# EDGAR Filing Document

**Accession Number:** 0000319676
**File Stem:** 0001752724-23-049143
**Filing Date:** 2023-3
**Character Count:** 115247
**Document Hash:** c0ae8058974d9986643279d5abcfbbd5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-049143.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001752724-23-049143

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Calvert Management Series
- **CENTRAL INDEX KEY:** 0000319676
- **IRS NUMBER:** 526211999
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03101
- **FILM NUMBER:** 23690851

**BUSINESS ADDRESS:**
- **STREET 1:** 1825 CONNECTICUT AVENUE NW
- **STREET 2:** SUITE 400
- **CITY:** WASHINGTON
- **STATE:** DC
- **ZIP:** 20009
- **BUSINESS PHONE:** 8002256265

**MAIL ADDRESS:**
- **STREET 1:** 1825 CONNECTICUT AVENUE NW
- **STREET 2:** SUITE 400
- **CITY:** WASHINGTON
- **STATE:** DC
- **ZIP:** 20009

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CALVERT TAX FREE RESERVES
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Calvert Flexible Bond Fund (Series ID: S000046839)

| Class ID   | Class Name                          | Ticker Symbol   |
|:---|:---|:---|
| C000146359 | CLASS A                             | CUBAX           |
| C000146360 | CLASS C                             | CUBCX           |
| C000146362 | CLASS I                             | CUBIX           |
| C000213138 | Calvert Flexible Bond Fund Class R6 | CUBRX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Calvert Management Series

- **b. Investment Company Act file number:** 811-03101

- **c. CIK number of Registrant:** 0000319676

- **d. LEI of Registrant:** 549300JLDDCMBLNYVQ38

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

  - **Street Address 1:** 1825 Connecticut Avenue NW,

  - **City:** Washington

  - **State:** DC

  - **Foreign country:** US

  - **Zip / Postal Code:** 20009

  - **Telephone number:** 202-238-2200

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

- **a. Name of Series:** Calvert Flexible Bond Fund

- **b. EDGAR series identifier (if any):** S000046839

- **c. LEI of Series:** 549300HDLJYKTU171023

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

- **a. Date of fiscal year-end:** 2022-12-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $320884638.88

**Total Liabilities:** $21609368.92

**Net Assets:** $299275269.96

**Delayed Delivery Securities:** $18129646.49

**Cash Not Reported:** $1292696.03

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -214.46000000 | **1-Year:** -3797.45000000 | **5-Year:** -15479.10000000 | **10-Year:** -18586.06000000 | **30-Year:** -8496.97000000

