# EDGAR Filing Document

**Accession Number:** 0001318025
**File Stem:** 0001318025-23-000008
**Filing Date:** 2023-3
**Character Count:** 194818
**Document Hash:** 1924c05aca7fbd6f05840b65db91fd5f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001318025-23-000008.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001318025-23-000008

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO Global StocksPLUS & Income Fund
- **CENTRAL INDEX KEY:** 0001318025
- **IRS NUMBER:** 202726382
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21734
- **FILM NUMBER:** 23688748

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PIMCO Global StocksPLUS Income Fund
- **DATE OF NAME CHANGE:** 20050321

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PIMCO International StocksPLUS Income Fund
- **DATE OF NAME CHANGE:** 20050216

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Global StocksPLUS & Income Fund

- **b. Investment Company Act file number:** 811-21734

- **c. CIK number of Registrant:** 0001318025

- **d. LEI of Registrant:** CW3W37V8QY7DVX87PQ66

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $223420283.05

**Total Liabilities:** $145517329.96

**Net Assets:** $77902953.09

**Cash Not Reported:** $4717417.40

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -562.058100 | **1-Year:** 2664.836800 | **5-Year:** 22322.121300 | **10-Year:** 1663.921200 | **30-Year:** -9041.180000

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

- **3-Month:** 6317.874900 | **1-Year:** 5969.505200 | **5-Year:** 8745.427600 | **10-Year:** 1612.113200 | **30-Year:** 636.161500

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 3.10%                | 13.41%               | -5.16%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1506173.12             | $462203.11                                 |
| Month 2  | $2552555.76              | $20101.56                                  |
| Month 3  | $687504.14               | $-1935793.05                               |

