  | TIBCX           |
| C000032382 | Thornburg Investment Income Builder Fund - Class I  | TIBIX           |
| C000042675 | Thornburg Investment Income Builder Fund - Class R3 | TIBRX           |
| C000047041 | Thornburg Investment Income Builder Fund - Class R5 | TIBMX           |
| C000058461 | Thornburg Investment Income Builder Fund - Class R4 | TIBGX           |
| C000177479 | Thornburg Investment Income Builder Fund - Class R6 | TIBOX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** THORNBURG INVESTMENT TRUST

- **b. Investment Company Act file number:** 811-05201

- **c. CIK number of Registrant:** 0000816153

- **d. LEI of Registrant:** 5493001XM52H8S4WYY82

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

  - **Street Address 1:** 2300 NORTH RIDGETOP ROAD

  - **City:** SANTA FE

  - **State:** NM

  - **Foreign country:** US

  - **Zip / Postal Code:** 87506-8361

  - **Telephone number:** 505-984-0200

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

- **a. Name of Series:** Thornburg Investment Income Builder Fund

- **b. EDGAR series identifier (if any):** S000011851

- **c. LEI of Series:** 549300TMVK6SMZQZYS83

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

- **a. Date of fiscal year-end:** 2025-09-30

- **b. Date as of which information is reported:** 2025-09-30

**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:** $17778359586.59

**Total Liabilities:** $44978240.73

**Net Assets:** $17733381345.86

**Delayed Delivery Securities:** $6222223.00

**Cash Not Reported:** $24718449.92

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000032380 | 1.49%                | 3.24%                | 2.29%                |
| Class ID C000058461 | 1.47%                | 3.22%                | 2.24%                |
| Class ID C000042675 | 1.49%                | 3.18%                | 2.26%                |
| Class ID C000047041 | 1.52%                | 3.27%                | 2.29%                |
| Class ID C000032382 | 1.56%                | 3.24%                | 2.30%                |
| Class ID C000177479 | 1.54%                | 3.26%                | 2.28%                |
| Class ID C000032381 | 1.46%                | 3.15%                | 2.23%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $74817548.09             | $22637493.40                               |
| Month 2  | $-14751162.62            | $598694590.90                              |
| Month 3  | $-98387486.93            | $442298633.93                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| HCL Technologies Ltd                                    | HCL Technologies Ltd                                                      | CUSIP: 000000000<br>LEI: 549300C1F8OLYSOQYB65 | Long             | EC               | CORP              | IN        |   2092600 | NS      | $32663308.58   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| SUNOCO LP                                               | Sunoco LP                                                                 | CUSIP: 86765KAE9<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |   7588000 | PA      | $7723218.16    | 0.04%             | 2030-09-18      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                      | Chase Home Lending Mortgage Trust 2019-1                                  | CUSIP: 16159WBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    950275 | PA      | $831278.84     | 0.00%             | 2050-03-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2021-13INV                                        | CUSIP: 33853HBM2<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        | 149436193 | PA      | $1418194.30    | 0.01%             | 2051-12-30      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2020-J2                                                         | CUSIP: 12568PBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  94779912 | PA      | $1353466.62    | 0.01%             | 2051-01-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                 | United Auto Credit Securitization Trust 2022-1                            | CUSIP: 90944DAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37000 | PA      | $1288568.18    | 0.01%             | 2028-11-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NAVOI MINING METALLURGIC                                | Navoi Mining & Metallurgical Combinat                                     | CUSIP: 63890CAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | UZ        |   7500000 | PA      | $7801125.00    | 0.04%             | 2028-10-17      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                     | SG Residential Mortgage Trust 2019-3                                      | CUSIP: 78432BAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3366214 | PA      | $2905023.16    | 0.02%             | 2059-09-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Equitable Holdings Inc                                  | Equitable Holdings Inc                                                    | CUSIP: 29452E101<br>LEI: 549300FIBAKMNHPZ4009 | Long             | EC               | CORP              | US        |   4814078 | NS      | $244458880.84  | 1.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Cisco Systems Inc                                       | Cisco Systems Inc                                                         | CUSIP: 17275R102<br>LEI: 549300LKFJ962MZ46593 | Long             | EC               | CORP              | US        |   2372335 | NS      | $162315160.70  | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| MidCap Financial Investment Corp                        | MidCap Financial Investment Corp                                          | CUSIP: 03761U502<br>LEI: 5493005P14I7WFB3FW47 | Long             | EC               | CORP              | US        |   3137783 | NS      | $37622018.17   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| QORVO INC                                               | Qorvo Inc                                                                 | CUSIP: 74736KAJ0<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |   9800000 | PA      | $9010904.00    | 0.05%             | 2031-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                      | Chase Mortgage Finance Corp                                               | CUSIP: 16164AAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    569272 | PA      | $525243.13     | 0.00%             | 2045-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| KEHE DIST/FIN / NEXTWAVE                                | KeHE Distributors LLC / KeHE Finance Corp / NextWave Distribution Inc     | CUSIP: 487526AC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  24136000 | PA      | $25393726.96   | 0.14%             | 2029-02-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Foresea Holding SA                                      | Foresea Holding SA                                                        | CUSIP: 262051105<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |     14782 | NS      | $468589.40     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Foresea Holding SA                                      | Foresea Holdings SA                                                       | CUSIP: 262051204<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |    133041 | NS      | $4217399.70    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| Social Professional Loan Program LLC                    | SoFi Professional Loan Program 2021-B Trust                               | CUSIP: 83405N106<br>LEI: 5493002WMPR84WZ75V46 | Long             | ABS-O            | CORP              | US        |     23000 | PA      | $602125.21     | 0.00%             | 2047-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2021-INV1                             | CUSIP: 64829WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  87369754 | PA      | $3166882.75    | 0.02%             | 2051-06-25      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                            | Vontier Corp                                                              | CUSIP: 928881AD3<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |   5832000 | PA      | $5553113.76    | 0.03%             | 2028-04-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| COGENT COMMS GRP / FIN                                  | Cogent Communications Group LLC / Cogent Finance Inc                      | CUSIP: 19240CAE3<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9993900.00    | 0.06%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WE SODA INV HOLDING PLC                                 | WE Soda Investments Holding PLC                                           | CUSIP: 92943TAA1<br>LEI: 984500SE38C07DB47A90 | Long             | DBT              | CORP              | GB        |   2000000 | PA      | $1943360.00    | 0.01%             | 2028-10-06      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| WE SODA INV HOLDING PLC                                 | WE Soda Investments Holding PLC                                           | CUSIP: 92943TAC7<br>LEI: 984500SE38C07DB47A90 | Long             | DBT              | CORP              | GB        |   4150000 | PA      | $3974787.00    | 0.02%             | 2031-02-14      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2020-J1                                                         | CUSIP: 12559YBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    646115 | PA      | $414192.52     | 0.00%             | 2049-10-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KBN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1771583 | PA      | $1549343.23    | 0.01%             | 2050-10-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                                  | Marlette Funding Trust 2021-1                                             | CUSIP: 57110N106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9550 | PA      | $129824.68     | 0.00%             | 2031-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2022-NQM5 Trust                                                      | CUSIP: 12663DAE4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   3123692 | PA      | $3110831.51    | 0.02%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2020-J2                                                         | CUSIP: 12568PCK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164000 | PA      | $77315.38      | 0.00%             | 2051-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                      | Aqua Finance Trust 2020-A                                                 | CUSIP: 038413AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6055843 | PA      | $5916641.34    | 0.03%             | 2046-07-17      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| MALAMUTE ENERGY, INC.                                   | MALAMUTE ENERGY, INC.                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     12439 | NS      | $12439.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| ENSTAR GROUP LTD                                        | Enstar Group Ltd                                                          | CUSIP: 29359UAC3<br>LEI: 213800AMAL5QFXVUCN04 | Long             | DBT              | CORP              | BM        |   8354000 | PA      | $7467473.52    | 0.04%             | 2031-09-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BAE Systems PLC                                         | BAE Systems PLC                                                           | CUSIP: 000000000<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | EC               | CORP              | GB        |  11749400 | NS      | $325358275.84  | 1.83%             |  |  |  | No            |                  1 | On Loan: No      |
| Snam SpA                                                | Snam SpA                                                                  | CUSIP: 000000000<br>LEI: 8156002278562044AF79 | Long             | EC               | CORP              | IT        |  15827000 | NS      | $95101139.77   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2020-J1                                                         | CUSIP: 12559YAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  49082454 | PA      | $1036047.16    | 0.01%             | 2049-10-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                     | Homeward Opportunities Fund I Trust 2020-2                                | CUSIP: 43789XAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15000000 | PA      | $14736870.00   | 0.08%             | 2065-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                 | Kinder Morgan Energy Partners LP                                          | CUSIP: 494550BP0<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9165500.00    | 0.05%             | 2043-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                     | Petroleos Mexicanos                                                       | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   5650000 | PA      | $5135115.50    | 0.03%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                       | Kinder Morgan Inc                                                         | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4860900.00    | 0.03%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2789928 | PA      | $85940.94      | 0.00%             | 2050-10-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| SKY1 Trust                                              | SKY Trust 2025-LINE                                                       | CUSIP: 830941AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9714035 | PA      | $9690640.14    | 0.05%             | 2042-04-15      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| NUFARM AUSTRALIA/AMERICA                                | Nufarm Australia Ltd / Nufarm Americas Inc                                | CUSIP: 67052NAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   3000000 | PA      | $2747040.00    | 0.02%             | 2030-01-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust 2021-P4                                    | CUSIP: 14687KAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17500 | PA      | $2138244.22    | 0.01%             | 2028-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SUMMIT MIDSTREAM                                        | Summit Midstream Corp                                                     | CUSIP: 86614G200<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    160970 | NS      | $25908992.35   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4397865 | PA      | $3015241.94    | 0.02%             | 2050-10-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Singapore Telecommunications Ltd                        | Singapore Telecommunications Ltd                                          | CUSIP: 000000000<br>LEI: 2549003XJKIQO8YDYD89 | Long             | EC               | CORP              | SG        |  56926000 | NS      | $182258521.65  | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Sequoia Mortgage Trust                                  | Sequoia Mortgage Trust 2017-7                                             | CUSIP: 81746GCD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1824385 | PA      | $1632842.27    | 0.01%             | 2047-10-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Tesco PLC                                               | Tesco PLC                                                                 | CUSIP: 000000000<br>LEI: 2138002P5RNKC5W2JZ46 | Long             | EC               | CORP              | GB        |  83026330 | NS      | $497454508.98  | 2.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2020-AFC1 Trust                                                      | CUSIP: 12597MAD7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   3808500 | PA      | $3232495.76    | 0.02%             | 2050-02-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                              | AbbVie Inc                                                                | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |    374958 | NS      | $86817775.32   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                            | CUSIP: 61747S504<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EP               | CORP              | US        |    120000 | NS      | $2569200.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2020-J2                                                         | CUSIP: 12568PCL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    655000 | PA      | $262407.60     | 0.00%             | 2051-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| HERCULES CAPITAL INC                                    | Hercules Capital Inc                                                      | CUSIP: 427096AH5<br>LEI: 549300UJ5OC256GR2B73 | Long             | DBT              | CORP              | US        |   4098000 | PA      | $4025752.26    | 0.02%             | 2026-09-16      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| LKQ CORP                                                | LKQ Corp                                                                  | CUSIP: 501889AF6<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | DBT              | CORP              | US        |   5840000 | PA      | $6231922.40    | 0.04%             | 2033-06-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AEGEA FINANCE SARL                                      | Aegea Finance Sarl                                                        | CUSIP: 00775CAC0<br>LEI: 213800V6WTKUT1XWIZ47 | Long             | DBT              | CORP              | LU        |   9500000 | PA      | $10064585.00   | 0.06%             | 2031-01-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust            | Wells Fargo Mortgage Backed Securities 2021-INV1 Trust                    | CUSIP: 95003KAX0<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        | 158422392 | PA      | $4533145.84    | 0.03%             | 2051-08-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                | OCP SA                                                                    | CUSIP: 67091TAC9<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |   5000000 | PA      | $4996150.00    | 0.03%             | 2025-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust            | Wells Fargo Mortgage Backed Securities 2021-INV1 Trust                    | CUSIP: 95003KBL5<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |   3211553 | PA      | $2634182.10    | 0.01%             | 2051-08-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2020-7                                           | CUSIP: 46591XCM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2260779 | PA      | $1100501.03    | 0.01%             | 2051-01-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2021-13INV                                        | CUSIP: 33853HBV2<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |  12388493 | PA      | $132857.91     | 0.00%             | 2051-12-30      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 19-1B PTT                                  | American Airlines 2019-1 Class B Pass Through Trust                       | CUSIP: 02379DAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4817054 | PA      | $4606548.76    | 0.03%             | 2028-02-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2020-H1                   | Galton Funding Mortgage Trust 2020-H1                                     | CUSIP: 36418HAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4379900 | PA      | $3496166.13    | 0.02%             | 2060-01-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| DELEK LOG PART/FINANCE                                  | Delek Logistics Partners LP / Delek Logistics Finance Corp                | CUSIP: 24665FAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  13230000 | PA      | $13799948.40   | 0.08%             | 2029-03-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust                 | Mello Mortgage Capital Acceptance 2021-INV2                               | CUSIP: 58549XBQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  89212322 | PA      | $375012.91     | 0.00%             | 2051-08-25      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| ASR Nederland NV                                        | ASR Nederland NV                                                          | CUSIP: 000000000<br>LEI: 7245000G0HS48PZWUD53 | Long             | EC               | CORP              | NL        |   1051300 | NS      | $71316667.29   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                                 | Energean Israel Finance Ltd                                               | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |   6500000 | PA      | $6378840.00    | 0.04%             | 2028-03-30      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2021-13INV                                        | CUSIP: 33853HBE0<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |   2301133 | PA      | $1894395.08    | 0.01%             | 2051-12-30      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2020-2                                            | CUSIP: 33851KBG0<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |  88805453 | PA      | $2929088.03    | 0.02%             | 2050-08-25      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Endesa SA                                               | Endesa SA                                                                 | CUSIP: 000000000<br>LEI: 549300LHK07F2CHV4X31 | Long             | EC               | CORP              | ES        |  11805557 | NS      | $377139362.13  | 2.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Cogent IPv4 LLC                                         | Cogent Ipv4 LLC                                                           | CUSIP: 19240JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4385000 | PA      | $4552974.31    | 0.03%             | 2054-05-25      | Fixed         | 7.92%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust                 | Mello Mortgage Capital Acceptance 2021-INV3                               | CUSIP: 585491BZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1856011 | PA      | $1040005.87    | 0.01%             | 2051-10-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                     | SG Residential Mortgage Trust 2019-3                                      | CUSIP: 78432BAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39759020 | PA      | $2217368.49    | 0.01%             | 2059-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | BNP Paribas SA                                                            | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | EC               | CORP              | FR        |   7431300 | NS      | $674682805.56  | 3.80%             |  |  |  | No            |                  1 | On Loan: No      |
| Shell PLC                                               | Shell PLC                                                                 | CUSIP: 000000000<br>LEI: 21380068P1DRHMJ8KU70 | Long             | EC               | CORP              | GB        |   2735600 | NS      | $97367566.40   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| PROSUS NV                                               | Prosus NV                                                                 | CUSIP: 74365PAE8<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   5000000 | PA      | $3373500.00    | 0.02%             | 2051-02-08      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                     | SG Residential Mortgage Trust 2019-3                                      | CUSIP: 78432BAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40954966 | PA      | $409.55        | 0.00%             | 2059-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM INT FIN                                | Deutsche Telekom International Finance BV                                 | CUSIP: 25156PAC7<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |  26150000 | PA      | $30825358.50   | 0.17%             | 2030-06-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Chimera Investment Corp                                 | Chimera Investment Corp                                                   | CUSIP: 16934Q802<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EC               |  | US        |   4947862 | NS      | $65410735.64   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Inc                                           | Citigroup Inc                                                             | CUSIP: 172967424<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EC               | CORP              | US        |   6986967 | NS      | $709177150.50  | 4.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Visio Trust                                             | Visio 2022-1 Trust                                                        | CUSIP: 92838CAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5351000 | PA      | $5332174.06    | 0.03%             | 2057-08-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                          | Open Text Corp                                                            | CUSIP: 683715AD8<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |  10000000 | PA      | $9455200.00    | 0.05%             | 2029-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                               | Prosus NV                                                                 | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  11800000 | PA      | $10706494.00   | 0.06%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                  | Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4                | CUSIP: 59020ULT0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |    538972 | PA      | $510407.54     | 0.00%             | 2034-08-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2022-2                                           | CUSIP: 46655DCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1795512 | PA      | $742752.37     | 0.00%             | 2052-08-25      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Samsung Electronics Co Ltd                              | Samsung Electronics Co Ltd                                                | CUSIP: 000000000<br>LEI: 9884007ER46L6N7EI764 | Long             | EC               | CORP              | KR        |   6955559 | NS      | $415930579.88  | 2.35%             |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200920 | PA      | $183012.35     | 0.00%             | 2050-10-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| BIM Birlesik Magazalar AS                               | BIM Birlesik Magazalar AS                                                 | CUSIP: 000000000<br>LEI: 7890001GCDJQD8DJKE29 | Long             | EC               | CORP              | TR        |   5157800 | NS      | $67112899.48   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2020-2                                            | CUSIP: 33851KBH8<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |  15220793 | PA      | $411207.98     | 0.00%             | 2050-08-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| CNTL AMR BOTTLING CORP                                  | Central American Bottling Corp / CBC Bottling Holdco SL / Beliv Holdco SL | CUSIP: 15239XAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | VG        |  10443000 | PA      | $10312253.64   | 0.06%             | 2029-04-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2025-R1                                         | CUSIP: 89183DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9421258 | PA      | $8388137.72    | 0.05%             | 2057-11-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                       | Citigroup Mortgage Loan Trust 2020-EXP1                                   | CUSIP: 17328JAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31093547 | PA      | $1000901.27    | 0.01%             | 2060-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust            | Wells Fargo Mortgage Backed Securities 2020-3 Trust                       | CUSIP: 95002TAW4<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        | 132363438 | PA      | $1155241.62    | 0.01%             | 2050-06-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2021-13INV                                        | CUSIP: 33853HBN0<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |  11304500 | PA      | $336756.52     | 0.00%             | 2051-12-30      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2022-2                                           | CUSIP: 46655DCS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1644056 | PA      | $1076219.85    | 0.01%             | 2052-08-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                     | Petroleos Mexicanos                                                       | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   3000000 | PA      | $2969490.00    | 0.02%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust             | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                     | CUSIP: 38149XAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42000 | PA      | $1777534.50    | 0.01%             | 2051-06-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Orange SA                                               | Orange SA                                                                 | CUSIP: 000000000<br>LEI: 969500MCOONR8990S771 | Long             | EC               | CORP              | FR        |  69866380 | NS      | $1132788309.04 | 6.39%             |  |  |  | No            |                  1 | On Loan: No      |
| HORACE MANN EDUCATORS CO                                | Horace Mann Educators Corp                                                | CUSIP: 440327AL8<br>LEI: 254900G5YAV3A2YK8T32 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10729300.00   | 0.06%             | 2028-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                        | Antares Holdings LP                                                       | CUSIP: 03666HAE1<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2919360.00    | 0.02%             | 2027-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                         | Fair Isaac Corp                                                           | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6808830.00    | 0.04%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Medtronic PLC                                           | Medtronic PLC                                                             | CUSIP: 000000000<br>LEI: 549300GX3ZBSQWUXY261 | Long             | EC               | CORP              | IE        |   1829695 | NS      | $174260151.80  | 0.98%             |  |  |  | No            |                  1 | On Loan: No      |
| Xerox Holdings Corp                                     | Xerox Holdings Corp 2023 Term Loan B                                      | CUSIP: 98415LAY2<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | LON              | CORP              | US        |   6118182 | PA      | $5666965.91    | 0.03%             | 2029-11-19      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                        | Antares Holdings LP                                                       | CUSIP: 03666HAH4<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5111600.00    | 0.03%             | 2029-10-23      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2020-4                                           | CUSIP: 46652FCF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1582548 | PA      | $800476.76     | 0.00%             | 2050-11-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Credit Card ABS Master Trust | Continental Finance Credit Card ABS Master Trust                          | CUSIP: 66981PAT5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9342000 | PA      | $9392968.92    | 0.05%             | 2032-12-15      | Fixed         | 9.42%                 | No            |                  2 | On Loan: No      |
| CME Group Inc                                           | CME Group Inc                                                             | CUSIP: 12572Q105<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | EC               | CORP              | US        |   1029423 | NS      | $278139800.37  | 1.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2020-2                                            | CUSIP: 61946PAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6374937 | PA      | $1277205.84    | 0.01%             | 2046-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CREDIT INCOME                                  | Blue Owl Credit Income Corp                                               | CUSIP: 69120VAP6<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2626800.00    | 0.01%             | 2027-09-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | J.P. Morgan Chase Commercial Mortgage Securities Trust 2025-BHR5          | CUSIP: 46649WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7986236.64    | 0.05%             | 2040-03-15      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc                                            | Enbridge Inc                                                              | CUSIP: 29250N105<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | EC               | CORP              | CA        |   3309521 | NS      | $166962326.23  | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| Roche Holding AG                                        | Roche Holding AG                                                          | CUSIP: 000000000<br>LEI: 549300U41AUUVOAAOB37 | Long             | EC               | CORP              | CH        |    464300 | NS      | $151587927.89  | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| PERIMETER MASTER NT                                     | PERIMETER MASTER NT                                                       | CUSIP: 71384PAU5<br>LEI: 5493005H6EB040833X54 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5060562.00    | 0.03%             | 2029-09-17      | Fixed         | 8.55%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                                | Comision Federal de Electricidad                                          | CUSIP: 000000000<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   8708000 | PA      | $8092518.56    | 0.05%             | 2036-09-29      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| TotalEnergies SE                                        | TotalEnergies SE                                                          | CUSIP: 000000000<br>LEI: 529900S21EQ1BO4ESM68 | Long             | EC               | CORP              | FR        |   8285200 | NS      | $503190360.57  | 2.84%             |  |  |  | No            |                  1 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                 | Transcontinental Gas Pipe Line Co LLC                                     | CUSIP: 893574AH6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |  32700000 | PA      | $32775537.00   | 0.18%             | 2026-02-01      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                                     | DataBank Issuer                                                           | CUSIP: 23802WAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10002509.40   | 0.06%             | 2054-01-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                         | JPMorgan Chase Bank NA - CACLN                                            | CUSIP: 46591HBW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1105702 | PA      | $1108473.50    | 0.01%             | 2028-09-25      | Fixed         | 28.35%                | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1775776 | PA      | $1567749.00    | 0.01%             | 2050-10-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                                  | Marlette Funding Trust 2021-2                                             | CUSIP: 57108T107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26000 | PA      | $376624.29     | 0.00%             | 2031-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STEWART INFORMATION SERV                                | Stewart Information Services Corp                                         | CUSIP: 86038AAA0<br>LEI: 529900TV1XI0PLKENU10 | Long             | DBT              | CORP              | US        |   8101000 | PA      | $7252906.31    | 0.04%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust                 | Mello Mortgage Capital Acceptance 2021-INV2                               | CUSIP: 58549XBZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1461700 | PA      | $798758.06     | 0.00%             | 2051-08-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| South Bow Corp                                          | South Bow Corp                                                            | CUSIP: 83671M105<br>LEI: 2549000XS5TAFA3YF943 | Long             | EC               | CORP              | CA        |   1939747 | NS      | $54887717.80   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED WHOLESALE MTGE LL                                | United Wholesale Mortgage LLC                                             | CUSIP: 91153LAA5<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5000700.00    | 0.03%             | 2025-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                            | US Foods Inc                                                              | CUSIP: 90290MAD3<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |   5880000 | PA      | $5799032.40    | 0.03%             | 2029-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Enel SpA                                                | Enel SpA                                                                  | CUSIP: 000000000<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | EC               | CORP              | IT        |  62118731 | NS      | $588257713.81  | 3.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust            | Wells Fargo Mortgage Backed Securities 2020-3 Trust                       | CUSIP: 95002TBN3<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |   1912755 | PA      | $910914.87     | 0.01%             | 2050-06-25      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust                 | Mello Mortgage Capital Acceptance 2021-INV2                               | CUSIP: 58549XBY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300653 | PA      | $239011.88     | 0.00%             | 2051-08-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                       | Citigroup Mortgage Loan Trust 2021-J3                                     | CUSIP: 17330BDR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    573149 | PA      | $230834.26     | 0.00%             | 2051-09-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                       | Iron Mountain Inc                                                         | CUSIP: 46284VAP6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |   7500000 | PA      | $7722600.00    | 0.04%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2021-INV1                             | CUSIP: 64829WBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1031760 | PA      | $837477.76     | 0.00%             | 2051-06-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2020-2                                            | CUSIP: 33851KCA2<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |   2377839 | PA      | $2062734.73    | 0.01%             | 2050-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                     | SG Residential Mortgage Trust 2019-3                                      | CUSIP: 78432BAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7910000 | PA      | $7335002.33    | 0.04%             | 2059-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| AXA SA                                                  | AXA SA                                                                    | CUSIP: 000000000<br>LEI: F5WCUMTUM4RKZ1MAIE39 | Long             | EC               | CORP              | FR        |   2359200 | NS      | $112565497.94  | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| CDW LLC/CDW FINANCE                                     | CDW LLC / CDW Finance Corp                                                | CUSIP: 12513GBD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4971150.00    | 0.03%             | 2028-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Thornburg Capital Management Fund                       | Thornburg Capital Management Fund                                         | CUSIP: 885216739<br>LEI: 549300GLR0WG6ALV5277 | Long             | EC               | RF                | US        | 210751262 | NS      | $2107512615.76 | 11.88%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                       | Citigroup Mortgage Loan Trust Inc                                         | CUSIP: 17328PCE1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $722926.40     | 0.00%             | 2050-08-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                       | Citigroup Mortgage Loan Trust Inc                                         | CUSIP: 17328PCD3<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    585000 | PA      | $348962.85     | 0.00%             | 2050-08-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| PEGASUS HAVA TASIMACILIG                                | Pegasus Hava Tasimaciligi AS                                              | CUSIP: 705567AB1<br>LEI: 789000B1MW5PQ58A8T03 | Long             | DBT              | CORP              | TR        |  14750000 | PA      | $15222442.50   | 0.09%             | 2031-09-11      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CUSHMAN & WAKEFIELD US                                  | Cushman & Wakefield US Borrower LLC                                       | CUSIP: 23166MAA1<br>LEI: 549300870CMN3WI5IF97 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3028410.00    | 0.02%             | 2028-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2020-J1                                                         | CUSIP: 12559YBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1277235 | PA      | $1092271.41    | 0.01%             | 2049-10-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2021-2                                            | CUSIP: 61946RAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $832003.10     | 0.00%             | 2047-04-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2020-J1                                                         | CUSIP: 12559YAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  43777541 | PA      | $1171290.01    | 0.01%             | 2049-10-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Proper Pass-Thru Trust II                               | Prosper Pass-Thru Trust II Series 2019-St2                                | CUSIP: 74361EAB3<br>LEI: 549300DCN6PLVC4QVK93 | Long             | ABS-O            | CORP              | US        |  17477134 | PA      | $0.17          | 0.00%             | 2025-11-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                       | Citigroup Mortgage Loan Trust 2021-J3                                     | CUSIP: 17330BDP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1033000 | PA      | $565434.55     | 0.00%             | 2051-09-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                                | Comision Federal de Electricidad                                          | CUSIP: 200447AP5<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   8000000 | PA      | $8154080.00    | 0.05%             | 2035-01-24      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON BANK                                      | First Horizon Bank                                                        | CUSIP: 337158208<br>LEI: COOWI3L2W9TPYR3WJX37 | Long             | EP               | CORP              | US        |     12000 | NS      | $9120000.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2020-J2                                                         | CUSIP: 12568PCM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 101345318 | PA      | $1233473.86    | 0.01%             | 2051-01-25      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust Series 2021-ST8                                | CUSIP: 91683LAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4150000 | PA      | $611830.35     | 0.00%             | 2029-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2020-3                                           | CUSIP: 46592ABL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11830116 | PA      | $66246.28      | 0.00%             | 2050-08-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| Brown Brothers Harriman & Co.                           | PURCHASED USD / SOLD EUR                                                  | CUSIP: 000000000<br>LEI: 5493006KMX1VFTPYPW14 | N/A              | DFE              |  | US        |         1 | NC      | $9907672.46    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CD&R SMOKEY / RADIO SYS                                 | CD&R Smokey Buyer Inc / Radio Systems Corp                                | CUSIP: 12515KAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11475000 | PA      | $9040923.00    | 0.05%             | 2029-10-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| POLARIS INC                                             | Polaris Inc                                                               | CUSIP: 731068AA0<br>LEI: 549300QJSN8UVWN1EI78 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5309550.00    | 0.03%             | 2029-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2020-4                                           | CUSIP: 46652FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10450103 | PA      | $241084.93     | 0.00%             | 2050-11-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| EMPRESA GEN ELEC HAINA                                  | Empresa Generadora de Electricidad Haina SA                               | CUSIP: 29249FAA4<br>LEI: 549300Y36L5LRW5RH373 | Long             | DBT              | CORP              | DO        |   7850000 | PA      | $7699280.00    | 0.04%             | 2028-11-08      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                       | CITIGROUP MORTGAGE LOAN TRUST 2021-J1                                     | CUSIP: 17329EBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    509528 | PA      | $183919.59     | 0.00%             | 2051-04-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                  | Marriott International Inc/MD                                             | CUSIP: 571903AX1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   4497000 | PA      | $4382641.29    | 0.02%             | 2034-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                    | PRET 2025-NPL3 LLC                                                        | CUSIP: 74143HAA3<br>LEI: 254900UGRYVHG7BY6M45 | Long             | ABS-O            | CORP              | US        |  23952467 | PA      | $24168836.81   | 0.14%             | 2055-04-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust 2019-3                                         | CUSIP: 33846A106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60000 | PA      | $3353910.19    | 0.02%             | 2026-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL FINANCIAL                                 | Fidelity National Financial Inc                                           | CUSIP: 31620RAK1<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |   1617000 | PA      | $1432791.36    | 0.01%             | 2031-03-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                       | PRPM 2022-NQM1 Trust                                                      | CUSIP: 69378KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7272131 | PA      | $7247450.50    | 0.04%             | 2067-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14378937 | PA      | $1878232.79    | 0.01%             | 2050-10-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| DC Office Trust                                         | DC Office Trust 2019-MTC                                                  | CUSIP: 23312BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3025000 | PA      | $2769739.70    | 0.02%             | 2045-09-15      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| GREYSTAR REAL ESTATE PAR                                | Greystar Real Estate Partners LLC                                         | CUSIP: 39807UAD8<br>LEI: 254900HGC806SXAS4M46 | Long             | DBT              | CORP              | US        |   2490000 | PA      | $2629041.60    | 0.01%             | 2030-09-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CENTURY DE BUYER LLC                                    | Century De Buyer LLC 2025 Term Loan B                                     | CUSIP: 15651FAE6<br>LEI: 254900PQRPPYRTQIDX74 | Long             | LON              | CORP              | US        |   1485038 | PA      | $1485497.86    | 0.01%             | 2030-10-30      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2020-J2                                                         | CUSIP: 12568PCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    491000 | PA      | $236402.49     | 0.00%             | 2051-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Engie SA                                                | Engie SA                                                                  | CUSIP: 000000000<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | EC               | CORP              | FR        |   1047372 | NS      | $22447585.52   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| KINDER MORGAN INC                                       | Kinder Morgan Inc                                                         | CUSIP: 49456BAG6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |  23630000 | PA      | $24101891.10   | 0.14%             | 2034-12-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Elme Communities                                        | Elme Communities                                                          | CUSIP: 939653101<br>LEI: 549300DI34BGS8LVKW95 | Long             | EC               |  | US        |   1599492 | NS      | $26967435.12   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF NY MELLON CORP                                  | Bank of New York Mellon Corp/The                                          | CUSIP: 064058AL4<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |  11400000 | PA      | $11149884.00   | 0.06%             | 2026-12-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                            | Barclays Mortgage Trust 2021-NPL1                                         | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5052850 | PA      | $5051267.81    | 0.03%             | 2051-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                                | FHF Trust 2022-2                                                          | CUSIP: 31568EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    813935 | PA      | $816374.06     | 0.00%             | 2027-12-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| GMK Norilskiy Nickel PAO                                | GMK Norilskiy Nickel PAO                                                  | CUSIP: 000000000<br>LEI: 253400JPTEEW143W3E47 | Long             | EC               | CORP              | RU        |  35140000 | NS      | $0.42          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| TransDigm Group Inc                                     | TransDigm Group Inc                                                       | CUSIP: 893641100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     43381 | NS      | $57177025.62   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2021-11                                          | CUSIP: 46654KCH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4006634 | PA      | $2021264.21    | 0.01%             | 2052-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                                         | AstraZeneca PLC                                                           | CUSIP: 000000000<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | EC               | CORP              | GB        |   1649800 | NS      | $248107909.35  | 1.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Koninklijke KPN NV                                      | Koninklijke KPN NV                                                        | CUSIP: 000000000<br>LEI: 549300YO0JZHAL7FVP81 | Long             | EC               | CORP              | NL        |  40858000 | NS      | $196050782.39  | 1.11%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2022-3                                           | CUSIP: 46654UCW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2537740 | PA      | $1989773.76    | 0.01%             | 2052-08-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| JT INTL FIN SERVICES BV                                 | JT International Financial Services BV                                    | CUSIP: 480914AA8<br>LEI: 549300U2F0PG10VZUN93 | Long             | DBT              | CORP              | NL        |   5000000 | PA      | $5602100.00    | 0.03%             | 2032-10-24      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group PLC                               | Bank of Ireland Group PLC                                                 | CUSIP: 000000000<br>LEI: 635400C8EK6DRI12LJ39 | Long             | EC               | CORP              | IE        |  19129250 | NS      | $314758801.56  | 1.77%             |  |  |  | No            |                  1 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2024-RTL1                             | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5037739.00    | 0.03%             | 2039-03-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                | AT&T Inc                                                                  | CUSIP: 00206R102<br>LEI: 549300Z40J86GGSTL398 | Long             | EC               | CORP              | US        |  24683451 | NS      | $697060656.24  | 3.93%             |  |  |  | No            |                  1 | On Loan: No      |
| Broadcom Inc                                            | Broadcom Inc                                                              | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               | CORP              | US        |   2176809 | NS      | $718151057.19  | 4.05%             |  |  |  | No            |                  1 | On Loan: No      |
| IMAGEFIRST HOLDINGS LLC                                 | Imagefirst Holdings LLC 2025 Term Loan B                                  | CUSIP: 45249TAR3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  19900000 | PA      | $19900000.00   | 0.11%             | 2032-03-12      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| SLR Investment Corp                                     | SLR Investment Corp                                                       | CUSIP: 83413U100<br>LEI: BJOT6DX9ML6BR3Z0O636 | Long             | EC               | CORP              | US        |   4307900 | NS      | $65867791.00   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2022-3                                           | CUSIP: 46654UCX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1615176 | PA      | $780941.33     | 0.00%             | 2052-08-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Deutsche Telekom AG                                     | Deutsche Telekom AG                                                       | CUSIP: 000000000<br>LEI: 549300V9QSIG4WX4GJ96 | Long             | EC               | CORP              | DE        |   4269800 | NS      | $145426013.68  | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                       | Citigroup Mortgage Loan Trust 2020-EXP1                                   | CUSIP: 17328JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1186189.32    | 0.01%             | 2060-05-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| GOTO GROUP INC                                          | GoTo Group Inc                                                            | CUSIP: 38349YAA3<br>LEI: 549300D12V5KRBV00592 | Long             | DBT              | CORP              | US        |   1828827 | PA      | $1481807.08    | 0.01%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc/The                                      | Home Depot Inc/The                                                        | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |    505482 | NS      | $204816251.58  | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| CELSIUS HOLDINGS INC                                    | Celsius Holdings Inc Term Loan                                            | CUSIP: 15118XAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  14202223 | PA      | $14215573.09   | 0.08%             | 2032-04-01      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Zegona Communications plc                               | Zegona Communications plc                                                 | CUSIP: 000000000<br>LEI: 213800ASI1VZL2ED4S65 | Long             | EC               | CORP              | GB        |  28443000 | NS      | $470511599.76  | 2.65%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                       | CITIGROUP MORTGAGE LOAN TRUST 2021-J1                                     | CUSIP: 17329EBX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429000 | PA      | $198246.82     | 0.00%             | 2051-04-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                     | Oportun Funding 2022-1 LLC                                                | CUSIP: 68377X109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11604 | PA      | $272729.66     | 0.00%             | 2029-06-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SCIENCE APPLICATIONS INT                                | Science Applications International Corp                                   | CUSIP: 808625AA5<br>LEI: 549300LZPNZIXQGZPZ48 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6938050.00    | 0.04%             | 2028-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                     | SG Residential Mortgage Trust 2019-3                                      | CUSIP: 78432BAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       950 | PA      | $950.00        | 0.00%             | 2059-09-25      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| REPUBLIC OF NIGERIA                                     | Nigeria Government International Bond                                     | CUSIP: 65412JAB9<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   6000000 | PA      | $5161800.00    | 0.03%             | 2047-11-28      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN                                | Burford Capital Global Finance LLC                                        | CUSIP: 12116LAE9<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |  11500000 | PA      | $12222775.00   | 0.07%             | 2031-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| FARM CREDIT BK OF TEXAS                                 | Farm Credit Bank of Texas                                                 | CUSIP: 30767EAF6<br>LEI: V1EBJIOLRNYDHDF63Z33 | Long             | DBT              | USGA              | US        |   5000000 | PA      | $5236250.00    | 0.03%             | 2030-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                                     | Sirius XM Radio LLC                                                       | CUSIP: 82967NBL1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4936350.00    | 0.03%             | 2026-09-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust 2022-6                                           | CUSIP: 03465VAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3676016 | PA      | $3667766.11    | 0.02%             | 2067-07-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| TURKCELL ILETISIM HIZMET                                | Turkcell Iletisim Hizmetleri AS                                           | CUSIP: 900111AC9<br>LEI: 7890003EX1LTLS2FFL84 | Long             | DBT              | CORP              | TR        |  10000000 | PA      | $10416900.00   | 0.06%             | 2030-01-24      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KBT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20219056 | PA      | $308823.84     | 0.00%             | 2050-10-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                           | PURCHASED USD / SOLD GBP                                                  | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $3841834.73    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust 2021-P2                                    | CUSIP: 14687TAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8000 | PA      | $1105803.54    | 0.01%             | 2028-05-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2024-BPR2                                  | CUSIP: 61776EAA1<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   9768833 | PA      | $10302078.91   | 0.06%             | 2029-05-05      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-AFC1 Trust                                                      | CUSIP: 12657LAG9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    215000 | PA      | $151061.32     | 0.00%             | 2056-03-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP/FINANCE CORP                                  | Sunoco LP / Sunoco Finance Corp                                           | CUSIP: 86765LAN7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5006500.00    | 0.03%             | 2028-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KBU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  80154243 | PA      | $570802.41     | 0.00%             | 2050-10-25      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2021-1                                            | CUSIP: 61947DAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8500000 | PA      | $1235245.50    | 0.01%             | 2046-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust 2022-P1                                    | CUSIP: 14688DAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24000 | PA      | $5060098.03    | 0.03%             | 2029-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2020-2                                            | CUSIP: 33851KBZ8<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |    792613 | PA      | $688556.84     | 0.00%             | 2050-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer, LLC               | Retained Vantage Data Centers Issuer LLC                                  | CUSIP: 76134KAA2<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5000465.00    | 0.03%             | 2048-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                     | Starwood Mortgage Residential Trust 2019-INV1                             | CUSIP: 85572JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9569926.00    | 0.05%             | 2049-09-27      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust            | Wells Fargo Mortgage Backed Securities 2021-INV1 Trust                    | CUSIP: 95003KBN1<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |   1888835 | PA      | $918827.70     | 0.01%             | 2051-08-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| BLUE OWL TECHNOLOGY FINA                                | Blue Owl Technology Finance Corp                                          | CUSIP: 691205AC2<br>LEI: 254900G5EZJSOD3UKL16 | Long             | DBT              | CORP              | US        |  13250000 | PA      | $13213827.50   | 0.07%             | 2025-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2020-4                                           | CUSIP: 46652FBT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2464611 | PA      | $62474.68      | 0.00%             | 2050-11-25      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2023-I1                                                         | CUSIP: 12570DAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5016589.05    | 0.03%             | 2058-04-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                 | Kinder Morgan Energy Partners LP                                          | CUSIP: 494550AT3<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10469100.00   | 0.06%             | 2035-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust            | Wells Fargo Mortgage Backed Securities 2021-INV1 Trust                    | CUSIP: 95003KBM3<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |   2477484 | PA      | $1999267.70    | 0.01%             | 2051-08-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                        | CUSIP: 29273RBA6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |  13820000 | PA      | $13783238.80   | 0.08%             | 2066-11-01      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2020-4                                           | CUSIP: 46652FCD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1825330 | PA      | $1593213.92    | 0.01%             | 2050-11-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                      | CUSIP: 969457BV1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |  14198000 | PA      | $14333164.96   | 0.08%             | 2044-06-24      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                      | FORESEA Holding SA                                                        | CUSIP: 262051AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |   1520371 | PA      | $1484277.39    | 0.01%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2021-13INV                                        | CUSIP: 33853HBG5<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |   3957817 | PA      | $2519300.22    | 0.01%             | 2051-12-30      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY LP                                       | Vornado Realty LP                                                         | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              |  | US        |   8186500 | PA      | $8043154.39    | 0.05%             | 2026-06-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Pfizer Inc                                              | Pfizer Inc                                                                | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |    796223 | NS      | $20287762.04   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| E.ON SE                                                 | E.ON SE                                                                   | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | EC               | CORP              | DE        |   8053300 | NS      | $151421539.96  | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| Residential Mortgage Loan Trust                         | Residential Mortgage Loan Trust 2019-3                                    | CUSIP: 76119NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1459826.40    | 0.01%             | 2059-09-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2020-4                                           | CUSIP: 46652FBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2305170 | PA      | $75387.12      | 0.00%             | 2050-11-25      | Floating      | 0.81%                 | No            |                  2 | On Loan: No      |
| BHP Group Ltd                                           | BHP Group Ltd                                                             | CUSIP: 000000000<br>LEI: WZE1WSENV6JSZFK0JC28 | Long             | EC               | CORP              | AU        |   6902000 | NS      | $194236765.50  | 1.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Generali                                                | Generali                                                                  | CUSIP: 000000000<br>LEI: 549300X5UKJVE386ZB61 | Long             | EC               | CORP              | IT        |   4133547 | NS      | $162138515.99  | 0.91%             |  |  |  | No            |                  1 | On Loan: No      |
| Eni SpA                                                 | Eni SpA                                                                   | CUSIP: 000000000<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | EC               | CORP              | IT        |   4369900 | NS      | $76269775.00   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| MetLife Inc                                             | MetLife Inc                                                               | CUSIP: 59156RBS6<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |  12000000 | PA      | $14360160.00   | 0.08%             | 2038-04-08      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| MEDCO MAPLE TREE PTE LTD                                | Medco Maple Tree Pte Ltd                                                  | CUSIP: 58407HAA7<br>LEI: 254900T5AQZNR0THA508 | Long             | DBT              | CORP              | SG        |   7000000 | PA      | $7309890.00    | 0.04%             | 2029-04-27      | Fixed         | 8.96%                 | No            |                  2 | On Loan: No      |
| Glebe Funding Trust                                     | Glebe Funding Trust 2024-1/The                                            | CUSIP: 37735RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26417065 | PA      | $26712185.53   | 0.15%             | 2028-11-29      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| BLUE OWL TECHNOLOGY FINA                                | Blue Owl Technology Finance Corp                                          | CUSIP: 691205AE8<br>LEI: 254900G5EZJSOD3UKL16 | Long             | DBT              | CORP              | US        |  13000000 | PA      | $12881960.00   | 0.07%             | 2026-06-17      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                     | Petroleos Mexicanos                                                       | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  10000000 | PA      | $9686100.00    | 0.05%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                | OBX 2021-NQM4 Trust                                                       | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15836170 | PA      | $13409370.62   | 0.08%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| AES ESPANA BV                                           | AES Espana BV                                                             | CUSIP: 00109YAA3<br>LEI: 7245003VZ59682IZLJ86 | Long             | DBT              | CORP              | NL        |   4850000 | PA      | $4732630.00    | 0.03%             | 2028-05-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2020-J1                                                         | CUSIP: 12559YBN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  61010323 | PA      | $647197.51     | 0.00%             | 2049-10-25      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2020-4                                           | CUSIP: 46652FBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  38598917 | PA      | $96937.32      | 0.00%             | 2050-11-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                       | Post Holdings Inc                                                         | CUSIP: 737446AP9<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9977800.00    | 0.06%             | 2029-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Telefonica Emisiones SAU                                | Telefonica Emisiones SA                                                   | CUSIP: 87938WAC7<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |  85390000 | PA      | $96257585.30   | 0.54%             | 2036-06-20      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                               | Sunoco LP                                                                 | CUSIP: 86765KAC3<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |   4892000 | PA      | $5137382.72    | 0.03%             | 2032-05-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| LyondellBasell Industries NV                            | LyondellBasell Industries NV                                              | CUSIP: 000000000<br>LEI: BN6WCCZ8OVP3ITUUVN49 | Long             | EC               | CORP              | NL        |    894177 | NS      | $43850440.08   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| TRANSDIGM INC                                           | TransDigm Inc                                                             | CUSIP: 893647BR7<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |   6345000 | PA      | $6473422.80    | 0.04%             | 2028-08-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust                           | SFO Commercial Mortgage Trust 2021-555                                    | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5212000 | PA      | $5167711.76    | 0.03%             | 2038-05-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                        | Arches Buyer Inc                                                          | CUSIP: 039524AA1<br>LEI: 2549009ADY4208OH2Y47 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $6369805.00    | 0.04%             | 2028-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LUKOIL PJSC                                             | LUKOIL PJSC                                                               | CUSIP: 000000000<br>LEI: 549300LCJ1UJXHYBWI24 | Long             | EC               | CORP              | RU        |    314000 | NS      | $0.00          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust            | Wells Fargo Mortgage Backed Securities 2020-3 Trust                       | CUSIP: 95002TBM5<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |   1046000 | PA      | $553210.62     | 0.00%             | 2050-06-25      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                                  | Marlette Funding Trust 2021-3                                             | CUSIP: 57108Q103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23881 | PA      | $361730.21     | 0.00%             | 2031-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TC Energy Corp                                          | TC Energy Corp                                                            | CUSIP: 87807B107<br>LEI: 549300UGKOFV2IWJJG27 | Long             | EC               | CORP              | CA        |   3869221 | NS      | $210378639.84  | 1.19%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2021-11                                          | CUSIP: 46654KCG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3528538 | PA      | $2774303.57    | 0.02%             | 2052-01-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust                 | LendingPoint 2020-REV1 Asset Securitization Trust                         | CUSIP: 52606YAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5715294 | PA      | $5747614.33    | 0.03%             | 2028-10-15      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                                 | Energean Israel Finance Ltd                                               | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |  12410941 | PA      | $13110545.74   | 0.07%             | 2033-09-30      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                       | GEO Group Inc/The                                                         | CUSIP: 36162JAG1<br>LEI: 54930024XOXET7NQVZ63 | Long             | DBT              | CORP              | US        |   8975000 | PA      | $9505422.50    | 0.05%             | 2029-04-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2021-13INV                                        | CUSIP: 33853HBF7<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |    451022 | PA      | $342637.36     | 0.00%             | 2051-12-30      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                              | MFA 2024-NPL1 Trust                                                       | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8633884 | PA      | $8644390.29    | 0.05%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                       | Citigroup Mortgage Loan Trust 2020-EXP1                                   | CUSIP: 17328JAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2150000 | PA      | $1778658.79    | 0.01%             | 2060-05-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| CK Hutchison Holdings Ltd                               | CK Hutchison Holdings Ltd                                                 | CUSIP: 000000000<br>LEI: 254900Z8HM1VEPOQ2G79 | Long             | EC               | CORP              | KY        |  19897000 | NS      | $131036726.01  | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust 2019-4                                         | CUSIP: 33845F106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60000 | PA      | $3636049.80    | 0.02%             | 2027-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2022-2                                           | CUSIP: 46655DCR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3095234 | PA      | $2448680.22    | 0.01%             | 2052-08-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                            | Barclays Mortgage Loan Trust 2022-INV1                                    | CUSIP: 06744YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12019838 | PA      | $11641763.74   | 0.07%             | 2062-02-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| DIGICEL HOLDINGS LIMITED                                | DIGICEL HOLDINGS LIMITED                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    220592 | NS      | $200065.91     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust                 | Mello Mortgage Capital Acceptance 2021-INV3                               | CUSIP: 585491BQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 108954814 | PA      | $714351.34     | 0.00%             | 2051-10-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                     | Homeward Opportunities Fund Trust 2024-RTL1                               | CUSIP: 43789FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14900000 | PA      | $14956047.84   | 0.08%             | 2029-07-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| MATTHEWS INTERNATIONAL C                                | Matthews International Corp                                               | CUSIP: 577128AC5<br>LEI: 549300ZVC5O0ATML6U61 | Long             | DBT              | CORP              | US        |   7670000 | PA      | $7935765.50    | 0.04%             | 2027-10-01      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust                 | Mello Mortgage Capital Acceptance 2021-INV3                               | CUSIP: 585491BY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419099 | PA      | $327835.96     | 0.00%             | 2051-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| NN Group NV                                             | NN Group NV                                                               | CUSIP: 000000000<br>LEI: 724500OHYNDT9OY6Q215 | Long             | EC               | CORP              | NL        |   9581916 | NS      | $673854324.26  | 3.80%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2020-4                                           | CUSIP: 46652FBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1067934 | PA      | $174741.98     | 0.00%             | 2050-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL FINANCIAL                                 | Fidelity National Financial Inc                                           | CUSIP: 31620RAJ4<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |   8383000 | PA      | $7954544.87    | 0.04%             | 2030-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| WINDSOR HOLDINGS III LLC                                | Windsor Holdings III LLC                                                  | CUSIP: 97360AAA5<br>LEI: 254900IXUJZ9H146T437 | Long             | DBT              | CORP              | US        |   7470000 | PA      | $7895043.00    | 0.04%             | 2030-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GOTO GROUP INC                                          | GoTo Group Inc                                                            | CUSIP: 38349YAB1<br>LEI: 549300D12V5KRBV00592 | Long             | DBT              | CORP              | US        |   2525523 | PA      | $823850.86     | 0.00%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Post AG                                        | Deutsche Post AG                                                          | CUSIP: 000000000<br>LEI: 8ER8GIG7CSMVD8VUFE78 | Long             | EC               | CORP              | DE        |   4817600 | NS      | $214592679.56  | 1.21%             |  |  |  | No            |                  1 | On Loan: No      |
| National Collegiate Student Loan Trust                  | National Collegiate Student Loan Trust 2007-2                             | CUSIP: 63543LAD7<br>LEI: 635400VQIBXGEB9ZUC59 | Long             | ABS-O            | CORP              | US        |   5934789 | PA      | $5834188.03    | 0.03%             | 2033-01-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Glencore PLC                                            | Glencore PLC                                                              | CUSIP: 000000000<br>LEI: 2138002658CPO9NBH955 | Long             | EC               | CORP              | JE        |  21342700 | NS      | $98052132.61   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| PROSUS NV                                               | Prosus NV                                                                 | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   5000000 | PA      | $3496550.00    | 0.02%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                      | Chase Home Lending Mortgage Trust 2019-1                                  | CUSIP: 16159WCB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    745503 | PA      | $481975.84     | 0.00%             | 2050-03-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Regions Financial Corp                                  | Regions Financial Corp                                                    | CUSIP: 7591EP100<br>LEI: CW05CS5KW59QTC0DG824 | Long             | EC               | CORP              | US        |   4391438 | NS      | $115802220.06  | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| ACCO BRANDS CORP                                        | ACCO Brands Corp                                                          | CUSIP: 00081TAK4<br>LEI: JCT8P4Y190IH4I1NX328 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $6778575.00    | 0.04%             | 2029-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                     | SG Residential Mortgage Trust 2019-3                                      | CUSIP: 78432BAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  41638292 | PA      | $591197.12     | 0.00%             | 2059-09-25      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                       | CITIGROUP MORTGAGE LOAN TRUST 2021-J1                                     | CUSIP: 17329EBY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665000 | PA      | $274009.19     | 0.00%             | 2051-04-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2020-7                                           | CUSIP: 46591XCL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1565171 | PA      | $956260.39     | 0.01%             | 2051-01-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                 | Darling Ingredients Inc                                                   | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |   4050000 | PA      | $4096656.00    | 0.02%             | 2030-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Taiwan Semiconductor Manufacturing Co Ltd               | Taiwan Semiconductor Manufacturing Co Ltd                                 | CUSIP: 000000000<br>LEI: 549300KB6NK5SBD14S87 | Long             | EC               | CORP              | TW        |  17649261 | NS      | $755702001.61  | 4.26%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2022-3                                           | CUSIP: 46654UCY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1459907 | PA      | $602939.20     | 0.00%             | 2052-08-25      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2591460 | PA      | $34276.20      | 0.00%             | 2050-10-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                      | Vodafone Group PLC                                                        | CUSIP: 000000000<br>LEI: 213800TB53ELEUKM7Q61 | Long             | EC               | CORP              | GB        | 259065524 | NS      | $300196160.96  | 1.69%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                           | TRISTATE INSURED CASH SWEEP                                               | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | Long             | STIV             | CORP              | US        |       545 | PA      | $544.57        | 0.00%             | 2050-10-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                                     | Sirius XM Radio LLC                                                       | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $7464825.00    | 0.04%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CORECIVIC INC                                           | CoreCivic Inc                                                             | CUSIP: 21871NAC5<br>LEI: 529900JFA3K6PTLT8B15 | Long             | DBT              | CORP              | US        |  12869000 | PA      | $13599830.51   | 0.08%             | 2029-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-AFC1 Trust                                                      | CUSIP: 12657LAH7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |  65213940 | PA      | $640126.99     | 0.00%             | 2056-03-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust 2020-INV1                             | CUSIP: 36258KAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  52244957 | PA      | $522.45        | 0.00%             | 2050-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909                  | NYC Commercial Mortgage Trust 2021-909                                    | CUSIP: 67076XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4322392.85    | 0.02%             | 2043-04-10      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                      | Chase Home Lending Mortgage Trust 2019-1                                  | CUSIP: 16159WCA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    444560 | PA      | $349138.00     | 0.00%             | 2050-03-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                          | CPS Auto Securitization Trust 2021-1                                      | CUSIP: 12657TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10217126 | PA      | $10178603.39   | 0.06%             | 2026-06-16      | Fixed         | 7.86%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust Series 2021-ST9                                | CUSIP: 91683MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1415000 | PA      | $295485.96     | 0.00%             | 2029-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                  | NRM FHT1 Excess Owner LLC                                                 | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7998380 | PA      | $8064886.18    | 0.05%             | 2032-03-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust             | Bear Stearns ARM Trust 2003-6                                             | CUSIP: 07384MXJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18343 | PA      | $18977.63      | 0.00%             | 2033-08-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                        | Antares Holdings LP                                                       | CUSIP: 03666HAF8<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3190170.00    | 0.02%             | 2028-08-11      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                | OCP SA                                                                    | CUSIP: 67091TAD7<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |   1735000 | PA      | $1627447.35    | 0.01%             | 2031-06-23      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GoTo Group Inc                                          | GoTo Group Inc 2024 Second Out Term Loan                                  | CUSIP: 38349FAD8<br>LEI: 549300D12V5KRBV00592 | Long             | LON              | CORP              | US        |   1299606 | PA      | $423021.75     | 0.00%             | 2028-04-28      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| BWX TECHNOLOGIES INC                                    | BWX Technologies Inc                                                      | CUSIP: 05605HAB6<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $7324200.00    | 0.04%             | 2028-06-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Novartis AG                                             | Novartis AG                                                               | CUSIP: 000000000<br>LEI: 5493007HIVTX6SY6XD66 | Long             | EC               | CORP              | CH        |    641308 | NS      | $80657944.80   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2020-J1                                                         | CUSIP: 12559YBM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145464 | PA      | $540042.27     | 0.00%             | 2049-10-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust 2021-P1                                    | CUSIP: 14687B106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24000 | PA      | $1580007.30    | 0.01%             | 2027-12-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                  | CCO Holdings LLC / CCO Holdings Capital Corp                              | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7399680.00    | 0.04%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                  | Bank of New York Mellon Corp/The                                          | CUSIP: 064058AF7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1935000 | PA      | $1921474.35    | 0.01%             | 2026-09-20      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                           | PURCHASED USD / SOLD CHF                                                  | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $125864.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2021-INV1                             | CUSIP: 64829WBB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1852042 | PA      | $1113686.46    | 0.01%             | 2051-06-25      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| ASP WHCO PARTN 2025 2 LP                                | ASP WHCO PARTN 2025 2 LP                                                  | CUSIP: 00218YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |  23750000 | PA      | $23750000.00   | 0.13%             | 2029-03-29      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| BOOST NEWCO BORROWER LLC                                | Boost Newco Borrower LLC                                                  | CUSIP: 36268NAA8<br>LEI: 254900S8RE1OL7TTCU64 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5305350.00    | 0.03%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust                 | Mello Mortgage Capital Acceptance 2021-INV2                               | CUSIP: 58549XBT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6112669 | PA      | $248929.87     | 0.00%             | 2051-08-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2020-2                                            | CUSIP: 33851KCB0<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |   3170452 | PA      | $1766893.38    | 0.01%             | 2050-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust                 | Mello Mortgage Capital Acceptance 2021-INV3                               | CUSIP: 585491BT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8823805 | PA      | $237622.43     | 0.00%             | 2051-10-25      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| Merck & Co Inc                                          | Merck & Co Inc                                                            | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |   3351900 | NS      | $281324967.00  | 1.59%             |  |  |  | No            |                  1 | On Loan: No      |
| FIN DEPT GOVT SHARJAH                                   | Finance Department Government of Sharjah                                  | CUSIP: 38381CAC6<br>LEI: 254900ZNL8O3F1CLJO24 | Long             | DBT              | NUSS              | AE        |   7000000 | PA      | $6274310.00    | 0.04%             | 2033-03-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                       | Citigroup Mortgage Loan Trust 2020-EXP1                                   | CUSIP: 17328JAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    725000 | PA      | $475910.16     | 0.00%             | 2060-05-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                               | College Ave Student Loans 2023-A LLC                                      | CUSIP: 193938107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35000 | PA      | $16920882.58   | 0.10%             | 2055-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KEY BANK NA                                             | KeyBank NA/Cleveland OH                                                   | CUSIP: 49327M3H5<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |  10250000 | PA      | $10312832.50   | 0.06%             | 2033-01-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                       | Citigroup Mortgage Loan Trust 2004-HYB2                                   | CUSIP: 17307GEF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129131 | PA      | $56297.98      | 0.00%             | 2034-03-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust 2019-4                                     | CUSIP: 14686YAK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32000 | PA      | $0.00          | 0.00%             | 2026-10-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| JPMorgan Chase & Co                                     | JPMorgan Chase & Co                                                       | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |     89331 | NS      | $28177677.33   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                 | Imperial Brands Finance PLC                                               | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $5158600.00    | 0.03%             | 2027-07-27      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Proper Pass-Thru Trust II                               | Prosper Pass-Thru Trust II Series 2019-St2                                | CUSIP: 74361EAC1<br>LEI: 549300DCN6PLVC4QVK93 | Long             | ABS-O            | CORP              | US        |   8738067 | PA      | $0.09          | 0.00%             | 2025-11-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Energizer Holdings, Inc.                                | Energizer Holdings Inc 2025 Term Loan B                                   | CUSIP: 29267YAW2<br>LEI: 5493000D6NN0V57UME20 | Long             | LON              | CORP              | US        |   7231875 | PA      | $7228837.61    | 0.04%             | 2032-03-19      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Fat Brands Fazoli's Native I, LLC                       | FAT Brands Fazoli's Native I LLC                                          | CUSIP: 31200BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13687621 | PA      | $12691122.42   | 0.07%             | 2051-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Group AG                                  | Mercedes-Benz Group AG                                                    | CUSIP: 000000000<br>LEI: 529900R27DL06UVNT076 | Long             | EC               | CORP              | DE        |   1241000 | NS      | $77905622.76   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Mortgage Loan Trust                            | Barclays Mortgage Trust 2022-RPL1                                         | CUSIP: 06745CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10128757 | PA      | $10081745.57   | 0.06%             | 2028-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-AFC1 Trust                                                      | CUSIP: 12657LAJ3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |  68599632 | PA      | $11256513.61   | 0.06%             | 2056-03-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 B PTT                                 | American Airlines 2016-3 Class B Pass Through Trust                       | CUSIP: 023771S41<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6218246 | PA      | $6201332.37    | 0.03%             | 2025-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust 2019-2                                         | CUSIP: 33845W109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33000 | PA      | $0.00          | 0.00%             | 2026-12-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| MPOWER Education Trust                                  | MPOWER Education Trust 2025-A                                             | CUSIP: 624930AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13737903 | PA      | $13877818.29   | 0.08%             | 2042-07-21      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| GoTo Group Inc                                          | GoTo Group Inc 2024 First Out Term Loan                                   | CUSIP: 38349FAC0<br>LEI: 549300D12V5KRBV00592 | Long             | LON              | CORP              | US        |    941094 | PA      | $793653.00     | 0.00%             | 2028-04-28      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2020-4                                           | CUSIP: 46652FCE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    842595 | PA      | $663560.79     | 0.00%             | 2050-11-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2020-7                                           | CUSIP: 46591XCK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2233446 | PA      | $1932980.30    | 0.01%             | 2051-01-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-17

**Name of Applicant:** THORNBURG INVESTMENT TRUST

**Signature:** Christopher Luckham

**Name of Signer:** Christopher Luckham

**Title:** Manager - Fund Admin