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

- **3-Month:** -725.96000000 | **1-Year:** -10421.41000000 | **5-Year:** -19667.84000000 | **10-Year:** -16665.87000000 | **30-Year:** -5018.54000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000146362 | 0.13%                | 1.83%                | 0.39%                |
| Class ID C000213138 | 0.21%                | 1.76%                | 0.48%                |
| Class ID C000146359 | 0.11%                | 1.81%                | 0.37%                |
| Class ID C000146360 | 0.05%                | 1.74%                | 0.31%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-920989.20              | $-244584.23                                |
| Month 2  | $-3932988.37             | $8800687.98                                |
| Month 3  | $443314.51               | $-928645.50                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| SYNCHRONY BANK                                          | Synchrony Bank                                                                                 | CUSIP: 87166FAE3<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |   1653000 | PA      | $1613438.04   | 0.54%             | 2027-08-23      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MACY'S RETAIL HLDGS LLC                                 | Macy's Retail Holdings LLC                                                                     | CUSIP: 55617LAP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    993000 | PA      | $880664.79    | 0.29%             | 2029-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-DNA3                                                              | CUSIP: 35564TBE9<br>LEI: 549300KB1O80CETXGJ21 | Long             | ABS-MBS          | USGSE             | US        |   1270000 | PA      | $1293887.81   | 0.43%             | 2049-07-25      | Floating      | 12.54%                | No            |                  2 | On Loan: No      |
| Avant Loans Funding Trust                               | Avant Loans Funding Trust 2021-REV1                                                            | CUSIP: 05353LAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1512000 | PA      | $1314322.93   | 0.44%             | 2030-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                                    | Smithfield Foods Inc                                                                           | CUSIP: 832248BD9<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    437000 | PA      | $313627.49    | 0.10%             | 2031-09-13      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| NEPTUNE ENERGY BONDCO                                   | Neptune Energy Bondco PLC                                                                      | CUSIP: 64073KAA1<br>LEI: 549300CPMT8I2QBRYF88 | Long             | DBT              | CORP              | GB        |    676000 | PA      | $657584.30    | 0.22%             | 2025-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| HIKMA FINANCE USA LLC                                   | Hikma Finance USA LLC                                                                          | CUSIP: 000000000<br>LEI: 213800BU7YH2WTM1QL87 | Long             | DBT              | CORP              | US        |    958000 | PA      | $891165.13    | 0.30%             | 2025-07-09      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                  | NRZ Excess Spread-Collateralized Notes                                                         | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1596819 | PA      | $1413030.00   | 0.47%             | 2026-11-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| TEXAS CAPITAL BANCSHARES                                | Texas Capital Bancshares Inc                                                                   | CUSIP: 88224QAA5<br>LEI: 549300466Q2SXRX0YM48 | Long             | DBT              | CORP              | US        |    981000 | PA      | $871866.79    | 0.29%             | 2031-05-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HAT HOLDINGS I LLC/HAT                                  | HAT Holdings I LLC / HAT Holdings II LLC                                                       | CUSIP: 418751AB9<br>LEI: N/A                  | Long             | DBT              |  | US        |    774000 | PA      | $750780.00    | 0.25%             | 2025-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2020-R02                                                   | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    493973 | PA      | $446576.09    | 0.15%             | 2040-01-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Banff Merger Sub Inc                                    | Banff Merger Sub Inc 2021 USD Term Loan                                                        | CUSIP: 05988HAE7<br>LEI: 5493006T045HLTF7YX04 | Long             | LON              | CORP              | US        |    439790 | PA      | $421831.77    | 0.14%             | 2025-10-02      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | United States Treasury Note/Bond                                                               | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $947851.56    | 0.32%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2014-DSTY                                 | CUSIP: 46642MAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    605000 | PA      | $120330.57    | 0.04%             | 2027-06-10      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                                       | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1177000 | PA      | $860183.74    | 0.29%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                  | CCO Holdings LLC / CCO Holdings Capital Corp                                                   | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2493000 | PA      | $2269116.14   | 0.76%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                     | Oportun Issuance Trust 2021-C                                                                  | CUSIP: 68377WAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2995000 | PA      | $2603190.51   | 0.87%             | 2031-10-08      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                            | Centene Corp                                                                                   | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    897000 | PA      | $843241.18    | 0.28%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital                | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1333000 | PA      | $1034509.79   | 0.35%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SOUTH32 TREASURY LTD                                    | South32 Treasury Ltd                                                                           | CUSIP: 84055BAA1<br>LEI: 213800HFGZMXST64GP53 | Long             | DBT              | CORP              | AU        |    744000 | PA      | $638564.04    | 0.21%             | 2032-04-14      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                     | Oportun Issuance Trust 2021-B                                                                  | CUSIP: 68377GAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    976000 | PA      | $820877.39    | 0.27%             | 2031-05-08      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Cologix Data Centers Issuer LLC                         | Cologix Data Centers US Issuer LLC                                                             | CUSIP: 19521UAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1315000 | PA      | $1146233.16   | 0.38%             | 2051-12-26      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust 2019-BPR                                            | CUSIP: 05492PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3865000 | PA      | $2906016.59   | 0.97%             | 2032-11-05      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| TERRAFORM POWER OPERATIN                                | TerraForm Power Operating LLC                                                                  | CUSIP: 88104LAE3<br>LEI: 5493000S2OLR3UT5BE13 | Long             | DBT              | CORP              | US        |   1257000 | PA      | $1133449.47   | 0.38%             | 2028-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                        | Planet Fitness Master Issuer LLC                                                               | CUSIP: 72703PAB9<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |    339912 | PA      | $319473.60    | 0.11%             | 2048-09-05      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                          | Pagaya AI Debt Selection Trust 2021-2                                                          | CUSIP: 69546LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    831383 | PA      | $774734.29    | 0.26%             | 2029-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                        | Planet Fitness Master Issuer LLC                                                               | CUSIP: 72703PAC7<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |    523800 | PA      | $431811.24    | 0.14%             | 2049-12-05      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                     | Intesa Sanpaolo SpA                                                                            | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   1324000 | PA      | $1346951.73   | 0.45%             | 2033-11-21      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                          | Pagaya AI Debt Selection Trust 2020-3                                                          | CUSIP: 69546TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450058 | PA      | $448639.85    | 0.15%             | 2027-05-17      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| DAVE & BUSTER'S INC                                     | Dave & Buster's Inc                                                                            | CUSIP: 23833NAH7<br>LEI: 549300JAVWTAY1FT5Z45 | Long             | DBT              | CORP              | US        |   2320000 | PA      | $2334987.20   | 0.78%             | 2025-11-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                                       | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1762000 | PA      | $1354317.06   | 0.45%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6286000 | PA      | $6060096.56   | 2.02%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                        | Bellemeade Re Ltd                                                                              | CUSIP: 07876MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    900000 | PA      | $862319.97    | 0.29%             | 2031-03-25      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS                                  | BBVA Bancomer SA/Texas                                                                         | CUSIP: 05533UAF5<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |   1538000 | PA      | $1383018.02   | 0.46%             | 2033-01-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                                | Vantage Data Centers LLC                                                                       | CUSIP: 92212KAC0<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |    820000 | PA      | $675414.16    | 0.23%             | 2045-09-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2019-2                                                                 | CUSIP: 61945LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    366404 | PA      | $315180.14    | 0.11%             | 2040-09-20      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2019-R01                                                   | CUSIP: 20754FAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    795000 | PA      | $800126.56    | 0.27%             | 2031-07-25      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                          | EPR Properties                                                                                 | CUSIP: 26884UAF6<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              |  | US        |   2408000 | PA      | $1889747.35   | 0.63%             | 2029-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434939 | PA      | $456794.92    | 0.15%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                                              | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2905000 | PA      | $3058174.38   | 1.02%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Neighborly Issuer LLC                                   | Neighborly Issuer LLC                                                                          | CUSIP: 64016NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    783075 | PA      | $629834.90    | 0.21%             | 2051-04-30      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LLC                         | Stack Infrastructure Issuer LLC                                                                | CUSIP: 85236KAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    465000 | PA      | $402347.67    | 0.13%             | 2046-03-26      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Mill City Solar Loan 2020-1 Ltd.                        | Mill City Solar Loan 2020-1 Ltd                                                                | CUSIP: 59982XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2554700 | PA      | $2099290.12   | 0.70%             | 2047-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BREAD FINANCIAL HLDGS                                   | Bread Financial Holdings Inc                                                                   | CUSIP: 018581AK4<br>LEI: 549300G8S4PO686J7H97 | Long             | DBT              | CORP              | US        |   1734000 | PA      | $1540343.48   | 0.51%             | 2024-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                     | Ashtead Capital Inc                                                                            | CUSIP: 045054AL7<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    514000 | PA      | $461825.98    | 0.15%             | 2029-11-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                            | State Street Navigator Securities Lending Government Money Market Portfolio                    | CUSIP: 857492706<br>LEI: 5493008BJIBKQ5KTIF74 | Long             | STIV             | RF                | US        |   1827562 | NS      | $1827562.50   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| BLOCK FINANCIAL LLC                                     | Block Financial LLC                                                                            | CUSIP: 093662AH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1108000 | PA      | $971982.81    | 0.32%             | 2030-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2021-3                                                                 | CUSIP: 61946TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1589000 | PA      | $1340676.32   | 0.45%             | 2052-06-20      | Fixed         | 1.77%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works Inc                                   | Bath & Body Works Inc                                                                          | CUSIP: 532716AN7<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    306000 | PA      | $259070.31    | 0.09%             | 2037-07-15      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| NuStar Logistics LP                                     | NuStar Logistics LP                                                                            | CUSIP: 67059TAF2<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |    166000 | PA      | $160128.12    | 0.05%             | 2026-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AERCAP HOLDINGS NV                                      | AerCap Holdings NV                                                                             | CUSIP: 00774YAA7<br>LEI: 549300SZYINBBLJQU475 | Long             | DBT              | CORP              | NL        |    173000 | PA      | $157760.43    | 0.05%             | 2079-10-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3178000 | PA      | $2983842.47   | 1.00%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Seattle Spinco, Inc.                                    | Seattle Spinco, Inc. USD Term Loan B3                                                          | CUSIP: 81271EAB7<br>LEI: 213800AAQDP1DDU8BK05 | Long             | LON              | CORP              | US        |    231648 | PA      | $230875.72    | 0.08%             | 2024-06-21      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2019-R07                                                   | CUSIP: 20753WAE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1517653 | PA      | $1481009.42   | 0.49%             | 2039-10-25      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| AMERICAN NATIONAL GROUP                                 | American National Group Inc                                                                    | CUSIP: 02772AAA7<br>LEI: 549300I1RRC5M591MY93 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1081539.15   | 0.36%             | 2032-06-13      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2019-R05                                                   | CUSIP: 20754HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1163649 | PA      | $1186171.71   | 0.40%             | 2039-07-25      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| HAT HOLDINGS I LLC/HAT                                  | HAT Holdings I LLC / HAT Holdings II LLC                                                       | CUSIP: 418751AE3<br>LEI: N/A                  | Long             | DBT              |  | US        |   2804000 | PA      | $2440012.76   | 0.82%             | 2026-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                | Celanese US Holdings LLC                                                                       | CUSIP: 15089QAN4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    762000 | PA      | $742015.96    | 0.25%             | 2029-07-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| SYNOVUS BANK GA                                         | Synovus Bank/Columbus GA                                                                       | CUSIP: 87164DSE1<br>LEI: DX0JX77PRMOELF7VG772 | Long             | DBT              | CORP              | US        |    729000 | PA      | $677024.73    | 0.23%             | 2030-10-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Conn Funding II, L.P                                    | Conn's Receivables Funding 2021-A LLC                                                          | CUSIP: 20825GAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2190000 | PA      | $2092828.82   | 0.70%             | 2026-05-15      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 10YR ULTRA FUT MAR23                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -123 | NC      | $24732.68     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2021-VOLT                                                         | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2361850 | PA      | $2216012.85   | 0.74%             | 2036-09-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                   | FMC GMSR Issuer Trust                                                                          | CUSIP: 30259RAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $755129.60    | 0.25%             | 2027-07-25      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                   | FMC GMSR Issuer Trust                                                                          | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    903000 | PA      | $805055.02    | 0.27%             | 2027-04-25      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| Willis Engine Securitization Trust                      | Willis Engine Structured Trust V                                                               | CUSIP: 97064FAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157755 | PA      | $106399.98    | 0.04%             | 2045-03-15      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| Cologix Data Centers Issuer LLC                         | Cologix Canadian Issuer LP                                                                     | CUSIP: 19521DAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |   1500000 | PA      | $1014250.37   | 0.34%             | 2052-01-25      | Fixed         | 7.74%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2019-BPR                                                        | CUSIP: 61769GAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2621000 | PA      | $2460434.66   | 0.82%             | 2036-05-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP                                 | Sun Communities Operating LP                                                                   | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              |  | US        |   2025000 | PA      | $1603270.46   | 0.54%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                           | UniCredit SpA                                                                                  | CUSIP: 904678AF6<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    700000 | PA      | $615482.51    | 0.21%             | 2032-06-19      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-HQA2                                                              | CUSIP: 35564MBD6<br>LEI: 549300NKHCH87PYOHD44 | Long             | ABS-MBS          | USGSE             | US        |    889000 | PA      | $907660.64    | 0.30%             | 2049-04-25      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                     | Oportun Issuance Trust 2022-2                                                                  | CUSIP: 68377HAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1991000 | PA      | $1947247.38   | 0.65%             | 2029-10-09      | Fixed         | 9.36%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                      | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1074000 | PA      | $991380.07    | 0.33%             | 2024-10-29      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust 2020-1                                                            | CUSIP: 91679UAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1874047 | PA      | $1837250.66   | 0.61%             | 2030-04-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                            | Centene Corp                                                                                   | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    543000 | PA      | $497437.32    | 0.17%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                                 | PNMAC GMSR ISSUER TRUST 2018-GT1                                                               | CUSIP: 69354WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1332000 | PA      | $1307155.40   | 0.44%             | 2023-02-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                                | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                                            | CUSIP: 77313LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    201000 | PA      | $172631.34    | 0.06%             | 2026-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Nokia OYJ                                               | Nokia Oyj                                                                                      | CUSIP: 654902AC9<br>LEI: 549300A0JPRWG1KI7U06 | Long             | DBT              | CORP              | FI        |    750000 | PA      | $713202.29    | 0.24%             | 2039-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Home Re 2018-1 Ltd.                                     | Home Re 2018-1 Ltd                                                                             | CUSIP: 43730MAB4<br>LEI: 254900E6IUAJSN9WD709 | Long             | ABS-MBS          | CORP              | BM        |   3751732 | PA      | $3731912.79   | 1.25%             | 2028-10-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                                  | Marlette Funding Trust 2020-2                                                                  | CUSIP: 57108RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68442 | PA      | $68310.95     | 0.02%             | 2030-09-16      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                       | Iron Mountain Inc                                                                              | CUSIP: 46284VAG6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |   1114000 | PA      | $1002544.91   | 0.33%             | 2028-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2019-BPR                                                        | CUSIP: 61769GAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    960000 | PA      | $889867.30    | 0.30%             | 2036-05-15      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                                    | Kyndryl Holdings Inc                                                                           | CUSIP: 50155QAK6<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |   2135000 | PA      | $1605637.00   | 0.54%             | 2028-10-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER                                | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                                 | CUSIP: 01883LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    925000 | PA      | $833434.25    | 0.28%             | 2027-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| US CELLULAR CORP                                        | United States Cellular Corp                                                                    | CUSIP: 911684801<br>LEI: 549300B164AZXESI6E03 | Long             | EP               | CORP              | US        |     25425 | NS      | $369171.00    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| NATURA &CO LUX HLD SARL                                 | Natura &Co Luxembourg Holdings Sarl                                                            | CUSIP: 63884WAA6<br>LEI: 54930074AZRQQPMINM11 | Long             | DBT              | CORP              | LU        |   1410000 | PA      | $1235764.07   | 0.41%             | 2029-04-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| CenturyLink, Inc.                                       | CenturyLink, Inc. 2020 Term Loan B                                                             | CUSIP: 15669GAH7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |    503454 | PA      | $478595.81    | 0.16%             | 2027-03-15      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                        | Societe Generale SA                                                                            | CUSIP: 83368RBL5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    545000 | PA      | $511211.87    | 0.17%             | 2033-06-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan 2020-1 Ltd.                          | Loanpal Solar Loan 2021-1 Ltd                                                                  | CUSIP: 53948LAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1101462 | PA      | $856622.59    | 0.29%             | 2047-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                 | Dell International LLC / EMC Corp                                                              | CUSIP: 24703DBG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1395000 | PA      | $859080.46    | 0.29%             | 2051-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                           | UniCredit SpA                                                                                  | CUSIP: 904678AS8<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    332000 | PA      | $270383.74    | 0.09%             | 2035-06-30      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| ENACT HOLDINGS INC                                      | Enact Holdings Inc                                                                             | CUSIP: 37255LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2429000 | PA      | $2387901.32   | 0.80%             | 2025-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                           | PURCHASED USD / SOLD CAD                                                                       | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $13721.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATURA COSMETICOS SA                                    | Natura Cosmeticos SA                                                                           | CUSIP: 63883KAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |    526000 | PA      | $429855.09    | 0.14%             | 2028-05-03      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | United States Treasury Note/Bond                                                               | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    768000 | PA      | $686640.00    | 0.23%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NuStar Energy LP                                        | NuStar Energy LP                                                                               | CUSIP: 67058H300<br>LEI: 5493003BMLTUIEG2LG44 | Long             | EP               | CORP              | US        |     53308 | NS      | $1086417.04   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| Hardee's Funding LLC and Carls' Jr Funding LLC          | Hardee's Funding LLC                                                                           | CUSIP: 411707AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    539000 | PA      | $463131.82    | 0.15%             | 2050-12-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Smithfield Foods Inc                                    | Smithfield Foods Inc                                                                           | CUSIP: 832248BB3<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    595000 | PA      | $544792.88    | 0.18%             | 2029-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC             | BBCMS 2017-DELC Mortgage Trust                                                                 | CUSIP: 05552EAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    724000 | PA      | $703278.90    | 0.23%             | 2036-08-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Conn Funding II, L.P                                    | Conn's Receivables Funding 2022-A LLC                                                          | CUSIP: 20825YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2225000 | PA      | $2208014.57   | 0.74%             | 2026-12-15      | Fixed         | 9.52%                 | No            |                  2 | On Loan: No      |
| GLOBAL ATLANTIC FIN CO                                  | Global Atlantic Fin Co                                                                         | CUSIP: 37959GAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3184000 | PA      | $2342975.60   | 0.78%             | 2031-06-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                   | FMC GMSR Issuer Trust                                                                          | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    655000 | PA      | $533744.11    | 0.18%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2022-2                                                                 | CUSIP: 61946UAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1510000 | PA      | $1474911.38   | 0.49%             | 2053-01-21      | Fixed         | 8.29%                 | No            |                  2 | On Loan: No      |