**Designated Index Information**

- **Index Name:** MSCI World Net Total Return USD Index

- **Index Identifier:** NDDUWI

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BANC OF AMERICA FUNDING CORP 2004-B                            | BANC OF AMERICA FUNDING CORPOR BAFC 2004 B 1A2              | CUSIP: 05946XHW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191979 | PA      | $136087.38    | 0.17%             | 2034-12-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS CAD 3.30000 06/19/14-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-75915.66    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS CAD 3.50000 06/20/14-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $25395.23     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                            | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 3A1              | CUSIP: 058928AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124480 | PA      | $111913.52    | 0.14%             | 2036-03-20      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS EUR -0.15000 03/18/20-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $303837.98    | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS EUR 0.15000 06/17/20-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $642755.39    | 0.83%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS EUR 0.25000 03/18/20-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-191899.50   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS EUR 0.25000 09/21/22-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $212804.91    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS EUR 0.50000 06/17/20-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-426378.68   | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS EUR 0.65000 02/26/19-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-899786.19   | -1.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS EUR 0.83000 12/09/42-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $41765.76     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS EUR 1.25000 08/19/19-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $735450.40    | 0.94%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-1                            | BANC OF AMERICA FUNDING CORPOR BAFC 2007 1 TA1B             | CUSIP: 05951FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98088 | PA      | $85262.02     | 0.11%             | 2037-01-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 4.50000 03/05/21-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-8175.71     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 4.55000 03/01/21-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-13612.62    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 7.49500 01/26/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $784.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 7.49750 01/27/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $3128.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 8.41000 04/06/22-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $266.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 8.66000 04/07/22-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $1380.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 8.67500 04/06/22-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $3366.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 8.70100 04/13/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $54.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 8.73000 04/12/22-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $119.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 8.73200 04/12/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $2.36         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS MXN 8.75000 04/08/22-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $1195.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 01/26 1.875      | CUSIP: ACI1T7K79<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    300000 | PA      | $276219.32    | 0.35%             | 2026-01-09      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 0.25000 06/16/21-3Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $205610.97    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 0.75000 06/16/21-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-503068.83   | -0.65%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 1.00000 12/16/20-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $79140.50     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 04/25 2.625      | CUSIP: ACI1J7WJ1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    739000 | PA      | $717850.95    | 0.92%             | 2025-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 09/24 3.625      | CUSIP: BJSF9FII4<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    600000 | PA      | $611249.35    | 0.78%             | 2024-09-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 1.50000 12/15/21-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $164231.09    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR        | CUSIP: ACI0ZY1X9<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    100000 | PA      | $86549.27     | 0.11%             | 2028-01-18      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 1.75000 01/15/20-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $79345.90     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/30 VAR        | CUSIP: ACI1J42S1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    390000 | PA      | $366313.70    | 0.47%             | 2030-01-22      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 2.00000 02/12/20-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $511557.64    | 0.66%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 2.00000 03/10/20-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $57645.42     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 3.00000 06/19/19-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $126509.59    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 3.00000 12/19/18-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-194614.30   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 07/29 10.5       | CUSIP: ACI1DBG64<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    634000 | PA      | $630310.10    | 0.81%             | 2029-07-23      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 09/30 VAR        | CUSIP: ACI1R35P7<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $188844.42    | 0.24%             | 2030-09-10      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | OIS USD FEDL01/0.10000 01/13/22-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $63528.08     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR GBP SONIO/0.75000 09/21/22-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $359551.37    | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO DEL PERU SA                                   | BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65       | CUSIP: 05971U2B2<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |    100000 | PA      | $24599.99     | 0.03%             | 2024-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/1.00000 06/15/22-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3156827.96  | -4.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/1.50000 06/15/22-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1766959.47   | 2.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/1.75000 06/15/22-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-32991.66    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/1.75000 06/15/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $251857.40    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/1.75000 06/15/22-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1425323.73   | 1.83%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/1.75000 06/15/22-7Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-38827.18    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/2.30000 01/17/24-2Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7151.22      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/2.35000 01/17/24-1Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $28155.15     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/2.45000 12/20/23-1Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $55078.94     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.14 03/29/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-1859.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.16 03/29/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-1224.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.22 03/25/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-2212.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.245 03/25/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-723.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.26 03/25/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-715.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.35 03/28/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-1075.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.7 03/24/22-01/04/27 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-473.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.715 03/24/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-1395.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 11.87 03/22/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-3049.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12 03/23/22-01/02/25 CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-1718.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.08 03/21/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-2552.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.14 03/21/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-1161.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.145 03/22/22-01/02/25 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-1153.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.16 03/21/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-2246.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.67 03/29/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $483.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.69 03/29/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $289.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.74 03/25/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $650.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.75 03/28/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $346.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.76 03/25/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $569.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.9 03/21/22-01/02/23 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $700.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.93 03/24/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $73.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.9385 03/21/22-01/02/23 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $292.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.946 03/22/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $706.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.96 03/21/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $487.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.97 03/22/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $246.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.97 03/23/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $314.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 12.97 03/24/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $271.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ZCS BRL 6.17 03/18/21-01/02/23 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $207753.43    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT IDR SOLD USD 20230214                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $2360.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT ZAR SOLD USD 20230118                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $2133.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD GBP BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $2260.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | WINDSTREAM HOLDINGS II, LLC 8725909B2                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |     52536 | NC      | $1063531.69   | 1.37%             |  |  |  | No            |                  3 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-2                               | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 2 A15             | CUSIP: 05950GAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       696 | PA      | $589.57       | 0.00%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                             | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                   | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     97913 | NS      | $102808.65    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                           | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1             | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321814 | PA      | $258817.81    | 0.33%             | 2036-01-26      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                           | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1             | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169170 | PA      | $122067.20    | 0.16%             | 2046-12-26      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-2                           | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 2 3A2             | CUSIP: 07388DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82309 | PA      | $72127.88     | 0.09%             | 2036-07-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-2                                   | BEAR STEARNS ALT A TRUST BALTA 2005 2 2A2A                  | CUSIP: 07386HQX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90888 | PA      | $74869.04     | 0.10%             | 2035-04-25      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1                  | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66966 | PA      | $41625.87     | 0.05%             | 2035-09-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                | BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1                  | CUSIP: 07386HYE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70288 | PA      | $56368.36     | 0.07%             | 2035-11-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006-AC2          | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC2 