| SEAGATE HDD CAYMAN                                      | Seagate HDD Cayman                                                                             | CUSIP: 81180WBG5<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |    382500 | PA      | $420040.46    | 0.14%             | 2032-12-01      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust 2021-1                                                            | CUSIP: 91681NAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $731770.28    | 0.24%             | 2031-03-20      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                  | NRZ Excess Spread-Collateralized Notes                                                         | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135198 | PA      | $118207.60    | 0.04%             | 2026-07-25      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CALVERT IMPACT CAPITAL NOTE                             | CALVERT IMPACT CAPITAL NOTE                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $472870.00    | 0.16%             | 2023-12-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2019-R02                                                   | CUSIP: 20753KAF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    795000 | PA      | $811930.96    | 0.27%             | 2031-08-25      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: B95VEAG06 CDS USD R V 03MEVENT 1 CCPCDX / Short: B95VEAG06 CDS USD P F  5.00000 2 CCPCDX | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   2250000 | OU      | $-12654.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                                 | CUSIP: 05565AS20<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    592000 | PA      | $618668.42    | 0.21%             | 2027-11-17      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                        | Societe Generale SA                                                                            | CUSIP: 83370RAC2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    667000 | PA      | $686151.72    | 0.23%             | 2027-11-22      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR 2019-HQA3                                                                    | CUSIP: 35564XBD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    410000 | PA      | $399104.21    | 0.13%             | 2049-09-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| SES SA                                                  | SES SA                                                                                         | CUSIP: 78413HAB5<br>LEI: 5493008JPA4HYMH1HX51 | Long             | DBT              | CORP              | LU        |    245000 | PA      | $187743.48    | 0.06%             | 2043-04-04      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ADAMS OUTDOOR ADVERTISING                               | Adams Outdoor Advertising LP                                                                   | CUSIP: 006346AS9<br>LEI: 549300BTFXNHDCUHER30 | Long             | ABS-O            | CORP              | US        |    560010 | PA      | $531688.85    | 0.18%             | 2048-11-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                                             | Home RE 2021-1 Ltd                                                                             | CUSIP: 437307AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1295000 | PA      | $1186795.24   | 0.40%             | 2033-07-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2021-3                                                                 | CUSIP: 61946TAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    632000 | PA      | $524203.11    | 0.18%             | 2052-06-20      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                   | Truist Financial Corp                                                                          | CUSIP: 89832QAF6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    868000 | PA      | $807240.00    | 0.27%             | 2030-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                                       | Lithia Motors Inc                                                                              | CUSIP: 536797AF0<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |   1274000 | PA      | $1038794.53   | 0.35%             | 2031-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UPC Financing Partnership                               | UPC Financing Partnership 2021 USD Term Loan AX                                                | CUSIP: 000000000<br>LEI: 213800DXWIS9KORQ3X94 | Long             | LON              | CORP              | US        |    500000 | PA      | $490364.50    | 0.16%             | 2029-01-31      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2018-EXCL                                                                             | CUSIP: 12433WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230589 | PA      | $216597.91    | 0.07%             | 2037-09-15      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                            | Eagle RE 2019-1 Ltd                                                                            | CUSIP: 269822AD4<br>LEI: 254900L82OLW9QTLJ788 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $492940.15    | 0.16%             | 2029-04-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                                 | PNMAC GMSR ISSUER TRUST 2018-GT2                                                               | CUSIP: 69354WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $498794.70    | 0.17%             | 2025-08-25      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| Newmark Group Inc                                       | Newmark Group Inc                                                                              | CUSIP: 65158NAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1445000 | PA      | $1433645.48   | 0.48%             | 2023-11-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                       | CI Financial Corp                                                                              | CUSIP: 125491AP5<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |   2412000 | PA      | $1429294.61   | 0.48%             | 2051-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works Inc                                   | Bath & Body Works Inc                                                                          | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    625000 | PA      | $587570.63    | 0.20%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                                           | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4737000 | PA      | $3934696.25   | 1.31%             | 2037-03-08      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US LONG BOND(CBT) MAR23                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        22 | NC      | $387.95       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Stack Infrastructure Issuer LLC                         | Stack Infrastructure Issuer LLC                                                                | CUSIP: 85236KAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1813703 | PA      | $1770735.21   | 0.59%             | 2044-02-25      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2021-R01                                                   | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2287519 | PA      | $2096833.25   | 0.70%             | 2041-10-25      | Floating      | 9.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | United States Treasury Note/Bond                                                               | CUSIP: 91282CEG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41350000 | PA      | $40125652.14  | 13.41%            | 2024-03-31      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4685000 | PA      | $4620583.36   | 1.54%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                       | General Motors Co                                                                              | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    871000 | PA      | $811636.36    | 0.27%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                | Celanese US Holdings LLC                                                                       | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   1469000 | PA      | $1451270.42   | 0.48%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | United States Treasury Note/Bond                                                               | CUSIP: 91282CAK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25335000 | PA      | $24541146.52  | 8.20%             | 2023-09-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                       | CI Financial Corp                                                                              | CUSIP: 125491AN0<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |   1140000 | PA      | $867143.63    | 0.29%             | 2030-12-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| PetSmart, Inc.                                          | PetSmart, Inc. 2021 Term Loan B                                                                | CUSIP: 71677HAL9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1190955 | PA      | $1170857.40   | 0.39%             | 2028-02-11      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Hyland Software, Inc.                                   | Hyland Software, Inc. 2018 1st Lien Term Loan                                                  | CUSIP: 44908XAT5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    427628 | PA      | $422397.30    | 0.14%             | 2024-07-01      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| VMC Finance LLC                                         | VMC Finance 2021-HT1 LLC                                                                       | CUSIP: 91835TAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3728000 | PA      | $3496838.65   | 1.17%             | 2037-01-18      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                       | Iron Mountain Inc                                                                              | CUSIP: 46284VAN1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |    929000 | PA      | $765677.16    | 0.26%             | 2031-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RADIAN GROUP INC                                        | Radian Group Inc                                                                               | CUSIP: 750236AW1<br>LEI: 54930005OUP720S5U385 | Long             | DBT              | CORP              | US        |   2587000 | PA      | $2374773.57   | 0.79%             | 2027-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2020-1                                                                 | CUSIP: 61946NAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51233 | PA      | $45150.02     | 0.02%             | 2046-04-20      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BRUNSWICK CORP                                          | Brunswick Corp/DE                                                                              | CUSIP: 117043AV1<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |   2064000 | PA      | $1491048.75   | 0.50%             | 2052-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works Inc                                   | Bath & Body Works Inc                                                                          | CUSIP: 501797AL8<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    