22A2          | CUSIP: 07387UGW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1631531 | PA      | $956279.26    | 1.23%             | 2036-03-25      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3            | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 1A3           | CUSIP: 073888AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    518794 | PA      | $237723.01    | 0.31%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS COMM MTG SEC 2004-PWR3                            | BEAR STEARNS COMMERCIAL MORTGA BSCMS 2004 PWR3 H 144A       | CUSIP: 07383FYS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142614 | PA      | $142468.37    | 0.18%             | 2041-02-11      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| BELLE HAVEN ABS CDO LTD 2006-1A                                | BELLE HAVEN ABS CDO LTD BLHV 2006 1A A1 144A                | CUSIP: 078452AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  34966044 | PA      | $258224.23    | 0.33%             | 2046-07-05      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTGE SEC BCM 2000 A                         | BOMBARDIER CAPITAL MORTGAGE SE BCM 2000 A A3                | CUSIP: 09774XBP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1421439 | PA      | $213446.37    | 0.27%             | 2030-06-15      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES 2018-2A                       | CARLYLE GLOBAL MARKET STRATEGI CGMS 2018 2A SUB 144A        | CUSIP: 14317QAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $272783.26    | 0.35%             | 2031-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A               | CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 1A INC 144A        | CUSIP: 14311CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $510210.65    | 0.65%             | 2031-04-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-1 LTD 14-1A     | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 1A SUB 144A       | CUSIP: ACI18MPH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    900000 | PA      | $285308.51    | 0.37%             | 2027-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-3 DAC           | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 3A SUB 144A       | CUSIP: ACI18FBB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    300000 | PA      | $101018.58    | 0.13%             | 2032-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORPORATION                                           | CARNIVAL CORPORATION USD TERM LOAN B                        | CUSIP: P2121YAN8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | LON              | CORP              | PA        |    394937 | PA      | $379773.11    | 0.49%             | 2025-06-30      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-NC3                            | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 NC3 A3             | CUSIP: 144528AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38562 | PA      | $36237.21     | 0.05%             | 2036-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                     | CARVANA CO COMPANY GUAR 144A 05/30 10.25                    | CUSIP: 146869AJ1<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    400000 | PA      | $188701.38    | 0.24%             | 2030-05-01      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| CBA COMMERCIAL SMALL BALANCE CMM 2006-2A                       | CBS COMMERCIAL SMALL BALANCE C CBAC 2006 2A A 144A          | CUSIP: 14983CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120743 | PA      | $111169.68    | 0.14%             | 2039-01-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                         | CGG SA SR SECURED 144A 04/27 7.75                           | CUSIP: ACI1WM066<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |    132000 | PA      | $115953.77    | 0.15%             | 2027-04-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                         | CGG SA SR SECURED 144A 04/27 8.75                           | CUSIP: 12531TAF6<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |   1887000 | PA      | $1511497.59   | 1.94%             | 2027-04-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2003-4A                         | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2003 4A A1 144A        | CUSIP: 16678RAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1963 | PA      | $1827.26      | 0.00%             | 2034-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-3A                          | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 3A A2 144A        | CUSIP: 16678RBV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33499 | PA      | $30260.35     | 0.04%             | 2035-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                               | CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8            | CUSIP: 12543DBC3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    481000 | PA      | $438912.50    | 0.56%             | 2026-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MTGE TRUST 2007-C6                        | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJ              | CUSIP: 17311QBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465938 | PA      | $229940.56    | 0.30%             | 2049-12-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2014-6                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2014 6 3A3 144A         | CUSIP: 17322WAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1072807 | PA      | $619464.21    | 0.80%             | 2035-11-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A1A           | CUSIP: 17311WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53631 | PA      | $50554.08     | 0.06%             | 2037-03-25      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-OPX1                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 OPX1 A1B           | CUSIP: 17311FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128714 | PA      | $43939.36     | 0.06%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3                       | CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ                 | CUSIP: 14986DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67447 | PA      | $59475.81     | 0.08%             | 2048-10-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| CITY OF BUENOS AIRES                                           | CITY OF BUENOS AIRES UNSECURED 02/28 VAR                    | CUSIP: ACI0Z1129<br>LEI: 5299007MC8RF52X0ON96 | Long             | DBT              | MUN               | AR        |    449200 | PA      | $1393.28      | 0.00%             | 2028-02-22      | Floating      | 53.21%                | No            |                  2 | On Loan: No      |
| CITY OF CHICAGO                                                | CHICAGO IL CHI 01/42 FIXED 7.75                             | CUSIP: 167486D22<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |     12000 | PA      | $12201.05     | 0.02%             | 2042-01-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1                        | COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM             | CUSIP: 20173WAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    344127 | PA      | $55103.34     | 0.07%             | 2049-12-10      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R01                   | FANNIE MAE   CAS CAS 2021 R01 1B1 144A                      | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $848301.57    | 1.09%             | 2041-10-25      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-5                          | CONSECO FINANCE SECURITIZATION CNF 2000 5 A6                | CUSIP: 20846QEQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    365453 | PA      | $117918.37    | 0.15%             | 2031-05-01      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                   | CORESTATE CAPITAL HOLD SR UNSECURED REGS 04/23 3.5          | CUSIP: ACI11QWM1<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |    600000 | PA      | $100535.76    | 0.13%             | 2023-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2004-14T2                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 14T2 A12          | CUSIP: 12667FMY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183139 | PA      | $172682.41    | 0.22%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-18CB                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 18CB 5A2          | CUSIP: 12667FRD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28819 | PA      | $27491.83     | 0.04%             | 2034-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-43                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 43 4A3            | CUSIP: 12667G5Y5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76174 | PA      | $62331.75     | 0.08%             | 2035-10-25      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-44                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 44 1A1            | CUSIP: 12667G3L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    428512 | PA      | $302365.51    | 0.39%             | 2035-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 20CB A5           | CUSIP: 02147MAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    764863 | PA      | $120078.60    | 0.15%             | 2036-07-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 2A6           | CUSIP: 12668BSL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1185633 | PA      | $370432.57    | 0.48%             | 2036-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA18 A2           | CUSIP: 23244GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52273 | PA      | $32330.12     | 0.04%             | 2046-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A3           | CUSIP: 12667GLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418934 | PA      | $393984.55    | 0.51%             | 2035-07-25      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY13 4A1          | CUSIP: 02149DAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70159 | PA      | $59686.21     | 0.08%             | 2037-02-25      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 23CB 2A1          | CUSIP: 02147RAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    989796 | PA      | $355469.64    | 0.46%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 86CB A5           | CUSIP: 12668BFE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12469 | PA      | $7981.35      | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-SD3                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 SD3 A2 144A         | CUSIP: 126673FK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25592 | PA      | $24085.87     | 0.03%             | 2034-09-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-12                                 | COUNTRYWIDE HOME LOANS CWHL 2004 12 11A2                    | CUSIP: 12669FN66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10766 | PA      | $10682.37     | 0.01%             | 2034-08-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                 | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A2                     | CUSIP: 12669GKG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50662 | PA      | $42051.81     | 0.05%             | 2035-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-15                                 | COUNTRYWIDE HOME LOANS CWHL 2005 15 A7                      | CUSIP: 12669GR37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11527 | PA      | $6782.77      | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB6                               | COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 1A1                   | CUSIP: 126694BE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69094 | PA      | $62286.49     | 0.08%             | 2035-10-20      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB6                               | COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 4A1B                  | CUSIP: 126694BQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33274 | PA      | $31199.17     | 0.04%             | 2035-10-20      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB6                               | COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 5A1                   | CUSIP: 126694BS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9043 | PA      | $8244.02      | 0.01%             | 2035-10-20      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                  | COUNTRYWIDE HOME LOANS CWHL 2006 3 1A1                      | CUSIP: 126694YJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100682 | PA      | $87152.40     | 0.11%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB1                               | COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 1A1                   | CUSIP: 22239EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220965 | PA      | $169538.33    | 0.22%             | 2037-03-25      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                             | CREDIT AGRICOLE SA JR SUBORDINA REGS 12/49 VAR              | CUSIP: F22797RT7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $198811.20    | 0.26%             | 2024-01-23      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                         | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR          | CUSIP: 225401AK4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $143801.69    | 0.18%             | 2025-09-12      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-9                         | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 9 3A1                | CUSIP: 126380AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103817 | PA      | $84868.94     | 0.11%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                | IHEARTMEDIA INC   CLASS A COMMON STOCK                      | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     22927 | NS      | $140542.51    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| IHEARTMEDIA INC                                                | IHEARTMEDIA INC   CLASS B COMMON STOCK                      | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     17837 | NS      | $98406.73     | 0.13%             |  |  |  | No            |                  3 | On Loan: No      |
| INTELSAT SA                                                    | INTELSAT EMERGENCE SA COMMON STOCK                          | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |     34279 | NS      | $822696.00    | 1.06%             |  |  |  | Yes           |                  3 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC                                       | DIAMOND SPORTS GROUP LLC 2022 FIRST PRI TERM LOAN           | CUSIP: 25277BAE8<br>LEI: 5493002K6DHWNZH8YA34 | Long             | LON              | CORP              | US        |   1296742 | PA      | $1232177.07   | 1.58%             | 2026-05-25      | Floating      | 12.32%                | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                           | DISH DBS CORP SR SECURED 144A 12/26 5.25                    | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1519578.00   | 1.95%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORPORATION                                       | DISH NETWORK CORP SR UNSECURED 08/26 3.375                  | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    600000 | PA      | $377400.00    | 0.48%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DTEK ENERGY BV (AKA: DTEK HOLDINGS BV)                         | DTEK ENERGY BV COMPANY GUAR REGS 12/27 7                    | CUSIP: ACI1XVP76<br>LEI: 9845009A70B44Q680820 | Long             | DBT              | CORP              | NL        |    748652 | PA      | $206347.21    | 0.26%             | 2027-12-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EXELA INTERMEDIATE LLC / EXELA FINANCE INC                     | EXELA INTERMED/EXELA FIN SR SECURED 144A 07/26 11.5         | CUSIP: 30162RAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     17000 | PA      | $2975.00      | 0.00%             | 2026-07-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                           | EXTENDED STAY AMERICA TRUST ESA 2021 ESH F 144A             | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    976192 | PA      | $919113.87    | 1.18%             | 2038-07-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-122                                            | FANNIE MAE FNR 2005 122 SG                                  | CUSIP: 31394VED8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32385 | PA      | $1048.84      | 0.00%             | 2035-11-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-109                                            | FANNIE MAE FNR 2007 109 AI                                  | CUSIP: 31396XY73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    180417 | PA      | $11231.26     | 0.01%             | 2037-12-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-15                                             | FANNIE MAE FNR 2007 15 AI                                   | CUSIP: 31396PWK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    145164 | PA      | $10989.80     | 0.01%             | 2037-03-25      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-4                                              | FANNIE MAE FNR 2007 4 SL                                    | CUSIP: 31396PMQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    128290 | PA      | $13849.16     | 0.02%             | 2037-02-25      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-54                                             | FANNIE MAE FNR 2007 54 NI                                   | CUSIP: 31396WFM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     66867 | PA      | $3823.52      | 0.00%             | 2037-06-25      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-41                                             | FANNIE MAE FNR 2008 41 S                                    | CUSIP: 31397LLL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    699868 | PA      | $69559.44     | 0.09%             | 2036-11-25      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-87                                             | FANNIE MAE FNR 2009 87 HS                                   | CUSIP: 31398FR45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    119457 | PA      | $8701.36      | 0.01%             | 2039-11-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICULT AVENUE SECURITIES 2017-C01             | FANNIE MAE   CAS CAS 2017 C01 1B1                           | CUSIP: 30711XEQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    220000 | PA      | $240172.55    | 0.31%             | 2029-07-25      | Floating      | 10.14%                | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-22                                      | FANNIE MAE FNR 2007 22 SW                                   | CUSIP: 31396PT92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    121794 | PA      | $9017.89      | 0.01%             | 2037-03-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-88                                      | FANNIE MAE FNR 2007 88 JI                                   | CUSIP: 31396XUR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    382402 | PA      | $31956.23     | 0.04%             | 2037-04-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-31                                      | FANNIE MAE FNR 2014 31 US                                   | CUSIP: 3136AKDX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    223820 | PA      | $132217.47    | 0.17%             | 2044-06-25      | Floating      | 0.36%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-62                                      | FANNIE MAE FNR 2019 62 SN                                   | CUSIP: 3136B62S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    112656 | PA      | $15222.19     | 0.02%             | 2049-11-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1993-250                                            | FANNIE MAE FNR 1993 250 DZ                                  | CUSIP: 31359FWN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6412 | PA      | $6416.93      | 0.01%             | 2023-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2007-117                                            | FANNIE MAE FNR 2007 117 SG                                  | CUSIP: 31396YAW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    186882 | PA      | $13485.72     | 0.02%             | 2038-01-25      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2020-38                                             | FANNIE MAE FNR 2020 38 NI                                   | CUSIP: 3136BAGT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12090852 | PA      | $1828805.52   | 2.35%             | 2050-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W-8                                  | FANNIEMAE WHOLE LOAN FNW 2003 W8 PT1                        | CUSIP: 31393CY31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32005 | PA      | $33069.07     | 0.04%             | 2042-12-25      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN-1996-W2                                   | FANNIEMAE WHOLE LOAN FNW 1996 W2 A7                         | CUSIP: 31359KGH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       501 | PA      | $507.13       | 0.00%             | 2026-06-25      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-AA6                             | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA6 2A1           | CUSIP: 32052MAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158043 | PA      | $113714.44    | 0.15%             | 2036-11-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2006-AR4                              | FIRST HORIZON MORTGAGE PASS TH FHASI 2006 AR4 1A2           | CUSIP: 32053AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192939 | PA      | $122329.88    | 0.16%             | 2037-01-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| NMG PARENT                                                     | NEIMAN MARCUS USD COMMON STOCK EQUITY                       | CUSIP: 967DUC905<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       516 | NS      | $90843.95     | 0.12%             |  |  |  | Yes           |                  3 | On Loan: No      |
| NOBLE CORPORATION PLC                                          | NOBLE CORP PLC COMMON STOCK                                 | CUSIP: G65431127<br>LEI: 549300I3HBUNXO0OG954 | Long             | EC               | CORP              | GB        |      2732 | NS      | $103023.72    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| OCP CLO LTD 2016-11A                                           | OCP CLO 2016 11 LTD PREFERRED STOCK 04/28 0.00000           | CUSIP: 67092H209<br>LEI: N/A                  | Long             | EP               | CORP              | KY        |      1400 | NS      | $636765.29    | 0.82%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                           | FNMA POOL BM5807 FN 04/48 FIXED VAR                         | CUSIP: 3140JANZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    294468 | PA      | $273145.84    | 0.35%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                           | FNMA POOL MA3305 FN 03/48 FIXED 3.5                         | CUSIP: 31418CU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     93424 | PA      | $86500.78     | 0.11%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORBES ENERGY SERVICES LLC                                     | FORBES ENERGY SERVICES LLC 2018 PIK FIIXED TERM LOAN        | CUSIP: 943UMZII5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1095 | PA      | $0.00         | 0.00%             | 2023-06-30      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| FORBES ENERGY SERVICES LLC                                     | FORBES ENERGY SERVICES LLC PIK EXIT TERM LOAN               | CUSIP: 962XCSII2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     78981 | PA      | $0.00         | 0.00%             | 2023-06-30      | Fixed         | 5.30%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC 3211                                               | FREDDIE MAC FHR 3211 SH                                     | CUSIP: 31397BA50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    352120 | PA      | $31255.86     | 0.04%             | 2036-09-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3218                                               | FREDDIE MAC FHR 3218 SA                                     | CUSIP: 31397BJY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    171033 | PA      | $13043.21     | 0.02%             | 2036-09-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3284                                               | FREDDIE MAC FHR 3284 NI                                     | CUSIP: 31397FM74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    312291 | PA      | $25382.36     | 0.03%             | 2037-03-15      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1         | FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 XA1 144A       | CUSIP: 35563CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5498186 | PA      | $352016.12    | 0.45%             | 2055-11-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                        | FREDDIE MAC FHR 4990 SN                                     | CUSIP: 3137FUYG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1151675 | PA      | $132471.50    | 0.17%             | 2050-05-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                        | FREDDIE MAC   STACR STACR 2021 DNA6 B2 144A                 | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1026421.68   | 1.32%             | 2041-10-25      | Floating      | 11.43%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2017-DNA2 | FREDDIE MAC   STACR STACR 2017 DNA2 B1                      | CUSIP: 3137G0PR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $268993.53    | 0.35%             | 2029-10-25      | Floating      | 9.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1560                                               | FREDDIE MAC FHR 1560 Z                                      | CUSIP: 3133T0VX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       168 | PA      | $167.42       | 0.00%             | 2023-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                        | GTWY CASINO+ENTERTAINMNT LTD 2021 CAD TERM LOAN             | CUSIP: 943ZHKII3<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |    242707 | PA      | $177011.41    | 0.23%             | 2027-10-18      | Fixed         | 12.56%                | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                        | GTWY CASINO+ENTERTAINMNT LTD 2021 TERM LOAN                 | CUSIP: 943ZERII1<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |   1112463 | PA      | $1098557.21   | 1.41%             | 2027-10-15      | Fixed         | 12.14%                | No            |                  2 | On Loan: No      |