621000 | PA      | $553124.70    | 0.18%             | 2035-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                                | American Airlines Inc/AAdvantage Loyalty IP Ltd                                                | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    267000 | PA      | $244508.14    | 0.08%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Sonic Capital LLC                                       | Sonic Capital LLC                                                                              | CUSIP: 83546DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1332173 | PA      | $1187373.55   | 0.40%             | 2050-01-20      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC                                      | Sunnova Helios X Issuer LLC                                                                    | CUSIP: 86744WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1178061 | PA      | $1091621.45   | 0.36%             | 2049-11-22      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                     | Oportun Issuance Trust 2021-C                                                                  | CUSIP: 68377WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    470000 | PA      | $398953.20    | 0.13%             | 2031-10-08      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01 | Multifamily Connecticut Avenue Securities Trust 2020-01                                        | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |   2252000 | PA      | $2088493.31   | 0.70%             | 2050-03-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LLC                         | Stack Infrastructure Issuer LLC                                                                | CUSIP: 85236KAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $187372.46    | 0.06%             | 2044-10-25      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                    | Sabra Health Care LP                                                                           | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              |  | US        |   1244000 | PA      | $928461.71    | 0.31%             | 2031-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ServiceMaster Brands                                    | ServiceMaster Funding LLC                                                                      | CUSIP: 81761TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    419528 | PA      | $315931.06    | 0.11%             | 2051-01-30      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| DICK'S SPORTING GOODS                                   | Dick's Sporting Goods Inc                                                                      | CUSIP: 253393AG7<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |   1793000 | PA      | $1162574.19   | 0.39%             | 2052-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2019-R03                                                   | CUSIP: 20753MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    795000 | PA      | $811463.10    | 0.27%             | 2031-09-25      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| Synovus Financial Corp                                  | Synovus Financial Corp                                                                         | CUSIP: 87161CAM7<br>LEI: 549300EIUS8UN5JTLE54 | Long             | DBT              | CORP              | US        |    979000 | PA      | $959024.73    | 0.32%             | 2029-02-07      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding, LLC                              | DRIVEN BRANDS FUNDING LLC                                                                      | CUSIP: 26208LAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    377225 | PA      | $351895.17    | 0.12%             | 2048-04-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                          | Pagaya AI Debt Selection Trust 2021-3                                                          | CUSIP: 69546RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3949785 | PA      | $3322720.29   | 1.11%             | 2029-05-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                                             | Home RE 2021-1 Ltd                                                                             | CUSIP: 437307AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    325000 | PA      | $309522.23    | 0.10%             | 2033-07-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                            | Centene Corp                                                                                   | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    469000 | PA      | $397536.13    | 0.13%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust 2019-BPR                                            | CUSIP: 05492PAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1555000 | PA      | $1071309.32   | 0.36%             | 2032-11-05      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| SUNRUN CALLISTO ISSUER LLC                              | Sunrun Xanadu Issuer 2019-1 LLC                                                                | CUSIP: 86773PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164564 | PA      | $145947.37    | 0.05%             | 2054-06-30      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                | American Assets Trust LP                                                                       | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              |  | US        |   1010000 | PA      | $803405.75    | 0.27%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Focus Brands Funding LLC                                | FOCUS Brands Funding LLC                                                                       | CUSIP: 34417MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75600 | PA      | $66692.17     | 0.02%             | 2047-04-30      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Diamond Infrastructure Funding LLC                      | Diamond Infrastructure Funding LLC                                                             | CUSIP: 25265LAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    292000 | PA      | $227323.46    | 0.08%             | 2049-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                   | Level 3 Financing Inc                                                                          | CUSIP: 527298BT9<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    450000 | PA      | $324315.07    | 0.11%             | 2029-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                                | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                                            | CUSIP: 74841CAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1426000 | PA      | $1091817.51   | 0.36%             | 2031-03-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BANKUNITED INC                                          | BankUnited Inc                                                                                 | CUSIP: 06652KAB9<br>LEI: 96OVUWEW5D4YX6PFXD91 | Long             | DBT              | CORP              | US        |    500000 | PA      | $464341.15    | 0.16%             | 2030-06-11      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MED Trust                                               | Med Trust 2021-MDLN                                                                            | CUSIP: 58403YBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130000 | PA      | $1026442.62   | 0.34%             | 2038-11-15      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| SERVPRO MASTER ISSUER, LLC                              | SERVPRO Master Issuer LLC                                                                      | CUSIP: 817743AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1649970 | PA      | $1468417.53   | 0.49%             | 2049-10-25      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2020-2                                                                 | CUSIP: 61946PAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175961 | PA      | $149698.57    | 0.05%             | 2046-08-20      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Conn Funding II, L.P                                    | Conn's Receivables Funding 2022-A LLC                                                          | CUSIP: 20825YAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1700000 | PA      | $1229989.10   | 0.41%             | 2026-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Calvert Floating-Rate Advantage Fund                    | Calvert Floating-Rate Advantage Fund                                                           | CUSIP: 13161X865<br>LEI: 549300GG1YFY0YH1UJ86 | Long             | EC               | RF                | US        |     77929 | NS      | $673303.17    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                   | PennyMac Financial Services Inc                                                                | CUSIP: 70932MAB3<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    842000 | PA      | $657920.92    | 0.22%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                | Morgan Stanley Institutional Liquidity Funds - Government Portfolio                            | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   8638859 | NS      | $8638859.49   | 2.89%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                           | PURCHASED EUR / SOLD USD                                                                       | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | XX        |         1 | NC      | $1241.