| SIERRA HAMILTON HOLDINGS LLC                                   | SIERRA HAMILTON HOLDER LLC                                  | CUSIP: 932BTZ902<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    100456 | NS      | $10.05        | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| AXIS ENERGY SERVICES HOLDINGS LLC                              | AXIS ENERGY SERVICES CLASS A EQTY009T1 AXIS ENERGY SERVICES | CUSIP: 942WZK900<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       514 | NS      | $17941.64     | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| STICHTING AK RABOBANK CERTIFICATEN                             | STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR           | CUSIP: BJBQCWII7<br>LEI: N/A                  | Long             | EP               | CORP              | NL        |   1890000 | NS      | $1945656.84   | 2.50%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                           | GNMA II TBA 30 YR 3.5 JUMBOS                                | CUSIP: 21H032621<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3300000 | PA      | $3034781.81   | 3.90%             | 2053-02-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                           | GNMA II TBA 30 YR 4.5 JUMBOS                                | CUSIP: 21H042612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1552360.06   | 1.99%             | 2053-01-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE CORPORATION                                          | SYNIVERSE PFD PIK PFDJJZ917                                 | CUSIP: 936UVD902<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    308008 | NS      | $295995.40    | 0.38%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI SIENA COMMON STOCK                   | CUSIP: ACI28SXK1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | EC               | CORP              | IT        |    123500 | NS      | $254433.11    | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-168              | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 168 AS              | CUSIP: 38381BGP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    930160 | PA      | $66771.53     | 0.09%             | 2048-12-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GREEK GOVT                                                     | HELLENIC REPUBLIC BONDS REGS 01/33 3.9                      | CUSIP: ACI0Z3H77<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    162316 | PA      | $166143.41    | 0.21%             | 2033-01-30      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GREEK GOVT                                                     | HELLENIC REPUBLIC BONDS REGS 01/37 4                        | CUSIP: ACI0Z3HB8<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    127210 | PA      | $127785.34    | 0.16%             | 2037-01-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREEK GOVT                                                     | HELLENIC REPUBLIC BONDS REGS 01/42 4.2                      | CUSIP: ACI0Z3HC6<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    158677 | PA      | $169293.26    | 0.22%             | 2042-01-30      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GREEK GOVT                                                     | HELLENIC REPUBLIC SR UNSECURED 144A REGS 04/27 2            | CUSIP: ACI1LSSZ1<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     73000 | PA      | $73216.85     | 0.09%             | 2027-04-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                               | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 1A2                    | CUSIP: 36242DH55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78000 | PA      | $71599.32     | 0.09%             | 2035-04-25      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)      | UNITI GROUP INC REIT USD.0001                               | CUSIP: 91325V108<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |     44060 | NS      | $243651.80    | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-8                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 3A1             | CUSIP: 41161PHE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52404 | PA      | $44552.82     | 0.06%             | 2034-11-19      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-2                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 2 1A              | CUSIP: 41161PJ38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14791 | PA      | $4832.09      | 0.01%             | 2036-02-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-6                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 5A1A            | CUSIP: 41161UAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2213 | PA      | $1974.11      | 0.00%             | 2036-08-19      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-1                          | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 1 1A              | CUSIP: 41161PCX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3894 | PA      | $3536.24      | 0.00%             | 2034-04-19      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                        | HCA INC COMPANY GUAR 11/95 7.5                              | CUSIP: 197677AH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    300000 | PA      | $322971.58    | 0.41%             | 2095-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                  | HESTIA RE LTD UNSECURED 144A 04/25 VAR                      | CUSIP: 42815KAA0<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $206250.00    | 0.26%             | 2025-04-22      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-AR1                             | HSI ASSET LOAN OBLIGATION HALO 2007 AR1 2A1                 | CUSIP: 40431LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113507 | PA      | $80273.80     | 0.10%             | 2037-01-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019 CO LTD                                    | HUARONG FINANCE 2019 COMPANY GUAR REGS 11/29 3.875          | CUSIP: ACI1GS152<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |    200000 | PA      | $158244.76    | 0.20%             | 2029-11-13      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HUDSON RIVER TRADING LLC                                       | HUDSON RIVER TRADING LLC 2021 TERM LOAN                     | CUSIP: 44413EAF5<br>LEI: 549300SMOBUC8O5UOE10 | Long             | LON              | CORP              | US        |   1187909 | PA      | $1126286.51   | 1.45%             | 2028-03-20      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                  | VOYAGER AVIATION HLD EQUITY VOYAGER AVIATION 92918X9D9      | CUSIP: 942UCF009<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | EC               | CORP              | US        |       377 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2004-AR4                         | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR4 2A1A           | CUSIP: 45660LEG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3616 | PA      | $3513.78      | 0.00%             | 2035-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR11                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR11 1A1           | CUSIP: 45669FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285103 | PA      | $255011.78    | 0.33%             | 2037-06-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                               | WESTMORELAND MINING HOLDINGS L COMMON                       | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     13224 | NS      | $99180.00     | 0.13%             |  |  |  | Yes           |                  3 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX3                         | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX3 A2            | CUSIP: 45670AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    471717 | PA      | $515126.75    | 0.66%             | 2037-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO)                            | POSEIDON BIDCO SASU EUR TERM LOAN B                         | CUSIP: 945BRXII5<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |   1000000 | PA      | $922303.56    | 1.18%             | 2028-07-14      | Floating      | 7.26%                 | No            |                  3 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                   | INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5             | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |   2525000 | PA      | $2263637.25   | 2.91%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                   | INTELSAT JACKSON HOLDINGS S.A. 2021 EXIT TERM LOAN B        | CUSIP: L5137LAQ8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | LON              | CORP              | LU        |    658351 | PA      | $636954.80    | 0.82%             | 2029-02-01      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                               | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A21                 | CUSIP: 466247B28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25366 | PA      | $13219.38     | 0.02%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                               | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 1A1                  | CUSIP: 46630PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220830 | PA      | $167934.78    | 0.22%             | 2037-04-25      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| AADVANTAGE LOYALTY IP LTD                                      | AMERICAN AIRLINES, INC. 2021 TERM LOAN                      | CUSIP: 02376CBJ3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |    300000 | PA      | $299203.50    | 0.38%             | 2028-04-20      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                     | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL             | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      7106 | PA      | $4618.71      | 0.01%             | 2024-06-28      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                     | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL              | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     65115 | PA      | $34952.95     | 0.04%             | 2025-06-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-6                                         | LEHMAN XS TRUST LXS 2007 6 3A5                              | CUSIP: 52524PAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25188 | PA      | $23624.15     | 0.03%             | 2037-05-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2018-4A                                 | MARLETTE FUNDING TRUST MFT 2018 4A CERT 144A                | CUSIP: 57109G104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2100 | PA      | $153293.74    | 0.20%             | 2028-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-1A                                 | MARLETTE FUNDING TRUST MFT 2019 1A CERT 144A                | CUSIP: 57109X107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1700 | PA      | $101586.26    | 0.13%             | 2029-04-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-2                                  | MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A                | CUSIP: 57109H102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2346 | PA      | $179003.14    | 0.23%             | 2029-07-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MASTR ADJ RATE MTGE TRUST 2007-R5                              | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 R5 A1 144A         | CUSIP: 57645WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    331738 | PA      | $212815.20    | 0.27%             | 2035-11-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-10                        | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 10 2A1             | CUSIP: 576433SV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58906 | PA      | $52611.81     | 0.07%             | 2034-10-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A1                           | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A1 A2A             | CUSIP: 59023MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    633301 | PA      | $199690.02    | 0.26%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| ADAGIO VI CLO DAC VI-A                                         | ADAGIO CLO ADAGI VI A SUB 144A                              | CUSIP: ACI0YQYN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $69859.44     | 0.09%             | 2031-04-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                          | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A1                 | CUSIP: 61755CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52637 | PA      | $46046.16     | 0.06%             | 2037-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                 | ADLER GROUP SA SR UNSECURED REGS 04/27 2.25                 | CUSIP: ACI1X8QD3<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |    100000 | PA      | $37893.91     | 0.05%             | 2027-04-27      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MORRISON (MARKET BIDCO FINCO PLC)                              | MARKET BIDCO FINCO PLC SR SECURED 144A 11/27 4.75           | CUSIP: ACI261ZG9<br>LEI: 549300UGYX6EBVHRVG53 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $86371.79     | 0.11%             | 2027-11-04      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                            | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81                | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   1200000 | PA      | $1021037.63   | 1.31%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                          | NOBLE FINANCE CO SECURED 02/28 11                           | CUSIP: 65505JAC5<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |      5919 | PA      | $6584.89      | 0.01%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                          | NOBLE FINANCE CO SECURED 144A 02/28 11                      | CUSIP: 65505JAA9<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |      4229 | PA      | $4704.76      | 0.01%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| ODEBRECHT DRILLING NORBE VIII/IX LTD                           | ODEBRECHT DRILL VIII/IX SR SECURED 144A 12/26 7.35          | CUSIP: 675757AC2<br>LEI: 549300YNW6BY570L6488 | Long             | DBT              | CORP              | KY        |    507562 | PA      | $280428.01    | 0.36%             | 2026-12-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED                    | ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 12/26 7.72         | CUSIP: G6711KAD7<br>LEI: 549300L7LF2PIRAWID66 | Long             | DBT              | CORP              | KY        |    789331 | PA      | $211146.04    | 0.27%             | 2026-12-01      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OIL & GAS FINANCE LIMITED                            | ODEBRECHT OIL + FINANCE COMPANY GUAR 144A 12/99 0.0000      | CUSIP: 67576JAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    322137 | PA      | $789.24       | 0.00%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                | OI SA COMPANY GUAR 07/25 VAR                                | CUSIP: P7354PAA2<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |   1300000 | PA      | $224641.68    | 0.29%             | 2025-07-27      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2006-2                         | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2006 2 A1C             | CUSIP: 68384CAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174595 | PA      | $70956.40     | 0.09%             | 2036-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                             | ORACLE CORP SR UNSECURED 03/61 4.1                          | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    100000 | PA      | $69872.48     | 0.09%             | 2061-03-25      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75              | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1391000 | PA      | $1069567.05   | 1.37%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2               | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    500000 | PA      | $447478.90    | 0.57%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3               | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    827000 | PA      | $589405.09    | 0.76%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45              | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     34000 | PA      | $25429.61     | 0.03%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95              | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    181500 | PA      | $141411.76    | 0.18%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                   | PERU LNG SRL SR UNSECURED REGS 03/30 5.375                  | CUSIP: P7721BAE1<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |    200000 | PA      | $167326.95    | 0.21%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                          | PROMOTORA DE INFORMACIONES SA 2022 EUR TERM LOAN            | CUSIP: 943TQNII1<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |   1800000 | PA      | $1907541.00   | 2.45%             | 2026-06-30      | Floating      | 5.00%                 | No            |                  3 | On Loan: No      |