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                      | Ford Motor Co                                                                                  | CUSIP: 345370CQ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    728000 | PA      | $524194.87    | 0.18%             | 2043-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ServiceMaster Brands                                    | ServiceMaster Funding LLC                                                                      | CUSIP: 81761TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193552 | PA      | $155835.00    | 0.05%             | 2051-01-30      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                                | American Airlines Inc/AAdvantage Loyalty IP Ltd                                                | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   2932000 | PA      | $2824693.20   | 0.94%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IMOLA MERGER CORP                                       | Imola Merger Corp                                                                              | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1288000 | PA      | $1120081.61   | 0.37%             | 2029-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                                   | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    534000 | PA      | $407046.11    | 0.14%             | 2031-02-10      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                                       | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1718000 | PA      | $1154049.89   | 0.39%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| ExteNet Systems                                         | ExteNet LLC 2019-1                                                                             | CUSIP: 30227XAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    725000 | PA      | $685421.74    | 0.23%             | 2049-07-26      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                      | CUSIP: 00774MBB0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    615000 | PA      | $565937.93    | 0.19%             | 2024-10-29      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2020-DNA6                                                        | CUSIP: 35566CBD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    275000 | PA      | $259462.94    | 0.09%             | 2050-12-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC             | BBCMS 2017-DELC Mortgage Trust                                                                 | CUSIP: 05552EAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1610000 | PA      | $1549859.09   | 0.52%             | 2036-08-15      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                          | Pagaya AI Debt Selection Trust 2021-5                                                          | CUSIP: 69547EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1261851 | PA      | $1063435.91   | 0.36%             | 2029-08-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Jersey Mike's Funding, LLC                              | Jersey Mike's Funding                                                                          | CUSIP: 476681AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    401962 | PA      | $362473.54    | 0.12%             | 2050-02-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 5YR NOTE (CBT) MAR23                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -140 | NC      | $176827.74    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| EPR Properties                                          | EPR Properties                                                                                 | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              |  | US        |    744000 | PA      | $635948.05    | 0.21%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DXC TECHNOLOGY CO                                       | DXC Technology Co                                                                              | CUSIP: 23355LAM8<br>LEI: 549300DOVZ3EDJB7O259 | Long             | DBT              | CORP              | US        |    248000 | PA      | $209212.72    | 0.07%             | 2028-09-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                                       | Lithia Motors Inc                                                                              | CUSIP: 536797AG8<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |    635000 | PA      | $522957.43    | 0.17%             | 2029-06-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TERRAFORM POWER OPERATIN                                | TerraForm Power Operating LLC                                                                  | CUSIP: 88104LAG8<br>LEI: 5493000S2OLR3UT5BE13 | Long             | DBT              | CORP              | US        |   1095000 | PA      | $954591.86    | 0.32%             | 2030-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                             | Asurion LLC 2020 Term Loan B8                                                                  | CUSIP: 04649VAX8<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    294000 | PA      | $262447.63    | 0.09%             | 2026-12-23      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITE                                | Perrigo Finance Unlimited Co                                                                   | CUSIP: 71429MAC9<br>LEI: 549300E86RB6YCTMRM83 | Long             | DBT              | CORP              | IE        |   1119000 | PA      | $954929.21    | 0.32%             | 2030-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                        | Bellemeade Re 2017-1 Ltd                                                                       | CUSIP: 078767AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    655000 | PA      | $660649.18    | 0.22%             | 2027-10-25      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1205000 | PA      | $1208766.17   | 0.40%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES CELLULAR C                                | United States Cellular Corp                                                                    | CUSIP: 911684702<br>LEI: 549300B164AZXESI6E03 | Long             | EP               | CORP              | US        |     27000 | NS      | $431190.00    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                | Delta Air Lines Inc / SkyMiles IP Ltd                                                          | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    757000 | PA      | $712722.71    | 0.24%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MACQUARIE BANK LTD                                      | Macquarie Bank Ltd                                                                             | CUSIP: 556079AC5<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |    631000 | PA      | $511542.31    | 0.17%             | 2030-06-03      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Stacr Remic Trust 2019-Hqa4                                                        | CUSIP: 35565CBD7<br>LEI: 5493005LAQ76UDHPEE03 | Long             | ABS-MBS          | USGSE             | US        |    290000 | PA      | $284089.51    | 0.09%             | 2049-11-25      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                                 | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    733000 | PA      | $725670.00    | 0.24%             | 2029-08-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Sunnova Sol Issuer,LLC                                  | Sunnova Sol II Issuer LLC                                                                      | CUSIP: 86745PAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    639567 | PA      | $512563.70    | 0.17%             | 2055-11-01      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Nokia OYJ                                               | Nokia Oyj                                                                                      | CUSIP: 654902AE5<br>LEI: 549300A0JPRWG1KI7U06 | Long             | DBT              | CORP              | FI        |   1301000 | PA      | $1230472.22   | 0.41%             | 2027-06-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                                  | CUSIP: 172967MU2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    659000 | PA      | $575715.58    | 0.19%             | 2025-12-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                | Ford Motor Credit Co LLC                                                                       | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1237000 | PA      | $1270646.40   | 0.42%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Activity Co                  | Prodigy Finance CM2021-1 DAC                                                                   | CUSIP: 742855AC3<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |    986000 | PA      | $969977.70    | 0.32%             | 2051-07-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| BROADSTONE NET LEASE LLC                                | Broadstone Net Lease LLC                                                                       | CUSIP: 11135EAA2<br>LEI: 54930089IBT6J4WBTI50 | Long             | DBT              |  | US        |    305000 | PA      | $229319.92    | 0.08%             | 2031-09-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                                  | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2255000 | PA      | $2333490.80   | 0.78%             | 2033-11-17      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities, LLC                            | Business Jet Securities 2020-1 LLC                                                             | CUSIP: 12327FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    282237 | PA      | $257402.54    | 0.09%             | 2035-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                     | Ashtead Capital Inc                                                                            | CUSIP: 045054AJ2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    441000 | PA      | $402857.67    | 0.13%             | 2028-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Thunderbolt Aircraft Lease Limited/ US LLC              | Thunderbolt Aircraft Lease Ltd                                                                 | CUSIP: 88606WAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    353189 | PA      | $189085.91    | 0.06%             | 2032-05-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | United States Treasury Note/Bond                                                               | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1384000 | PA      | $1392541.88   | 0.47%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                          | Air Lease Corp                                                                                 | CUSIP: 00914AAS1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1506270.75   | 0.50%             | 2032-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2022-CNTR                                                                                 | CUSIP: 12665CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    508000 | PA      | $446560.19    | 0.15%             | 2024-01-15      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust                      | Prosper Marketplace Issuance Trust Series 2019-4                                               | CUSIP: 74362GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    373042 | PA      | $368575.15    | 0.12%             | 2026-02-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                           | Radnor RE 2021-2 Ltd                                                                           | CUSIP: 75049GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    361645 | PA      | $358591.55    | 0.12%             | 2031-11-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Sunnova Sol Issuer,LLC                                  | Sunnova Sol Issuer LLC                                                                         | CUSIP: 86745NAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1876921 | PA      | $1590852.60   | 0.53%             | 2055-02-01      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                    | OneMain Finance Corp                                                                           | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    693000 | PA      | $574649.46    | 0.19%             | 2027-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust 2020-3                                                            | CUSIP: 91680EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2300000 | PA      | $2237300.39   | 0.75%             | 2030-11-20      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                    | OneMain Finance Corp                                                                           | CUSIP: 85172FAN9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    966000 | PA      | $920704.26    | 0.31%             | 2026-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| PMT ISSUER TRUST - FMSR                                 | PMT Issuer Trust - FMSR                                                                        | CUSIP: 69346MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $486054.40    | 0.16%             | 2026-03-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond Credit Trust              | Consumer Loan Underlying Bond CLUB Credit Trust 2020-P1                                        | CUSIP: 21055JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    534127 | PA      | $520573.84    | 0.17%             | 2028-03-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| NUSTAR LOGISTICS LP                                     | NuStar Logistics LP                                                                            | CUSIP: 67059TAH8<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |    440000 | PA      | $407633.47    | 0.14%             | 2030-10-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| SkyMiles IP Ltd.                                        | SkyMiles IP Ltd. 2020 Skymiles Term Loan B                                                     | CUSIP: 24736CBS2<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | KY        |         0 | PA      | $0.00         | 0.00%             | 2027-10-20      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                                | Vantage Data Centers Issuer LLC                                                                | CUSIP: 92212KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1218967 | PA      | $1159463.51   | 0.39%             | 2044-07-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Seagate HDD Cayman                                      | Seagate HDD Cayman                                                                             | CUSIP: 81180WAN1<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |   2038000 | PA      | $1731596.97   | 0.58%             | 2034-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                            | Eagle RE 2021-2 Ltd                                                                            | CUSIP: 26982AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    861000 | PA      | $828558.12    | 0.28%             | 2034-04-25      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC                                      | Sunnova Helios V Issuer LLC                                                                    | CUSIP: 86746EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1429862 | PA      | $1148109.69   | 0.38%             | 2048-02-20      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| SES GLOBAL AMERICAS HLDG                                | SES GLOBAL Americas Holdings Inc                                                               | CUSIP: 78413KAB8<br>LEI: 5299000YGN3VJ3R60481 | Long             | DBT              | CORP              | US        |    410000 | PA      | $315466.17    | 0.11%             | 2044-03-25      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 20754KAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179592 | PA      | $165984.67    | 0.06%             | 2041-11-25      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                  | Cascade MH Asset Trust 2022-MH1                                                                | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    918867 | PA      | $807030.08    | 0.27%             | 2054-08-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Stacr Remic Trust 2020-HQA2                                                        | CUSIP: 35565LBD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    569000 | PA      | $561434.41    | 0.19%             | 2050-03-25      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                        | Bellemeade RE 2021-3 Ltd                                                                       | CUSIP: 078777AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2220000 | PA      | $2106352.87   | 0.70%             | 2031-09-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust                                   | Theorem Funding Trust 2021-1                                                                   | CUSIP: 88339VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    891000 | PA      | $830192.64    | 0.28%             | 2027-12-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| MACY'S RETAIL HLDGS LLC                                 | Macy's Retail Holdings LLC                                                                     | CUSIP: 55616XAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    495000 | PA      | $299227.50    | 0.10%             | 2043-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OP LLC                                  | Clearway Energy Operating LLC                                                                  | CUSIP: 18539UAE5<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |    401000 | PA      | $322947.60    | 0.11%             | 2032-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2019-R06                                                   | CUSIP: 20754JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1809550 | PA      | $1783748.53   | 0.60%             | 2039-09-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                | Liberty Mutual Group Inc                                                                       | CUSIP: 53079EBM5<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   1457000 | PA      | $1188853.76   | 0.40%             | 2051-12-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| LUNAR AIRCRAFT 2020-1 LIMITED                           | LUNAR AIRCRAFT 2020-1 LTD                                                                      | CUSIP: 55037LAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106225 | PA      | $68401.97     | 0.02%             | 2045-02-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US ULTRA BOND CBT MAR23                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -60 | NC      | $-9343.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Ally Financial Inc                                      | Ally Financial Inc                                                                             | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1035067.59   | 0.35%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                   | FMC GMSR Issuer Trust                                                                          | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1029000 | PA      | $828122.74    | 0.28%             | 2026-10-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| ENGIE ENERGIA CHILE SA                                  | Engie Energia Chile SA                                                                         | CUSIP: 29287TAA7<br>LEI: 5493000FIKCC3ZDWTO77 | Long             | DBT              | CORP              | CL        |    790000 | PA      | $646430.72    | 0.22%             | 2030-01-28      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Coinstar Funding, LLC                                   | Coinstar Funding LLC Series 2017-1                                                             | CUSIP: 19260MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1131165 | PA      | $869469.64    | 0.29%             | 2047-04-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities               | Multifamily Connecticut Avenue Securities Trust 2019-01                                        | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   1565867 | PA      | $1474830.71   | 0.49%             | 2049-10-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Conn Funding II, L.P                                    | Conn's Receivables Funding 2021-A LLC                                                          | CUSIP: 20825GAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    930000 | PA      | $913694.87    | 0.31%             | 2026-05-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| PATTERN ENERGY OP LP/PAT                                | Pattern Energy Operations LP / Pattern Energy Operations Inc                                   | CUSIP: 70339PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    910000 | PA      | $817548.07    | 0.27%             | 2028-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Willis Engine Securitization Trust                      | Willis Engine Structured Trust V                                                               | CUSIP: 97064FAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    227942 | PA      | $157863.88    | 0.05%             | 2045-03-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD PROPERTY PART                                | Brookfield Property Partners LP                                                                | CUSIP: 000000000<br>LEI: 5493004J5Z0TZW83NU62 | Long             | EP               | CORP              | BM        |     77941 | NS      | $1054541.73   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST                              | Upstart Pass-Through Trust Series 2020-ST1                                                     | CUSIP: 91679MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1116632 | PA      | $1094399.45   | 0.37%             | 2028-02-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                   | Toronto-Dominion Bank/The                                                                      | CUSIP: 89117F8Z5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1820000 | PA      | $1897350.00   | 0.63%             | 2082-10-31      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Calvert Management Series

**Signature:** James Kirchner

**Name of Signer:** James Kirchner

**Title:** Treasurer