| ALTICE FINANCING SA                                            | ALTICE FINANCING SA SR SECURED 144A 08/29 5.75              | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    900000 | PA      | $709594.08    | 0.91%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                             | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR      | CUSIP: ACI11ZNP4<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |   8630000 | PA      | $28210.99     | 0.04%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                             | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR      | CUSIP: P1910WRC5<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |  71001000 | PA      | $232098.31    | 0.30%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| PUERTO RICO GOVT                                               | PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR                 | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |    420813 | PA      | $184631.58    | 0.24%             | 2043-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO GOVT                                               | PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR                 | CUSIP: 74514L4G9<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |    191755 | PA      | $64717.33     | 0.08%             | 2051-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-7                            | RBSSP RESECURITIZATION TRUST RBSSP 2009 7 9A3 144A          | CUSIP: 75524MBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    923366 | PA      | $709561.00    | 0.91%             | 2036-09-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                    | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1            | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |     12524 | PA      | $17548.62     | 0.02%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2004-QA6                            | RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA6 NB4            | CUSIP: 76110HH85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70777 | PA      | $61194.75     | 0.08%             | 2034-12-26      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA1                            | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA1 A21            | CUSIP: 761118TB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    347705 | PA      | $271503.37    | 0.35%             | 2036-01-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS14                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS14 2A1           | CUSIP: 761118JH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260569 | PA      | $96215.20     | 0.12%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS8                            | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS8 A2             | CUSIP: 75115AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109683 | PA      | $85974.06     | 0.11%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-1                            | RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25            | CUSIP: 76716XAA0<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |    450499 | PA      | $457286.18    | 0.59%             | 2024-07-06      | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-1                            | RIO OIL FINANCE TRUST SR SECURED REGS 07/24 9.25            | CUSIP: U76673AA7<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |    141586 | PA      | $143718.52    | 0.18%             | 2024-07-06      | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| RSA SECURITY (REDSTONE HOLDCO 2 LP)                            | REDSTONE HOLDCO 2 LP 2021 TERM LOAN                         | CUSIP: 75774EAG0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1236256 | PA      | $861843.71    | 1.11%             | 2028-04-27      | Floating      | 9.11%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                   | RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625            | CUSIP: X74344DS2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    200000 | PA      | $127000.00    | 0.16%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                             | SANDERS RE III LTD UNSECURED 144A 04/29 VAR                 | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $237437.50    | 0.30%             | 2029-04-09      | Floating      | 11.75%                | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                | SANDS CHINA LTD SR UNSECURED 01/26 4.3                      | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $184830.19    | 0.24%             | 2026-01-08      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                | SANDS CHINA LTD SR UNSECURED 08/28 5.9                      | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    362000 | PA      | $339434.01    | 0.44%             | 2028-08-08      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| SIERRA HAMILTON HOLDINGS CORPORATION                           | SIERRA HAMILTON LLC 2ND LIEN NOTES                          | CUSIP: 935ZLRII3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        23 | PA      | $23.36        | 0.00%             | 2023-09-12      | Fixed         | 15.00%                | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-A                        | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A            | CUSIP: 78448P100<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1500 | PA      | $485650.82    | 0.62%             | 2048-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-C                        | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 C R 144A            | CUSIP: 78448R106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1000 | PA      | $328834.49    | 0.42%             | 2046-09-18      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                        | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A            | CUSIP: 83206NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       187 | PA      | $279312.53    | 0.36%             | 2055-02-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOFTBANK VISION FUND II                                        | SOFTBANK VISION FUND II FIXED TERM LOAN                     | CUSIP: 944YFGII6<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    843038 | PA      | $810989.54    | 1.04%             | 2025-12-21      | Variable      | 5.00%                 | No            |                  3 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A       | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155837 | PA      | $45034.01     | 0.06%             | 2036-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                         | SOUTH COAST FUNDING SCF 7A A1AN 144A                        | CUSIP: 83743YAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11064288 | PA      | $2146339.18   | 2.76%             | 2041-01-06      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                         | SOUTH COAST FUNDING SCF 7A A1AV 144A                        | CUSIP: 83743YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    377192 | PA      | $73170.65     | 0.09%             | 2041-01-06      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                         | SOUTH COAST FUNDING SCF 7A A1B 144A                         | CUSIP: 83743YAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     15339 | PA      | $2975.61      | 0.00%             | 2041-01-06      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)                      | AGFC CAPITAL TRUST I COMPANY GUAR 144A 01/67 VAR            | CUSIP: 00846NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $560808.70    | 0.72%             | 2067-01-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                      | STEENBOK LUX FINCO 2 SARL EUR 2ND LIEN FIXED RATE TL A2     | CUSIP: 935YNTII0<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   2439272 | PA      | $1679823.16   | 2.16%             | 2023-06-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-3                              | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 3 4A               | CUSIP: 863579Y69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161189 | PA      | $99529.07     | 0.13%             | 2036-04-25      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-8                           | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 8 1A2              | CUSIP: 86361JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132163 | PA      | $89131.06     | 0.11%             | 2036-09-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-18                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 18 1A1             | CUSIP: 863579WZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36761 | PA      | $27051.42     | 0.03%             | 2035-09-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-23                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 23 3A1             | CUSIP: 863579L48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199028 | PA      | $125318.64    | 0.16%             | 2036-01-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-9                        | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 9 2A2A             | CUSIP: 863579QX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    745818 | PA      | $568931.86    | 0.73%             | 2035-05-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                          | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A            | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108353 | PA      | $83841.79     | 0.11%             | 2036-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR1                          | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR1 3A1            | CUSIP: 86359LTG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161073 | PA      | $132875.54    | 0.17%             | 2036-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-9XS                             | STRUCTURED ASSET SECURITIES CO SASC 2005 9XS 2A1            | CUSIP: 86359DDS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21890 | PA      | $21823.53     | 0.03%             | 2035-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| STUBHUB (PUG LLC)                                              | PUG LLC USD TERM LOAN                                       | CUSIP: 74530DAC9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      5820 | PA      | $4845.15      | 0.01%             | 2027-02-12      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-S1                               | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 S1 1A             | CUSIP: 855541AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34047 | PA      | $25554.61     | 0.03%             | 2037-01-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XIV LTD 2014-14A                                  | SYMPHONY CLO LTD SYMP 2014 14A E 144A                       | CUSIP: 87159QAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $380805.95    | 0.49%             | 2026-07-14      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                         | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                      | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |   2092057 | PA      | $1835780.38   | 2.36%             | 2027-05-13      | Floating      | 11.58%                | No            |                  2 | On Loan: No      |
| TEAM HEALTH HOLDINGS INC                                       | TEAM HEALTH INC DEL TERM LOAN B                             | CUSIP: 87817JAE8<br>LEI: 549300PVTQ4UDTTMQT11 | Long             | LON              | CORP              | US        |   1085640 | PA      | $933650.13    | 1.20%             | 2024-02-06      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| THARALDSON HOTEL PORTFOLIO TRUST 2018                          | THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL E 144A         | CUSIP: 88327HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1204589 | PA      | $1129029.31   | 1.45%             | 2034-11-11      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                     | ENVISION HEALTHCARE CORP 2022 2ND LIEN TERM LOAN            | CUSIP: 943TEZII7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2493427 | PA      | $2040446.49   | 2.62%             | 2028-04-28      | Fixed         | 15.74%                | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                     | ENVISION HEALTHCARE CORPORTION 2022 DELAYED DRAW TERM LOAN  | CUSIP: 945BFLII4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    184615 | PA      | $180693.23    | 0.23%             | 2027-04-29      | Floating      | 10.47%                | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                     | ENVISION HEALTHCARE CORPORTION 2022 TERM LOAN               | CUSIP: 945BFKII6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1015385 | PA      | $993812.77    | 1.28%             | 2027-04-29      | Floating      | 12.12%                | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                           | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0    | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   8800000 | PA      | $655254.16    | 0.84%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                          | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875           | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    152081 | PA      | $135342.97    | 0.17%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                          | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75            | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1676820 | PA      | $1593884.48   | 2.05%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                   | UKRAINE GOVERNMENT SR UNSECURED 144A 01/32 4.375            | CUSIP: ACI1J9SD5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     89000 | PA      | $17744.04     | 0.02%             | 2032-01-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                           | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -800000 | PA      | $-651143.21   | -0.84%            | 2053-01-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                           | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $127047.46    | 0.16%             | 2053-01-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                           | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1650000 | PA      | $1449721.78   | 1.86%             | 2052-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                           | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $90861.52     | 0.12%             | 2049-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                           | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F032617<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -500000 | PA      | $-454307.61   | -0.58%            | 2049-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                           | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24200000 | PA      | $22002668.07  | 28.24%            | 2053-02-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                           | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1650000 | PA      | $1548041.25   | 1.99%             | 2053-02-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                           | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1800000 | PA      | $1732834.76   | 2.22%             | 2053-02-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                           | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3700000 | PA      | $3752573.97   | 4.82%             | 2053-02-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                             | TREASURY BILL 01/23 0.00000                                 | CUSIP: 912796X95<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1560000 | PA      | $1559685.39   | 2.00%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                             | TREASURY BILL 03/23 0.00000                                 | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    289000 | PA      | $286313.31    | 0.37%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                             | TREASURY BILL 03/23 0.00000                                 | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    222000 | PA      | $220485.68    | 0.28%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| APIDOS CDO 2014-18A                                            | APIDOS CLO APID 2014 18A SUB 144A                           | CUSIP: 03765EAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $150.00       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC    | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6           | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1127000 | PA      | $714607.26    | 0.92%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC    | UNITI GRP/UNITI HLD/CSL SR SECURED 144A 02/25 7.875         | CUSIP: 91327AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1280562.36   | 1.64%             | 2025-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                              | U.S. RENAL CARE, INC. 2019 TERM LOAN B                      | CUSIP: 90290PAN4<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |    692422 | PA      | $390785.44    | 0.50%             | 2026-06-26      | Floating      | 9.44%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                              | US RENAL CARE INC 2021 TERM LOAN B                          | CUSIP: 90290PAQ7<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |     99496 | PA      | $56153.18     | 0.07%             | 2026-06-26      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                              | US RENAL CARE INC SR UNSECURED 144A 07/27 10.625            | CUSIP: 07335BAA4<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |   2161000 | PA      | $475420.00    | 0.61%             | 2027-07-15      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| VALARIS LIMITED                                                | VALARIS LTD SR SECURED 04/28 8.25                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1000 | PA      | $1007.13      | 0.00%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VALARIS LIMITED                                                | VALARIS LTD SR SECURED 144A 04/28 8.25                      | CUSIP: 91889FAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1000 | PA      | $1007.13      | 0.00%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VALE SA                                                        | VALE SA SUBORDINATED 12/49 VAR                              | CUSIP: B011X9II2<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        |  20000000 | PA      | $1444197.17   | 1.85%             | 2049-12-29      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25               | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     62000 | PA      | $5890.00      | 0.01%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                | REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/24 8.25          | CUSIP: P97475AP5<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      4000 | PA      | $350.00       | 0.00%             | 2024-10-13      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                             | VIKING CRUISES LTD SR SECURED 144A 05/25 13                 | CUSIP: 92676XAE7<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |   1349000 | PA      | $1425403.21   | 1.83%             | 2025-05-15      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                  | VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5             | CUSIP: 92918XAA3<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | DBT              | CORP              | US        |   2706000 | PA      | $2147887.50   | 2.76%             | 2026-05-09      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY2                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY2 1A1            | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178431 | PA      | $158108.12    | 0.20%             | 2036-12-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 4A1            | CUSIP: 93364FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48165 | PA      | $44233.03     | 0.06%             | 2037-07-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE5                        | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1           | CUSIP: 93934XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81010 | PA      | $30822.77     | 0.04%             | 2036-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| CAYENNE AVIATION LLC                                           | VOYAGER AVIATION HLD PFD VOYAGER AVIATION 92918X9A5         | CUSIP: 942UCF900<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      2260 | NS      | $606538.45    | 0.78%             |  |  |  | No            |                  3 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                 | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL C 144A         | CUSIP: 95003WAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1065000 | PA      | $921546.84    | 1.18%             | 2039-12-15      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| WESCO AIRCRAFT HOLDINGS INC                                    | WESCO AIRCRAFT HOLDINGS SR SECURED 144A 11/26 10.5          | CUSIP: 950814AA1<br>LEI: 529900P5VTXZS191P208 | Long             | DBT              | CORP              | US        |   4430505 | PA      | $4087140.86   | 5.25%             | 2026-11-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                               | WESTMORELAND COAL CO PIK TERM LOAN                          | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1245036 | PA      | $968015.82    | 1.24%             | 2029-03-15      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST 2013-C17                      | WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2013 C17 XB            | CUSIP: 92938GAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30000000 | PA      | $71508.00     | 0.09%             | 2046-12-15      | Variable      | 0.24%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES II LLC                                     | WINDSTREAM SERVICES LLC 2020 EXIT TERM LOAN B               | CUSIP: 97381JAE3<br>LEI: 549300KT9GVEBYCD2N29 | Long             | LON              | CORP              | US        |    233935 | PA      | $212763.84    | 0.27%             | 2027-09-21      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                             | WYNN MACAU LTD SR UNSECURED 144A 01/26 5.5                  | CUSIP: 98313RAG1<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |   1000000 | PA      | $918920.00    | 1.18%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                           | AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B2             | CUSIP: 00187GAD1<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |    430000 | PA      | $389016.70    | 0.50%             | 2027-09-01      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | BONCER BONDS 03/23 1.4                                      | CUSIP: ACI1L3HY1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |  21688751 | PA      | $66139.40     | 0.08%             | 2023-03-25      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | REPUBLIC OF ARGENTINA BILLS 05/23 0.00000                   | CUSIP: ACI28ZVJ0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |  19411149 | PA      | $58976.97     | 0.08%             | 2023-05-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -73728 | PA      | $-74520.11    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -509759 | PA      | $-515748.48   | -0.66%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -236477 | PA      | $-238413.40   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -711410 | PA      | $-720722.84   | -0.93%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -433012 | PA      | $-438880.99   | -0.56%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -118071 | PA      | $-119206.71   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| CBL & ASSOCIATES PROPERTIES INC                                | CBL + ASSOCIATES PROPERTIES REIT USD.01                     | CUSIP: 124830878<br>LEI: 529900EIVFBRS4PUBZ13 | Long             | EC               | CORP              | US        |      2842 | NS      | $65593.36     | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                            | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -851822 | PA      | $-858946.39   | -1.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -397268 | PA      | $-398162.33   | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -482161 | PA      | $-483294.08   | -0.62%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -215722 | PA      | $-216234.34   | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -640010 | PA      | $-641530.02   | -0.82%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | DEUTSCHE REVERSE REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -166910 | PA      | $-175442.88   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | DEUTSCHE REVERSE REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -104360 | PA      | $-111517.35   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -1507033 | PA      | $-1618751.88  | -2.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -69958 | PA      | $-74283.95    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -169298 | PA      | $-181357.53   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -457077 | PA      | $-490423.09   | -0.63%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -157406 | PA      | $-167208.35   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -287676 | PA      | $-308108.92   | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -336474 | PA      | $-360800.77   | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                       | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    512218 | PA      | $119730.96    | 0.15%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -597148 | PA      | $-603919.77   | -0.78%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -216760 | PA      | $-219099.13   | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2221355 | PA      | $-2243719.10  | -2.88%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -786119 | PA      | $-792451.29   | -1.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -763136 | PA      | $-772569.62   | -0.99%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -568575 | PA      | $-575322.09   | -0.74%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -184068 | PA      | $-186346.34   | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1439147 | PA      | $-1444236.82  | -1.85%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -330678 | PA      | $-331862.14   | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | PARIBAS REPO                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  22300000 | PA      | $22300000.00  | 28.63%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                       | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    563000 | PA      | $131601.25    | 0.17%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -135372 | PA      | $-136036.36   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -57393 | PA      | $-57847.04    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1394969 | PA      | $-1406699.14  | -1.81%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -550230 | PA      | $-553806.50   | -0.71%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -817791 | PA      | $-824734.83   | -1.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -860872 | PA      | $-867758.93   | -1.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -129756 | PA      | $-130924.82   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -226827 | PA      | $-228566.07   | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -750136 | PA      | $-757119.85   | -0.97%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -143266 | PA      | $-145055.79   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -113860 | PA      | $-114753.54   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -401242 | PA      | $-405430.62   | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -508481 | PA      | $-513587.07   | -0.66%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -250476 | PA      | $-252362.09   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | REPUBLIC OF ARGENTINA BONDS 10/26 15.5                      | CUSIP: ACI0QD081<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   8480000 | PA      | $7409.36      | 0.01%             | 2026-10-17      | Fixed         | 15.50%                | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2068734 | PA      | $-2098854.66  | -2.69%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -208752 | PA      | $-211513.42   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -129925 | PA      | $-131305.63   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3306365 | PA      | $-3343396.58  | -4.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -586829 | PA      | $-592995.38   | -0.76%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -740358 | PA      | $-746861.71   | -0.96%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR                | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   1597111 | PA      | $508504.17    | 0.65%             | 2038-01-09      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -658954 | PA      | $-665153.11   | -0.85%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -331319 | PA      | $-333393.88   | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -345180 | PA      | $-346042.95   | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -133968 | PA      | $-134941.17   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -717226 | PA      | $-724633.27   | -0.93%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -118279 | PA      | $-119748.68   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -129094 | PA      | $-130296.37   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -427693 | PA      | $-432479.94   | -0.56%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1334221 | PA      | $-1345342.48  | -1.73%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1399860 | PA      | $-1419980.61  | -1.82%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WOOD GUNDY REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -244398 | PA      | $-246861.34   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1698078 | PA      | $-1715184.27  | -2.20%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                  | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     96645 | PA      | $25852.54     | 0.03%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | ABX.HE.AA.06-1 SP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-63600.41    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ABX.HE.PENAAA.07-1 SP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-69321.79    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT JPY SOLD USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $8199.30      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT NOK SOLD USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $2666.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR                | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    904980 | PA      | $259503.02    | 0.33%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD CHF BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-2022.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-7332.42     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD JPY BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-10704.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD JPY BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-3877.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD JPY BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-416.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD PEN BOUGHT USD 20230206                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-1563.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD TWD BOUGHT USD 20230315                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1413.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD TWD BOUGHT USD 20230315                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $942.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD CHF BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-690.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT IDR SOLD USD 20230223                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $438.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT ZAR SOLD USD 20230213                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $2120.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1369.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $5883.11      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT BRL SOLD USD 20230104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-8821.97     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT CLP SOLD USD 20230112                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $1103.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $675.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT PEN SOLD USD 20230125                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $2503.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT PEN SOLD USD 20230427                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $2507.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD BRL BOUGHT USD 20230202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-26291.30    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-1408.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-1194.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD MXN BOUGHT USD 20230321                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-2265.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD MXN BOUGHT USD 20230321                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $6322.88      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD PEN BOUGHT USD 20230410                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-20204.13    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD PEN BOUGHT USD 20230515                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-1898.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $56175.75     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT BRL SOLD USD 20230404                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $14121.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT MXN SOLD USD 20230321                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $39819.46     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT PEN SOLD USD 20230503                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $6914.63      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT PEN SOLD USD 20230510                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $11536.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD BRL BOUGHT USD 20230104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-13831.12    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT AUD SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $109.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $3052.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT GBP SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-2601.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD CAD BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $1280.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD CAD BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-107.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP/THE                                        | CHARLES SCHWAB CORP JR SUBORDINA 12/99 VAR                  | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | EP               | CORP              | US        |    200000 | NS      | $159416.00    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-118060.36   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD GBP BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $1730.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD IDR BOUGHT USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-375.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD TWD BOUGHT USD 20230315                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $3281.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | INTELSAT JACKSON HOLDINGS S A EXP 05DEC25                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |      3580 | NC      | $26850.00     | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                            | INTELSAT JACKSON HOLDINGS S A RIGHTS                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |      3671 | NC      | $24779.25     | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                            | INTELSAT EMERGENCE SA CALL EXP 17FEB27                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |        49 | NC      | $98.00        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                            | INTELSAT EMERGENCE SA CALL EXP17FEB27                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |       187 | NC      | $654.49       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                            | BOUGHT IDR SOLD USD 20230223                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $920.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD IDR BOUGHT USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-601.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD TWD BOUGHT USD 20230217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $647.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | LBMLT 2003-3 M3 SP BOA                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $324.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT AUD SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $3071.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT JPY SOLD USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $801.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD IDR BOUGHT USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-739.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD TWD BOUGHT USD 20230217                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $564.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD TWD BOUGHT USD 20230315                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $2897.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | NDDUEAFE TRS EQUITY FEDL01+0 MYI                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $-597.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | NDDUEAFE TRS EQUITY FEDL01-2*BULLET* MYI                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $5707898.25   | 7.33%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | NDDUEAFE TRS EQUITY FEDL01-4 ULO                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $-2064.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | NDDUEAFE TRS EQUITY FEDL01-5 JPM                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $-165.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOCA CLO XX DAC 20A                                           | AVOCA CLO AVOCA 20A SUB 144A                                | CUSIP: ACI19ZJ22<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $613846.55    | 0.79%             | 2032-07-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | ROLLS-ROYCE PLC SNR SE ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-35786.21    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ROLLS-ROYCE PLC SNR SE ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-85785.69    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT AUD SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $39.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT NOK SOLD USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $5501.90      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | S+P EMINI 3RD WK  JAN23C 3920 EXP 01/20/2023                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |      -186 | NC      | $-446400.00   | -0.57%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                            | S+P EMINI 3RD WK  JAN23P 3720 EXP 01/20/2023                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       186 | NC      | $269700.00    | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                            | S+P500 EMINI FUT  MAR23 XCME 20230317                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       204 | NC      | $-1397163.04  | -1.79%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  DEC23 XCME 20240319                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -5 | NC      | $23414.48     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  DEC24 XCME 20250318                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1 | NC      | $3017.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  DEC25 XCME 20260317                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1 | NC      | $2769.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  JUN24 XCME 20240917                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2 | NC      | $7060.50      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  JUN25 XCME 20250916                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2 | NC      | $5492.22      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  MAR24 XCME 20240618                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -4 | NC      | $16306.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  MAR25 XCME 20250617                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2 | NC      | $5592.41      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  MAR26 XCME 20260616                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1 | NC      | $2756.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  SEP24 XCME 20241217                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2 | NC      | $6212.15      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | 3 MONTH SOFR FUT  SEP25 XCME 20251216                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1 | NC      | $2804.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $565.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT IDR SOLD USD 20230223                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $888.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Global StocksPLUS & Income Fund

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer