Coupon Units Cost Market Value FIXED INCOME FUND Domestic Fixed Income Securities 65.26%

U.S. Government & Federal Agency Obligations

ALAMEDA CA CORRIDOR TRANSPRTN 0.0000 200,000 192,815 196,952 AMERICAN MUNI PWR-OHIO INC OH 5.9390 80,000 88,201 117,679 AMERICAN MUNI PWR-OHIO INC OH 6.2700 50,000 50,373 70,481 AMERICAN MUNI PWR-OHIO INC OH 7.8340 80,000 87,695 132,393 BAY AREA CA TOLL AUTH TOLL BRI 6.2630 130,000 130,014 210,907 BAY AREA CA TOLL AUTH TOLL BRI 6.9070 80,000 80,010 139,634 BRAZOS TX HGR EDU AUTH STUDENT 1.9810 265,000 265,002 269,434 BUCKEYE OH TOBACCO SETTLEMENT 1.6500 370,000 369,997 378,327 BUCKEYE OH TOBACCO SETTLEMENT 1.7090 700,000 699,996 718,712 BUCKEYE OH TOBACCO SETTLEMENT 1.8090 695,000 694,995 714,500 CALIFORNIA ST 7.3000 80,000 85,722 128,033 CALIFORNIA ST 7.3500 80,000 80,729 128,811 CALIFORNIA ST 7.5500 1,070,000 1,464,882 1,824,349 CALIFORNIA ST 7.6250 250,000 263,977 421,136 CALIFORNIA ST UNIV REVENUE 3.0650 935,000 935,050 962,881 CALIFORNIA ST UNIV REVENUE 2.8970 85,000 85,002 84,927 CALIFORNIA ST UNIV REVENUE 2.9650 1,065,000 1,065,052 1,097,836 CHARLOTTE-MECKLENBURG NC HOSP 3.2040 80,000 80,000 85,303 CHICAGO IL BRD OF EDU 5.2820 225,000 224,307 236,371 CHICAGO IL TRANSIT AUTH SALES 6.2000 170,000 170,015 235,251 CHICAGO IL TRANSIT AUTH SALES 6.3000 30,000 30,261 30,703 CHICAGO IL TRANSIT AUTH SALES 5.3700 250,000 259,519 266,469 COMMIT TO PUR FNMA SF MT(OTC) 0.0000 -5,600,000 -9,625 -13,489 COMMIT TO PUR FNMA SF MTG 2.5000 32,525,000 33,542,683 33,640,506 COMMIT TO PUR FNMA SF MTG (OTC 0.0000 -7,300,000 -22,391 -19,094 COMMIT TO PUR FNMA SF MTG OTC 0.0000 -5,000,000 -24,359 -13,574 COMMIT TO PUR FNMA SF MTG(OTC) 0.0000 -600,000 -2,484 -217 COMMITMENT TO PURCHASE FNMA SI 0.0000 -1,700,000 -5,422 -1,116 DALLAS TX AREA RAPID TRANSIT S 5.0220 80,000 80,005 112,633 DALLAS TX AREA RAPID TRANSIT S 5.9990 10,000 10,974 15,182 DALLAS-FORT WORTH TX INTERNATI 3.1440 25,000 24,999 26,355 DALLAS-FORT WORTH TX INTERNATI 3.0890 2,615,000 2,614,927 2,699,842 DIST OF COLUMBIA WTR & SWR AUT 3.2070 100,000 99,999 104,471 EAST BAY CA MUNI UTILITY DIST 5.8740 170,000 179,439 246,686 FANNIE MAE CONNECTICUT C01 1M2 3.6393 68,493 71,474 71,107 FANNIE MAE CONNECTICUT C02 1M2 2.6893 269,089 277,650 270,650 FANNIE MAE CONNECTICUT C02 1M2 6.0893 67,989 78,370 71,752 FANNIE MAE CONNECTICUT C03 1M2 5.0893 159,377 166,348 163,892 FANNIE MAE CONNECTICUT C03 2M2 5.9893 112,019 124,450 118,334 FANNIE MAE CONNECTICUT C04 1M2 4.9893 110,997 114,040 114,762 FANNIE MAE CONNECTICUT C04 1M2 5.7893 226,808 248,318 240,277 FANNIE MAE CONNECTICUT C04 1M2 4.3393 285,921 296,248 298,440 FANNIE MAE CONNECTICUT C05 1M2 2.2893 489,609 493,745 497,414 FANNIE MAE CONNECTICUT C07 2M2 4.4393 245,632 255,871 257,476 FANNIE MAE CONNECTICUT C07 2M2 2.5893 240,699 244,088 243,612 FEDERAL HOME LN MTG CORP 0.2500 770,000 769,439 769,915 FEDERAL HOME LN MTG CORP 6.2500 210,000 267,464 308,490 FEDERAL HOME LN MTG CORP 6.7500 2,680,000 3,813,894 3,868,057 FEDERAL NATL MTG ASSN 0.5000 1,370,000 1,365,713 1,353,735 FEDERAL NATL MTG ASSN 2.1250 235,000 233,986 248,935 FEDERAL NATL MTG ASSN 6.6250 730,000 879,249 1,056,170 FEDERAL NATL MTG ASSN 7.1250 440,000 555,405 642,778 FEDERAL NATL MTG ASSN 7.2500 375,000 514,860 555,894 FHLMC POOL #84-7415 1.9830 4,211 4,221 4,451 FHLMC POOL #A5-5611 6.0000 142 127 160 FHLMC POOL #A6-0064 5.5000 5,600 5,953 6,506 FHLMC POOL #C0-0604 6.0000 450 478 512 FHLMC POOL #C2-6459 6.5000 787 758 881 FHLMC POOL #C8-0342 6.5000 349 338 391 FHLMC POOL #C8-0398 6.5000 96 91 108 FHLMC POOL #G0-4593 5.5000 8,594 9,146 9,957 FHLMC MULTICLASS MT 2.6311 2,500,000 529,297 513,062 FHLMC MULTICLASS MT 2.6276 265,000 56,675 54,647 FHLMC MULTICLASS MT 2.4479 830,744 120,690 114,602 FHLMC MULTICLASS MT 2.6119 375,000 77,264 75,363 FHLMC MULTICLASS MT 0.8830 27,849,502 2,050,637 1,991,565 FHLMC MULTICLASS MT 1.0282 36,173,701 3,047,464 2,950,327 FHLMC MULTICLASS MT 1.1267 20,839,362 1,773,786 1,752,397 FHLMC MULTICLASS MT 1.5229 22,681,723 2,720,170 2,597,026 FHLMC MULTICLASS MTG 1510 A2 3.7180 1,403,000 1,483,438 1,645,670 FHLMC MULTICLASS MTG 1510 A3 3.7940 2,300,000 2,711,790 2,774,901 FHLMC MULTICLASS MTG 1512 X1 0.9105 12,776,817 1,190,256 1,121,273 FHLMC MULTICLASS MTG 1513 A3 2.7970 2,533,000 2,657,271 2,790,085 FHLMC MULTICLASS MTG 1517 A1 1.1770 2,707,715 2,707,589 2,608,502 FHLMC MULTICLASS MTG 1518 A1 1.1920 7,565,786 7,565,678 7,337,211 FHLMC MULTICLASS MTG 1518 A2 1.8600 2,700,000 2,777,674 2,689,045 FHLMC MULTICLASS MTG 1519 A1 1.3200 6,784,871 6,784,390 6,645,820 FHLMC MULTICLASS MTG 1519 A2 2.0130 2,138,000 2,200,209 2,167,366

End of Month: 6/30/2021 Unaudited Holdings Report Page 1 of 57 Coupon Units Cost Market Value FHLMC MULTICLASS MTG 1520 A1 2.0070 7,254,618 7,254,605 7,523,111 FHLMC MULTICLASS MTG 2950 FN 0.5431 67,650 65,542 68,631 FHLMC MULTICLASS MTG 2973 EB 5.5000 1,418 1,525 1,504 FHLMC MULTICLASS MTG 2996 PB 5.5000 3,458 3,775 3,737 FHLMC MULTICLASS MTG 3033 JD 5.5000 945 1,045 959 FHLMC MULTICLASS MTG 3981 QP 2.2500 246,120 248,856 255,174 FHLMC MULTICLASS MTG 4103 NJ 1.5000 178,597 173,847 180,697 FHLMC MULTICLASS MTG 4114 EA 1.2500 154,101 150,446 155,967 FHLMC MULTICLASS MTG 4314 GA 3.0000 104,358 105,781 104,973 FHLMC MULTICLASS MTG 4328 A 1.5000 178,643 174,294 181,839 FHLMC MULTICLASS MTG 4480 LA 3.5000 61,867 61,593 64,353 FHLMC MULTICLASS MTG 4494 KA 3.7500 93,552 96,451 96,866 FHLMC MULTICLASS MTG 4608 KA 2.5000 45,833 45,886 46,139 FHLMC MULTICLASS MTG 4616 M 3.0000 219,229 222,435 224,350 FHLMC MULTICLASS MTG 4961 JB 2.5000 263,528 272,611 275,673 FHLMC MULTICLASS MTG 5050 BG 1.0000 555,991 561,656 560,783 FHLMC MULTICLASS MTG 57 1A1 6.5000 25,728 27,071 31,353 FHLMC MULTICLASS MTG 61 1A1 1.5071 37,697 57,934 38,898 FHLMC MULTICLASS MTG K017 X3 2.1946 2,025,000 281,425 7,696 FHLMC MULTICLASS MTG K018 A2 2.7890 1,492,177 1,492,989 1,507,205 FHLMC MULTICLASS MTG K020 X1 1.3342 620,593 52,420 5,319 FHLMC MULTICLASS MTG K021 X3 1.9658 511,277 91,061 7,726 FHLMC MULTICLASS MTG K025 X1 0.7862 2,389,501 111,294 21,186 FHLMC MULTICLASS MTG K025 X3 1.7515 775,000 133,568 17,367 FHLMC MULTICLASS MTG K026 A2 2.5100 180,000 181,041 184,712 FHLMC MULTICLASS MTG K028 X1 0.2383 27,642,828 5,807,392 95,854 FHLMC MULTICLASS MTG K032 A1 3.0160 67,551 67,571 69,054 FHLMC MULTICLASS MTG K034 A2 3.5310 1,013,625 1,017,362 1,072,520 FHLMC MULTICLASS MTG K036 X3 2.1122 555,000 104,121 26,362 FHLMC MULTICLASS MTG K038 X3 2.4895 1,035,000 263,037 63,806 FHLMC MULTICLASS MTG K048 A1 2.6890 509,642 515,147 528,761 FHLMC MULTICLASS MTG K048 A2 3.2840 1,465,000 1,604,801 1,595,343 FHLMC MULTICLASS MTG K049 A2 3.0100 2,455,000 2,511,871 2,649,823 FHLMC MULTICLASS MTG K050 A2 3.3340 1,505,000 1,521,194 1,642,877 FHLMC MULTICLASS MTG K051 A2 3.3080 978,030 983,639 1,070,672 FHLMC MULTICLASS MTG K051 X1 0.5372 5,596,861 127,678 113,406 FHLMC MULTICLASS MTG K054 X1 1.1657 10,006,939 543,944 468,231 FHLMC MULTICLASS MTG K055 A2 2.6730 1,374,000 1,490,544 1,472,742 FHLMC MULTICLASS MTG K058 A1 2.3400 1,315,719 1,278,561 1,378,561 FHLMC MULTICLASS MTG K059 A2 3.1200 2,266,000 2,391,911 2,484,539 FHLMC MULTICLASS MTG K060 A2 3.3000 1,298,541 1,336,487 1,440,094 FHLMC MULTICLASS MTG K062 X1 0.3024 59,186,871 5,403,536 950,233 FHLMC MULTICLASS MTG K063 A1 3.0450 2,294,203 2,287,134 2,441,750 FHLMC MULTICLASS MTG K064 A2 3.2240 3,002,000 3,194,849 3,323,635 FHLMC MULTICLASS MTG K064 X1 0.6042 55,162,912 7,220,801 1,731,056 FHLMC MULTICLASS MTG K064 X3 2.1328 505,000 149,953 55,252 FHLMC MULTICLASS MTG K065 A1 2.8640 344,103 350,518 366,323 FHLMC MULTICLASS MTG K066 A2 3.1170 2,296,000 2,378,760 2,533,738 FHLMC MULTICLASS MTG K066 X1 0.7493 1,334,918 66,955 53,046 FHLMC MULTICLASS MTG K067 A2 3.1940 2,482,000 2,550,292 2,753,773 FHLMC MULTICLASS MTG K068 A1 2.9520 295,405 292,455 315,078 FHLMC MULTICLASS MTG K069 A1 2.8920 221,520 218,817 234,760 FHLMC MULTICLASS MTG K070 A1 3.0260 1,700,697 1,697,246 1,822,240 FHLMC MULTICLASS MTG K073 AM 3.4500 1,711,900 1,704,779 1,923,790 FHLMC MULTICLASS MTG K074 A1 3.6000 1,181,614 1,197,528 1,301,845 FHLMC MULTICLASS MTG K076 A1 3.7250 4,211,700 4,271,685 4,671,224 FHLMC MULTICLASS MTG K076 A2 3.9000 7,480,000 8,612,124 8,667,763 FHLMC MULTICLASS MTG K078 A2 3.8540 2,725,000 3,165,713 3,156,637 FHLMC MULTICLASS MTG K078 AM 3.9200 4,173,000 4,859,244 4,853,749 FHLMC MULTICLASS MTG K080 A2 3.9260 1,899,308 2,218,586 2,213,469 FHLMC MULTICLASS MTG K081 A2 3.9000 3,634,000 4,240,894 4,232,754 FHLMC MULTICLASS MTG K084 A2 3.7800 5,000,000 5,763,192 5,760,604 FHLMC MULTICLASS MTG K085 A2 4.0600 3,369,000 3,813,796 3,954,377 FHLMC MULTICLASS MTG K089 AM 3.6330 3,415,000 3,982,528 3,930,999 FHLMC MULTICLASS MTG K090 A2 3.4220 1,089,000 1,217,835 1,241,020 FHLMC MULTICLASS MTG K091 A2 3.5050 3,268,000 3,708,063 3,739,729 FHLMC MULTICLASS MTG K094 X1 0.8800 14,488,800 934,489 912,426 FHLMC MULTICLASS MTG K099 X1 0.8855 31,136,252 2,130,135 2,015,064 FHLMC MULTICLASS MTG K099 X3 1.9531 3,500,000 507,227 478,806 FHLMC MULTICLASS MTG K102 X1 0.8244 29,209,371 1,872,366 1,797,825 FHLMC MULTICLASS MTG K106 A1 1.7830 6,860,825 7,046,281 7,062,068 FHLMC MULTICLASS MTG K106 X1 1.3546 18,282,666 1,994,667 1,872,586 FHLMC MULTICLASS MTG K106 X3 1.9204 3,370,000 483,911 473,988 FHLMC MULTICLASS MTG K109 X1 1.5827 1,497,854 180,235 178,994 FHLMC MULTICLASS MTG K110 X1 1.6976 9,129,101 1,208,788 1,166,068 FHLMC MULTICLASS MTG K111 A1 0.8270 2,252,344 2,252,277 2,217,304 FHLMC MULTICLASS MTG K111 X1 1.5720 14,084,062 1,813,470 1,713,528 FHLMC MULTICLASS MTG K111 XAM 1.7965 16,040,000 2,518,344 2,338,980 FHLMC MULTICLASS MTG K115 X1 1.3276 17,988,734 1,930,978 1,880,524 FHLMC MULTICLASS MTG K116 A2 1.3780 4,411,000 4,533,345 4,359,914 FHLMC MULTICLASS MTG K116 X1 1.4270 9,071,280 1,057,893 999,200 FHLMC MULTICLASS MTG K117 A1 0.6970 1,956,065 1,956,028 1,917,798 FHLMC MULTICLASS MTG K120 X1 1.0391 10,598,211 901,676 874,670 FHLMC MULTICLASS MTG K121 A1 0.9950 4,517,442 4,517,249 4,443,959 FHLMC MULTICLASS MTG K121 A2 1.5470 4,090,000 4,206,298 4,104,788

End of Month: 6/30/2021 Unaudited Holdings Report Page 2 of 57 Coupon Units Cost Market Value FHLMC MULTICLASS MTG K124 A2 1.6580 2,263,000 2,328,357 2,291,489 FHLMC MULTICLASS MTG K124 AM 1.3840 3,165,000 3,164,934 3,116,917 FHLMC MULTICLASS MTG K124 X3 2.6201 290,000 62,695 59,773 FHLMC MULTICLASS MTG K125 X3 2.6538 445,000 96,464 94,210 FHLMC MULTICLASS MTG K127 AM 1.8510 4,539,000 4,538,634 4,628,573 FHLMC MULTICLASS MTG K127 X3 2.6539 844,384 177,492 179,193 FHLMC MULTICLASS MTG K129 AM 1.6470 2,726,000 2,725,987 2,728,962 FHLMC MULTICLASS MTG K152 A1 2.8300 1,096,517 1,093,717 1,186,687 FHLMC MULTICLASS MTG K154 A1 3.1760 3,631,765 3,683,657 3,985,225 FHLMC MULTICLASS MTG K154 A3 3.4590 832,000 992,801 971,226 FHLMC MULTICLASS MTG K155 A1 3.7500 3,412,254 3,463,839 3,860,660 FHLMC MULTICLASS MTG K155 A2 3.7500 4,542,000 5,316,478 5,332,048 FHLMC MULTICLASS MTG K156 A2 3.7000 2,252,500 2,267,900 2,640,685 FHLMC MULTICLASS MTG K157 A2 3.9900 5,000,000 5,886,678 5,992,370 FHLMC MULTICLASS MTG K159 A1 3.9500 5,808,344 6,063,390 6,653,017 FHLMC MULTICLASS MTG K717 A2 2.9910 1,368,132 1,370,411 1,370,523 FHLMC MULTICLASS MTG K718 X3 1.4326 3,495,000 283,340 17,200 FHLMC MULTICLASS MTG K724 A1 2.7760 459,746 459,496 466,435 FHLMC MULTICLASS MTG K725 A2 3.0020 893,000 910,655 944,292 FHLMC MULTICLASS MTG K727 A2 2.9460 1,873,715 1,984,225 1,977,552 FHLMC MULTICLASS MTG K727 AM 3.0370 1,802,000 1,791,670 1,909,481 FHLMC MULTICLASS MTG K728 X1 0.4035 56,814,616 8,327,743 592,843 FHLMC MULTICLASS MTG K730 A2 3.5900 1,802,000 1,829,132 1,954,643 FHLMC MULTICLASS MTG K731 A1 3.4810 395,902 398,885 410,022 FHLMC MULTICLASS MTG K732 A2 3.7000 974,000 1,035,771 1,066,519 FHLMC MULTICLASS MTG K733 A2 3.7500 8,604,000 9,100,756 9,467,184 FHLMC MULTICLASS MTG K734 A2 3.2080 893,000 926,597 975,351 FHLMC MULTICLASS MTG K741 AM 1.1990 3,165,000 3,164,973 3,138,820 FHLMC MULTICLASS MTG K741 X1 0.5726 54,143,841 1,921,240 1,827,160 FHLMC MULTICLASS MTG KBX1 A1 2.9200 5,595,580 5,545,143 5,951,383 FHLMC MULTICLASS MTG KG01 A10 2.9390 18,522,000 20,556,459 20,446,912 FHLMC MULTICLASS MTG KG01 A7 2.8750 8,630,000 9,364,738 9,325,055 FHLMC MULTICLASS MTG KG02 A1 2.0440 2,884,000 3,033,832 3,027,729 FHLMC MULTICLASS MTG KG03 A2 1.2970 2,200,000 2,260,345 2,162,215 FHLMC MULTICLASS MTG KG04 A2 1.4870 9,082,000 9,340,272 9,047,229 FHLMC MULTICLASS MTG KG05 A2 2.0000 11,800,000 12,143,315 12,258,639 FHLMC MULTICLASS MTG KGX1 X 0.0925 101,748,000 972,864 779,675 FHLMC MULTICLASS MTG KHG1 A2 3.3410 6,532,250 6,592,247 7,058,523 FHLMC MULTICLASS MTG KHG1 A4 3.3410 3,879,706 3,887,494 4,345,113 FHLMC MULTICLASS MTG KIR2 A1 2.7480 313,263 307,656 332,206 FHLMC MULTICLASS MTG KIR3 A2 3.2810 4,807,000 4,989,937 5,359,050 FHLMC MULTICLASS MTG KIR3 X 0.0736 62,900,000 518,293 376,947 FHLMC MULTICLASS MTG KJ12 A2 3.0350 1,717,110 1,756,527 1,804,579 FHLMC MULTICLASS MTG KJ18 A2 3.0650 227,743 228,593 232,093 FHLMC MULTICLASS MTG KJ28 A2 2.3080 2,720,000 2,765,349 2,869,634 FHLMC MULTICLASS MTG KL05 X1P 0.8924 30,000,000 2,001,889 2,015,280 FHLMC MULTICLASS MTG KL06 XFX 1.3640 24,063,000 2,302,505 2,199,683 FHLMC MULTICLASS MTG KL4F A2AS 3.6830 3,550,000 3,597,256 3,830,023 FHLMC MULTICLASS MTG KLU3 A2 1.7580 6,814,000 6,813,838 6,932,316 FHLMC MULTICLASS MTG KMP1 A2 2.9820 9,049,000 9,707,231 9,650,730 FHLMC MULTICLASS MTG KPLB A 2.7700 1,801,000 1,844,626 1,931,317 FHLMC MULTICLASS MTG KSMC X1 0.6733 271,704,196 4,798,859 2,847,677 FHLMC MULTICLASS MTG KW06 A1 3.8000 4,772,535 4,830,024 5,264,907 FHLMC MULTICLASS MTG KW06 A2 3.8000 1,820,000 2,001,672 2,093,646 FHLMC MULTICLASS MTG KW07 A1 3.6000 12,154,220 12,581,192 13,473,678 FHLMC MULTICLASS MTG KW10 A2 2.6910 900,000 923,780 975,978 FHLMC MULTICLASS MTG W5FX AFX 3.2140 3,000,000 3,157,302 3,341,128 FLORIDA ST BRD OF ADMIN FIN CO 2.1540 68,000 67,999 69,328 FLORIDA ST BRD OF ADMIN FIN CO 1.2580 315,000 314,999 318,027 FNMA POOL #0254155 6.5000 34,459 37,856 38,581 FNMA POOL #0259429 6.5000 62,832 69,100 70,347 FNMA POOL #0259453 6.5000 266,484 293,147 300,635 FNMA POOL #0259480 6.5000 39,810 43,805 44,572 FNMA POOL #0313097 6.5000 391 419 438 FNMA POOL #0375487 7.2800 113,504 113,505 113,301 FNMA POOL #0380390 7.8500 342,124 342,125 341,416 FNMA POOL #0382761 6.6620 710,571 710,572 710,332 FNMA POOL #0387347 5.9000 3,057,510 3,057,524 3,211,746 FNMA POOL #0387366 6.1100 3,166,729 3,166,761 3,327,897 FNMA POOL #0387522 6.0100 2,020,032 2,020,035 2,137,946 FNMA POOL #0387707 5.5000 665,210 684,682 707,335 FNMA POOL #0535497 6.5000 1,069 934 1,225 FNMA POOL #0745932 6.5000 3,029 3,280 3,495 FNMA POOL #0775852 1.3080 98,068 107,810 100,751 FNMA POOL #0795297 1.3080 10,492 11,674 10,779 FNMA POOL #0846937 1.7880 7,414 8,034 7,475 FNMA POOL #0847996 2.2800 4,182 4,779 4,189 FNMA POOL #0865959 2.2530 22,730 24,021 23,004 FNMA POOL #0873376 6.1600 1,980,284 1,980,287 1,979,591 FNMA POOL #0873441 6.2200 2,436,282 2,436,285 2,599,195 FNMA POOL #0873943 6.0100 3,154,294 3,154,298 3,191,221 FNMA POOL #0874305 6.1700 2,954,268 2,954,272 3,051,054 FNMA POOL #0874500 5.8300 602,259 629,253 625,554 FNMA POOL #0890430 3.5000 145,695 150,021 155,608 FNMA POOL #0957054 5.2700 696,982 752,544 736,407

End of Month: 6/30/2021 Unaudited Holdings Report Page 3 of 57 Coupon Units Cost Market Value FNMA POOL #0957135 5.4200 3,476,961 3,476,965 3,723,296 FNMA POOL #0957142 5.5200 359,646 388,051 379,233 FNMA POOL #0AE0443 6.5000 7,994 8,689 9,300 FNMA POOL #0AL3544 2.4030 23,998 23,804 25,250 FNMA POOL #0AM2182 2.1600 3,239,613 3,253,235 3,306,313 FNMA POOL #0AM8098 2.6800 3,632,000 3,882,421 3,874,378 FNMA POOL #0AM8910 2.6000 2,480,896 2,642,926 2,628,084 FNMA POOL #0AN8982 3.4400 3,186,000 3,518,825 3,484,784 FNMA POOL #0AN9603 3.6300 1,027,000 1,061,221 1,174,014 FNMA POOL #0AT1156 3.2730 11,994 12,315 12,566 FNMA POOL #0MA1557 3.0000 19,508 19,774 20,598 FNMA POOL #0MA3125 3.0000 288,053 297,337 303,516 FNMA GTD REMIC P/T 01-T5 A3 7.5000 30,719 31,623 36,176 FNMA GTD REMIC P/T 02-W11 AV1 0.2593 782 806 767 FNMA GTD REMIC P/T 03-W6 F 0.4415 40,514 41,508 40,741 FNMA GTD REMIC P/T 03-W8 3F2 0.4393 13,698 14,069 13,794 FNMA GTD REMIC P/T 05-62 JE 5.0000 3,645 4,015 3,758 FNMA GTD REMIC P/T 06-5 3A2 2.0753 9,798 9,805 10,033 FNMA GTD REMIC P/T 07-73 A1 0.1466 46,625 45,859 45,799 FNMA GTD REMIC P/T 09-3 PD 5.0000 6,083 6,646 6,539 FNMA GTD REMIC P/T 11-27 P 2.5000 3,706 3,802 3,838 FNMA GTD REMIC P/T 12-121 DC 2.0000 277,614 275,401 286,101 FNMA GTD REMIC P/T 12-127 PA 2.7500 136,700 137,562 145,278 FNMA GTD REMIC P/T 12-128 PD 1.5000 408,198 403,796 416,320 FNMA GTD REMIC P/T 12-M12 2A 2.7379 677,103 678,641 688,943 FNMA GTD REMIC P/T 12-M9 A2 2.4820 111,942 112,191 113,073 FNMA GTD REMIC P/T 13-102 QA 3.0000 92,363 91,507 95,438 FNMA GTD REMIC P/T 13-41 A 1.7500 94,424 90,375 95,244 FNMA GTD REMIC P/T 13-43 XP 1.5000 318,509 314,759 324,704 FNMA GTD REMIC P/T 13-63 PD 2.0000 472,796 455,708 483,713 FNMA GTD REMIC P/T 13-M6 1AC 3.4300 3,913,451 4,502,022 4,374,671 FNMA GTD REMIC P/T 13-M7 A2 2.2800 863,322 867,194 882,832 FNMA GTD REMIC P/T 14-12 ED 2.5000 416,429 412,242 428,948 FNMA GTD REMIC P/T 14-M4 A2 3.3458 1,391,946 1,479,182 1,478,747 FNMA GTD REMIC P/T 14-M7 1A 3.2306 1,765,496 1,774,127 1,868,203 FNMA GTD REMIC P/T 14-M9 A2 3.1030 2,817,296 3,003,195 2,998,780 FNMA GTD REMIC P/T 15-5 CP 3.0000 92,837 95,012 97,221 FNMA GTD REMIC P/T 15-M1 A2 2.5320 93,253 90,897 97,377 FNMA GTD REMIC P/T 15-M10 A2 3.0920 4,558,711 4,846,808 4,998,330 FNMA GTD REMIC P/T 15-M15 A2 2.9226 1,149,000 1,142,506 1,232,582 FNMA GTD REMIC P/T 16-M10 AV1 2.3500 292,560 279,173 301,574 FNMA GTD REMIC P/T 16-M11 A2 2.3690 252,000 256,165 265,077 FNMA GTD REMIC P/T 16-M6 A2 2.4880 135,000 131,335 143,566 FNMA GTD REMIC P/T 16-M7 A2 2.4994 7,896,225 8,263,242 8,221,160 FNMA GTD REMIC P/T 17-15 BC 3.2500 424,639 433,991 439,607 FNMA GTD REMIC P/T 17-34 JK 3.0000 102,385 99,351 105,720 FNMA GTD REMIC P/T 17-36 PQ 2.5500 204,737 199,582 210,248 FNMA GTD REMIC P/T 17-84 KA 3.5000 81,739 84,033 84,174 FNMA GTD REMIC P/T 17-M10 AV2 2.5534 2,674,509 2,698,367 2,803,088 FNMA GTD REMIC P/T 17-M11 A2 2.9800 1,723,000 1,764,947 1,912,170 FNMA GTD REMIC P/T 17-M12 A2 3.0769 8,022,641 8,576,209 8,853,610 FNMA GTD REMIC P/T 17-M14 A2 2.8681 6,984,000 7,404,957 7,631,814 FNMA GTD REMIC P/T 17-M15 A2 2.9593 2,470,000 2,758,879 2,715,191 FNMA GTD REMIC P/T 17-M15 ATS2 3.1364 86,000 89,802 92,152 FNMA GTD REMIC P/T 17-M3 A2 2.4757 298,000 289,712 318,253 FNMA GTD REMIC P/T 17-M5 A2 3.1589 12,429,000 13,906,134 13,946,013 FNMA GTD REMIC P/T 17-M7 A2 2.9610 2,994,000 3,269,397 3,251,006 FNMA GTD REMIC P/T 17-M8 A2 3.0610 2,747,000 3,100,354 3,015,517 FNMA GTD REMIC P/T 18-66 MA 3.5000 334,385 339,763 348,094 FNMA GTD REMIC P/T 18-M1 A2 2.9846 159,000 157,900 174,629 FNMA GTD REMIC P/T 18-M10 A1 3.3696 6,592,720 6,864,720 7,166,020 FNMA GTD REMIC P/T 18-M10 A2 3.3696 2,290,000 2,351,330 2,585,282 FNMA GTD REMIC P/T 18-M12 A1 3.5460 1,106,362 1,135,056 1,233,822 FNMA GTD REMIC P/T 18-M14 A2 3.5810 4,442,686 5,012,733 5,097,149 FNMA GTD REMIC P/T 18-M15 A1 3.2500 3,793,473 3,840,782 4,102,606 FNMA GTD REMIC P/T 18-M2 A1 2.8025 1,973,381 1,967,659 2,113,094 FNMA GTD REMIC P/T 18-M4 A2 3.0454 10,466,100 11,110,751 11,614,515 FNMA GTD REMIC P/T 18-M7 A1 3.0517 6,316,327 6,510,063 6,846,899 FNMA GTD REMIC P/T 18-M8 A2 3.3249 2,348,000 2,537,329 2,643,838 FNMA GTD REMIC P/T 19-6 GJ 3.0000 181,384 185,632 191,444 FNMA GTD REMIC P/T 19-M1 A2 3.5545 8,106,000 8,994,724 9,261,418 FNMA GTD REMIC P/T 19-M10 A1 2.0000 6,072,571 6,004,793 6,297,197 FNMA GTD REMIC P/T 19-M22 A2 2.5220 4,506,000 4,582,014 4,830,911 FNMA GTD REMIC P/T 19-M31 X2A 1.3045 30,530,559 2,742,980 2,524,822 FNMA GTD REMIC P/T 19-M4 A2 3.6100 5,559,000 6,423,896 6,490,216 FNMA GTD REMIC P/T 19-M5 A2 3.2730 5,011,000 5,560,864 5,642,649 FNMA GTD REMIC P/T 19-M9 A2 2.9370 12,689,000 13,735,603 14,017,529 FNMA GTD REMIC P/T 20-M1 A2 2.4440 7,463,000 7,591,863 8,001,927 FNMA GTD REMIC P/T 20-M42 A2 1.2700 2,497,000 2,502,995 2,443,715 FNMA GTD REMIC P/T 20-M52 A1 0.8780 2,435,585 2,435,563 2,397,776 FNMA GTD REMIC P/T 20-M52 A2 1.3191 7,265,000 7,269,498 7,118,038 FNMA GTD REMIC P/T 21-M1 A1 0.8700 4,043,768 4,043,974 3,991,257 FNMA GTD REMIC P/T 21-M1 A2 1.3901 3,647,000 3,667,069 3,628,788 FNMA GTD REMIC P/T 21-M13 A2 1.6050 4,542,000 4,479,909 4,569,112 FORESIGHT ENERGY PRIVATE 0.0000 235 0 2,099

End of Month: 6/30/2021 Unaudited Holdings Report Page 4 of 57 Coupon Units Cost Market Value FREDDIE MAC STRUCTURED DN3 M3 4.0893 139,440 145,745 142,240 FREDDIE MAC STRUCTURED DN4 M3 4.6393 110,545 115,546 112,492 FREDDIE MAC STRUCTURED DNA2 M1 1.2893 52,868 53,388 52,909 FREDDIE MAC STRUCTURED DNA2 M2 3.5393 300,000 308,279 313,416 FREDDIE MAC STRUCTURED DNA2 M3 4.7393 406,285 428,408 424,360 FREDDIE MAC STRUCTURED DNA3 M2 2.5893 500,000 508,376 511,132 FREDDIE MAC STRUCTURED DNA3 M3 5.0893 391,252 409,891 408,910 FREDDIE MAC STRUCTURED DNA3 M3 4.7893 430,274 447,232 445,251 FREDDIE MAC STRUCTURED DNA4 M3 3.8893 482,372 496,823 499,517 FREDDIE MAC STRUCTURED HQA1 M3 6.4393 372,160 396,080 395,856 FREDDIE MAC STRUCTURED HQA3 M3 3.9393 250,000 265,692 258,999 GNMA POOL #0422529 6.0000 145 151 163 GNMA POOL #0464686 6.5000 327 331 364 GNMA POOL #0464820 7.0000 1,630 1,659 1,789 GNMA POOL #0485393 7.0000 91 93 93 GNMA POOL #0550475 7.0000 211 218 225 GNMA POOL #0780689 6.5000 2,133 2,161 2,388 GNMA POOL #0780770 6.0000 1,728 1,848 1,984 GNMA POOL #0781336 6.0000 7,256 7,357 8,630 GNMA GTD REMIC P/T 09-78 KB 3.0000 8,601 8,920 9,131 GNMA GTD REMIC P/T 10-106 PA 3.5000 11,960 12,701 12,671 GNMA GTD REMIC P/T 10-108 GD 3.0000 733 762 736 GNMA GTD REMIC P/T 10-164 KE 3.5000 2,195 2,305 2,246 GNMA GTD REMIC P/T 12-123 IO 0.6862 2,171,283 112,258 49,368 GNMA GTD REMIC P/T 13-21 IO 0.4184 16,644,685 652,458 319,155 GNMA GTD REMIC P/T 13-68 IO 0.9099 13,902,041 407,719 321,165 GNMA GTD REMIC P/T 14-135 AG 2.4000 147,814 146,624 148,098 GNMA GTD REMIC P/T 14-6 JA 2.7500 336,299 336,203 349,139 GNMA GTD REMIC P/T 14-70 BE 3.4000 4,655,858 4,689,060 4,755,784 GNMA GTD REMIC P/T 15-78 AC 3.0000 308,487 301,913 319,835 GNMA GTD REMIC P/T 16-125 IO 0.8764 2,770,896 210,068 142,664 GNMA GTD REMIC P/T 16-165 IO 0.7965 12,790,122 1,081,644 662,386 GNMA GTD REMIC P/T 16-36 IO 0.7185 1,639,260 127,480 67,359 GNMA GTD REMIC P/T 17-190 AD 2.6000 537,127 525,187 555,282 GNMA GTD REMIC P/T 17-91 BA 3.0000 232,498 237,122 243,536 GNMA GTD REMIC P/T 18-123 V 3.1000 1,366,580 1,337,329 1,453,269 GNMA GTD REMIC P/T 18-143 V 3.1000 1,815,719 1,766,401 1,931,815 GNMA GTD REMIC P/T 18-170 V 3.2500 340,441 341,385 362,010 GNMA GTD REMIC P/T 18-25 V 2.6000 1,264,884 1,201,287 1,317,399 GNMA GTD REMIC P/T 19-147 V 2.0000 980,161 945,592 970,073 GNMA GTD REMIC P/T 19-23 MA 3.5000 311,971 317,063 332,677 GNMA GTD REMIC P/T 20-159 IO 1.0840 11,682,955 1,071,546 1,051,148 GNMA GTD REMIC P/T 20-69 IA 1.3296 17,715,382 1,675,349 1,682,467 GREAT LAKES MI WTR AUTH WTR SP 3.4730 20,000 20,000 21,465 ILLINOIS ST 7.3500 350,000 352,644 452,143 LOS ANGELES CA CMNTY CLG DIST 6.7500 50,000 50,380 84,889 LOS ANGELES CA DEPT WTR & PWR 5.7160 80,000 80,004 115,350 LOS ANGELES CA UNIF SCH DIST 5.7500 250,000 251,774 337,588 MARYLAND ST HLTH & HGR EDUCTNL 3.0520 25,000 25,000 26,051 MARYLAND ST HLTH & HGR EDUCTNL 3.1970 30,000 30,000 30,895 MASSACHUSETTS ST 2.9000 55,000 54,999 58,124 MASSACHUSETTS ST 2.5140 20,000 20,000 20,173 MASSACHUSETTS ST SCH BLDG AUTH 5.7150 170,000 175,328 240,352 MASSACHUSETTS ST TRANSPRTN FUN 5.7310 40,000 40,003 56,168 MET TRANSPRTN AUTH NY REVENUE 6.5480 665,000 870,007 871,357 MET TRANSPRTN AUTH NY REVENUE 6.8140 150,000 178,648 219,859 MET TRANSPRTN AUTH NY REVENUE 6.6680 575,000 780,538 836,851 MIAMI-DADE CNTY FL WTR & SWR R 3.4900 10,000 10,000 10,771 MICHIGAN ST FIN AUTH REVENUE 3.3840 1,115,000 1,114,987 1,218,797 N TX TOLLWAY AUTH REVENUE 3.0110 940,000 939,983 955,895 NEW JERSEY ST ECON DEV AUTH LE 7.4250 880,000 1,044,013 1,141,221 NEW JERSEY ST TURNPIKE AUTH 7.1020 601,000 813,149 961,619 NEW YORK CITY NY MUNI WTR FIN 5.9520 185,000 205,701 282,943 NEW YORK CITY NY TRANSITIONAL 5.5080 170,000 170,839 227,441 NEW YORK CITY NY TRANSITIONAL 5.5720 40,000 40,002 52,897 NEW YORK ST DORM AUTH ST PERSO 5.6280 80,000 80,139 104,657 NEW YORK ST THRUWAY AUTH 3.5000 20,000 20,001 21,127 OHIO ST WTR DEV AUTH WTR POLL 4.8790 340,000 340,017 406,756 OREGON ST DEPT OF TRANSPRTN HI 5.8340 270,000 273,177 376,662 PENNSYLVANIA ST UNIV 2.8400 25,000 24,999 25,212 PHILADELPHIA PA AUTH FOR INDL 3.9640 1,700,000 1,699,968 1,812,029 PHILADELPHIA PA WTR & WSTWTR R 2.9260 40,000 40,000 40,216 PORT AUTH OF NEW YORK & NEW JE 4.4580 230,000 221,504 301,743 PORT AUTH OF NEW YORK & NEW JE 5.6470 870,000 1,051,046 1,225,866 POSTAL SQUARE LP 8.9500 120,166 120,189 126,991 RUTGERS NJ ST UNIV 3.2700 15,000 15,000 16,004 SALES TAX SECURITIZATION CORP 2.1280 155,000 154,998 158,468 SAN ANTONIO TX ELEC & GAS REVE 5.8080 130,000 130,005 186,059 SAN DIEGO CNTY CA REGL TRANSPR 5.9110 70,000 70,007 105,905 SAN FRANCISCO CITY & CNTY CA P 6.0000 170,000 169,706 236,084 SAN FRANCISCO CITY & CNTY CA P 3.3030 25,000 25,003 26,788 SANTA CLARA VLY CA TRANSPRTN A 5.8760 130,000 130,009 163,136 SOUTH CAROLINA ST PUBLIC SVC A 6.4540 80,000 84,342 126,156 SOUTH CAROLINA ST PUBLIC SVC A 4.1220 1,318,000 1,348,296 1,477,114 TENNESSEE VALLEY AUTH BD 2.8750 470,000 469,784 516,303

End of Month: 6/30/2021 Unaudited Holdings Report Page 5 of 57 Coupon Units Cost Market Value TEXAS ST 4.6810 40,000 40,001 52,415 TEXAS ST TRANSPRTN COMMISSION 1.9800 185,000 184,998 188,140 TEXAS ST TRANSPRTN COMMISSION 2.4720 145,000 144,998 143,257 TEXAS ST TRANSPRTN COMMISSIONS 4.0000 575,000 703,700 707,082 TEXAS ST TRANSPRTN COMMISSIONS 5.1780 80,000 80,004 98,731 U S TREASURY BOND 1.1250 1,115,000 1,042,436 962,559 U S TREASURY BOND 1.2500 3,629,000 3,223,647 2,963,164 U S TREASURY BOND 1.3750 15,680,000 14,101,352 13,733,787 U S TREASURY BOND 1.6250 6,937,000 6,151,704 6,230,293 U S TREASURY BOND 1.8750 94,112,000 88,670,615 91,634,360 U S TREASURY BOND 2.0000 30,955,000 35,042,795 30,410,869 U S TREASURY BOND 2.2500 6,625,000 6,988,480 6,881,664 U S TREASURY BOND 2.3750 8,363,800 8,864,480 8,928,578 U S TREASURY BOND 2.5000 25,466,000 26,739,942 27,576,561 U S TREASURY BOND 2.7500 5,045,000 6,008,040 5,727,704 U S TREASURY BOND 2.8750 16,870,000 19,608,485 19,603,894 U S TREASURY BOND 3.0000 16,679,000 18,289,636 19,628,120 U S TREASURY BOND 3.1250 16,775,000 19,074,212 20,203,144 U S TREASURY BOND 3.3750 11,526,000 12,760,037 14,493,136 U S TREASURY BOND 3.6250 1,605,000 2,032,389 2,074,525 U S TREASURY BOND 3.7500 9,414,000 12,866,626 12,312,555 U S TREASURY BOND 4.3750 1,925,000 3,015,730 2,704,550 U S TREASURY BOND 4.5000 3,278,000 4,158,001 4,500,079 U S TREASURY BOND 5.2500 885,000 1,034,044 1,141,304 U S TREASURY BOND 5.3750 171,000 214,246 232,533 U S TREASURY BOND 5.5000 1,730,000 2,161,712 2,237,850 U S TREASURY BOND 6.1250 3,190,000 4,554,804 4,384,755 U S TREASURY BOND 6.2500 470,000 515,496 529,338 U S TREASURY NOTE 0.2500 61,132,000 60,652,529 60,197,854 U S TREASURY NOTE 0.5000 74,591,000 73,846,607 73,361,868 U S TREASURY NOTE 0.6250 7,363,200 7,340,538 7,031,548 U S TREASURY NOTE 0.7500 15,416,000 15,348,390 15,343,048 U S TREASURY NOTE 0.8750 14,463,100 14,262,742 13,753,504 U S TREASURY NOTE 1.1250 122,784,800 117,912,664 119,290,827 U S TREASURY NOTE 1.2500 12,311,800 12,273,490 12,355,801 U S TREASURY NOTE 1.3750 16,070,000 16,102,267 16,427,670 U S TREASURY NOTE 1.5000 500,000 499,051 508,223 U S TREASURY NOTE 1.6250 47,480,400 47,933,644 48,296,568 U S TREASURY NOTE 1.7500 420,000 421,045 427,170 U S TREASURY NOTE 2.0000 30,867,000 31,192,588 31,965,067 U S TREASURY NOTE 2.1250 29,395,000 30,614,695 30,875,448 U S TREASURY NOTE 2.2500 49,690,000 51,094,693 52,530,734 U S TREASURY NOTE 2.3750 6,001,000 6,085,997 6,368,740 U S TREASURY NOTE 2.6250 4,615,000 5,030,729 5,060,636 U S TREASURY NOTE 2.7500 5,995,000 6,811,057 6,605,506 U S TREASURY NOTE 2.8750 3,665,000 4,035,930 3,984,542 U S TREASURY NOTE 0.1250 68,932,300 68,892,181 68,812,079 U S TREASURY NOTE 0.3750 28,944,000 28,446,250 28,198,240 UNIV OF CALIFORNIA CA REVENUES 5.9460 80,000 85,340 113,257 UNIV OF CALIFORNIA CA REVENUES 4.8580 100,000 112,003 140,795 UNIV OF CALIFORNIA CA REVENUES 3.0710 20,000 20,000 20,202 UNIV OF CALIFORNIA CA REVENUES 1.6140 720,000 719,995 713,230 UNIV OF CALIFORNIA CA RGTS MED 6.5480 550,000 550,129 858,584 UNIV OF CALIFORNIA CA RGTS MED 3.0060 60,000 59,999 61,748 UNIV OF CALIFORNIA CA RGTS MED 3.2560 45,000 44,999 47,805 UNIV OF CALIFORNIA CA RGTS MED 3.7060 15,000 15,000 16,200 UNIV OF MICHIGAN MI 2.5620 49,000 48,999 48,468 UNIV OF MICHIGAN MI 2.4370 790,000 798,551 793,118 UNIV OF TEXAS TX UNIV REVENUES 2.4390 70,000 69,998 67,275 UNIV OF VIRGINIA VA UNIV REVEN 2.2560 340,000 339,996 320,584 UNIV OF VIRGINIA VA UNIV REVEN 3.2270 70,000 70,000 67,486 Total of U.S. Government & Federal Agency Obligations 1,632,527,354 1,625,801,941

Domestic Corporate & Other Bonds

EVERTEC 11/18 COV-LITE TLB 0.0000 356,522 355,511 355,891 3M CO 2.6500 295,000 294,820 314,274 7-ELEVEN INC 144A 0.8000 375,000 374,728 374,072 7-ELEVEN INC 144A 2.5000 2,735,000 2,705,663 2,546,383 7-ELEVEN INC 144A 0.6120 7,400,000 7,400,000 7,403,323 84 LUMBER 2/21 TLB 0.0000 548,625 547,253 548,076 8TH AVENUE FOOD 9/18 2ND LIEN 0.0000 100,000 99,507 99,167 8TH AVENUE FOOD 9/18 TL 0.0000 0 0 0 ABBOTT LABORATORIES 4.9000 610,000 791,089 834,825 ABBVIE INC 2.1500 390,000 390,129 392,833 ABBVIE INC 2.3000 2,175,000 2,173,997 2,232,471 ABBVIE INC 2.6000 440,000 439,729 463,957 ABBVIE INC 3.2000 8,461,000 8,854,522 9,171,999 ABBVIE INC 3.2500 150,000 153,443 154,223 ABBVIE INC 3.6000 950,000 982,263 1,036,637 ABBVIE INC 4.0500 925,000 1,094,077 1,074,319 ABBVIE INC 4.2500 593,000 716,945 710,719 ABBVIE INC 4.4000 1,000,000 1,172,862 1,214,260

End of Month: 6/30/2021 Unaudited Holdings Report Page 6 of 57 Coupon Units Cost Market Value ABBVIE INC 4.7000 482,000 607,316 600,208 ABC SUPPLY 10/19 COV-LITE TL 0.0000 433,400 431,762 430,041 ABFC 2007-WMC1 TRUST WMC1 A2B 1.0893 525,164 408,811 489,658 ACADEMY LTD 144A 6.0000 1,545,000 1,550,126 1,651,219 ACADIA HEALTHCARE CO INC 144A 5.0000 330,000 330,000 344,164 ACADIA HEALTHCARE CO INC 144A 5.5000 2,750,000 2,845,681 2,935,625 ACCO BRANDS CORP 144A 4.2500 1,655,000 1,655,000 1,638,450 ACE SECURITIES CORP HO HE4 A2A 0.2093 12,041 12,375 6,342 ACE SECURITIES CORP HOM HE1 M1 1.0643 121,390 116,209 120,386 ACE SECURITIES CORP HOM HE3 M4 1.0343 1,100,000 1,065,393 1,066,928 ACOSTA 4/15 TLB1 0.0000 278,038 277,968 65,200 ACPRODUCTS/CABINETWORKS 5/21 T 0.0000 415,000 410,850 412,630 ACRISURE 1/20 TLB 0.0000 277,200 263,513 273,965 ACRISURE LLC / ACRISURE F 144A 7.0000 355,000 345,147 362,100 ACRISURE LLC / ACRISURE F 144A 10.1250 100,000 101,404 112,750 ACTIVISION BLIZZARD INC 2.5000 470,000 468,742 421,889 ACURIS FINANCE US INC / A 144A 5.0000 1,525,000 1,524,992 1,520,212 ADAMS HOMES INC 144A 7.5000 30,000 30,000 31,350 ADIENT 4/21 TLB1 0.0000 245,000 244,388 244,924 ADJUSTABLE RATE MORTGAGE 5 2A1 2.6735 59,132 52,398 56,243 ADOBE INC 2.3000 488,000 492,245 508,108 ADVANCED DRAINAGE SYSTEMS 144A 5.0000 105,000 106,114 108,992 AEGIS ASSET BACKED SECURI 1 A2 0.2593 1,443,263 1,189,163 1,251,897 AEP TEXAS INC 2.1000 40,000 39,853 39,218 AES CORP/THE 144A 1.3750 300,000 294,803 297,057 AETNA INC 2.8000 490,000 482,760 509,974 AFFILIATED MANAGERS GROUP INC 3.3000 1,102,000 1,184,755 1,188,716 AFFIRM ASSET SECURIT Z1 A 144A 1.0700 1,574,324 1,574,271 1,574,348 AFFIRM ASSET SECURIT Z1 A 144A 3.4600 0 0 0 AFFIRM ASSET SECURITI A A 144A 0.8800 420,000 419,943 420,615 AFLAC INC 1.1250 370,000 369,663 370,619 AFLAC INC 4.7500 1,030,000 1,300,568 1,358,619 AGILENT TECHNOLOGIES INC 2.1000 1,752,000 1,805,035 1,733,379 AGILENT TECHNOLOGIES INC 2.3000 555,000 554,039 554,963 AGILENT TECHNOLOGIES INC 2.7500 1,075,000 1,089,433 1,123,856 AHEAD 4/21 COV-LITE TL 0.0000 1,050,000 1,050,000 1,051,145 AHEAD DB HOLDINGS LLC 144A 6.6250 1,460,000 1,475,948 1,510,428 AHS HOSPITAL CORP 2.7800 15,000 15,000 14,819 AIR LEASE CORP 0.7000 175,000 174,000 174,376 AIR LEASE CORP 2.2500 3,705,000 3,693,147 3,803,475 AIR LEASE CORP 2.6250 245,000 244,772 249,640 AIR LEASE CORP 3.0000 775,000 771,457 810,123 AIR LEASE CORP 3.5000 215,000 214,739 218,555 AIR LEASE CORP 3.8750 1,790,000 1,785,398 1,898,824 AIR PRODUCTS AND CHEMICALS INC 2.7000 60,000 59,841 60,850 AIR PRODUCTS AND CHEMICALS INC 2.8000 39,000 40,722 38,981 AIRBNB 4/20 COV-LITE TL 0.0000 267 272 299 ALABAMA POWER CO 2.8000 410,000 407,376 433,378 ALASKA AIRLINES 2020-1 CL 144A 4.8000 576,484 583,126 637,831 ALBEMARLE CORP 4.1500 80,000 84,423 87,527 ALBERTSONS COS INC / SAFE 144A 4.6250 2,320,000 2,320,174 2,426,604 ALBERTSONS COS INC / SAFE 144A 4.8750 410,000 410,006 437,269 ALBERTSONS COS INC / SAFE 144A 5.8750 4,592,000 4,741,578 4,947,398 ALCON FINANCE CORP 144A 2.6000 1,550,000 1,641,517 1,582,894 ALEXANDRIA REAL ESTATE EQUITIE 1.8750 160,000 159,719 151,249 ALEXANDRIA REAL ESTATE EQUITIE 2.0000 1,925,000 1,919,203 1,875,204 ALIXPARTNERS 2/21 (USD) COV-LI 0.0000 405,313 404,299 403,456 ALLEGHANY CORP 4.9000 80,000 79,518 100,613 ALLEGION US HOLDING CO INC 3.2000 680,000 679,812 722,884 ALLEGION US HOLDING CO INC 3.5500 890,000 861,274 967,221 ALLIANCE LAUNDRY 9/20 COV-LITE 0.0000 202,291 200,774 202,449 ALLIED UNIVERSAL HOLDCO L 144A 6.6250 2,270,000 2,300,405 2,406,722 ALLY FINANCIAL INC 1.4500 1,185,000 1,182,394 1,202,639 ALLY FINANCIAL INC 3.0500 560,000 557,350 584,383 ALLY FINANCIAL INC 8.0000 710,000 833,647 1,020,304 ALPHABET INC 2.2500 350,000 320,898 308,664 ALTERNATIVE LOAN TRU OC10 2A2A 0.4493 66,569 63,198 71,447 ALTERNATIVE LOAN TRUS 65CB 1A4 5.5000 821,086 766,524 723,853 ALTERNATIVE LOAN TRUS OA11 A1B 0.4693 773,498 663,527 747,979 ALTERNATIVE LOAN TRUS OA9 2A1A 0.2936 928,941 735,106 733,996 ALTERNATIVE LOAN TRUST 12T1 A5 6.0000 758,842 450,368 530,709 ALTERNATIVE LOAN TRUST 2 58 A1 0.7236 1,258,094 1,184,589 1,197,100 ALTERNATIVE LOAN TRUST 27 2A1 1.4571 256,972 235,002 231,594 ALTERNATIVE LOAN TRUST 61 2A1 0.6493 89,793 75,260 89,337 ALTERNATIVE LOAN TRUST 9T1 1A3 6.0000 842,823 699,585 560,778 ALTERNATIVE LOAN TRUST OA1 2A1 0.5036 277,533 250,498 235,100 ALTERNATIVE LOAN TRUST OA19 A1 0.2636 296,143 283,097 230,765 ALTERNATIVE LOAN TRUST OH1 A1D 0.2993 1,137,851 735,268 850,431 ALTRA INDUSTRIAL 9/18 TL 0.0000 159,126 158,885 158,082 AMAZON.COM INC 1.0000 400,000 398,318 400,079 AMAZON.COM INC 1.2000 7,755,000 7,752,820 7,730,516 AMAZON.COM INC 2.1000 300,000 299,947 305,044 AMAZON.COM INC 2.8750 1,205,000 1,200,481 1,243,266 AMAZON.COM INC 3.1000 1,220,000 1,211,289 1,281,528 AMAZON.COM INC 3.2500 240,000 238,036 252,924

End of Month: 6/30/2021 Unaudited Holdings Report Page 7 of 57 Coupon Units Cost Market Value AMAZON.COM INC 3.8750 450,000 540,061 536,603 AMAZON.COM INC 4.2500 215,000 267,094 275,408 AMBAC ASSURANCE CORP 144A 5.1000 4 6 6 AMBIENCE MERGER SUB INC 144A 4.8750 30,000 30,000 30,075 AMBIENCE MERGER SUB INC 144A 7.1250 1,790,000 1,798,931 1,807,900 AMC NETWORKS INC 4.2500 3,570,000 3,570,021 3,601,238 AMENTUM/AECOM MAVERICK 1/20 TL 0.0000 153,837 153,067 153,337 AMEREN ILLINOIS CO 1.5500 230,000 229,082 221,337 AMEREN ILLINOIS CO 3.2500 90,000 89,555 97,288 AMEREN ILLINOIS CO 4.5000 90,000 89,915 115,779 AMERICAN AIRLINES 2015-1 CLASS 3.3750 912,135 886,865 905,807 AMERICAN AIRLINES 2016-2 CLASS 3.2000 1,129,345 1,129,319 1,151,421 AMERICAN AIRLINES 2016-3 CLASS 3.2500 699,249 681,399 679,470 AMERICAN AIRLINES 2017-1 CLASS 3.6500 1,336,300 1,336,309 1,376,393 AMERICAN AIRLINES 2019-1 CLASS 3.1500 662,102 613,579 681,896 AMERICAN AIRLINES 2019-1 CLASS 3.5000 1,040,446 966,455 1,006,460 AMERICAN AIRLINES INC 144A 11.7500 1,105,000 1,295,472 1,386,775 AMERICAN AIRLINES INC/AAD 144A 5.5000 1,095,000 1,095,009 1,159,331 AMERICAN AIRLINES INC/AAD 144A 5.7500 2,675,000 2,675,018 2,892,344 AMERICAN AXLE & MANUFACTURING 6.5000 2,313,000 2,308,868 2,451,780 AMERICAN BATH 1/21 COV-LITE TL 0.0000 559,300 553,707 557,493 AMERICAN BUILDERS & CONTR 144A 3.8750 3,600,000 3,600,001 3,577,500 AMERICAN BUILDERS & CONTR 144A 4.0000 117,000 117,010 119,891 AMERICAN CAMPUS COMMUNITIES OP 3.8750 600,000 595,270 665,887 AMERICAN CREDIT ACCEP 2 B 144A 0.6800 155,000 154,988 155,052 AMERICAN CREDIT ACCEP 2 D 144A 4.0700 2,806,161 2,872,036 2,855,600 AMERICAN CREDIT ACCEP 4 B 144A 2.4300 431,122 431,094 431,648 AMERICAN ELECTRIC POWER CO INC 2.3000 50,000 49,978 50,534 AMERICAN ELECTRIC POWER CO INC 3.2500 90,000 89,851 89,968 AMERICAN ENERGY MARCELLUS 3/18 0.0000 59,540 799,005 41,033 AMERICAN HOME MORTGAGE 3 2A11 1.0471 1,565,425 1,403,838 1,273,542 AMERICAN HOME MORTGAGE AS 5 A1 1.0271 393,478 308,369 166,829 AMERICAN HOMES 4 RENT LP 4.2500 200,000 192,665 224,497 AMERICAN HONDA FINANCE CORP 1.6500 3,100,000 3,099,993 3,101,223 AMERICAN HONDA FINANCE CORP 0.7500 1,300,000 1,793,605 1,770,631 AMERICAN INTERNATIONAL GROUP I 2.5000 275,000 286,355 290,194 AMERICAN INTERNATIONAL GROUP I 3.4000 3,300,000 3,505,539 3,618,786 AMERICAN INTERNATIONAL GROUP I 4.7500 585,000 705,222 743,466 AMERICAN ROCK SALT 3/18 0.0000 0 0 0 AMERICAN TOWER CORP 1.6000 350,000 349,727 353,697 AMERICAN TOWER CORP 2.2500 2,500,000 2,500,626 2,525,852 AMERICAN TOWER CORP 2.7000 3,400,000 3,393,538 3,506,437 AMERICAN TOWER CORP 3.3750 2,670,000 2,661,621 2,874,828 AMERICAN TOWER CORP 3.5500 200,000 199,706 219,702 AMERICAN TOWER CORP 1.3000 4,245,000 4,235,304 4,254,513 AMERICAN TOWER CORP 0.4500 1,935,000 2,359,249 2,295,887 AMERICAN TOWER CORP 0.6000 1,350,000 1,348,097 1,348,199 AMERICAN UNIVERSITY/THE 3.6720 193,000 192,992 221,501 AMERICAN WATER CAPITAL CORP 2.3000 50,000 49,850 50,818 AMERICAN WATER CAPITAL CORP 2.8000 1,025,000 1,060,998 1,084,881 AMERICAN WATER CAPITAL CORP 3.2500 275,000 274,214 287,990 AMERICAN WATER CAPITAL CORP 3.4500 455,000 463,687 491,642 AMERICAN WATER CAPITAL CORP 4.1500 240,000 238,780 291,111 AMERICREDIT AUTOMOBILE RE 1 A2 0.2800 1,775,000 1,774,976 1,775,802 AMERIFORGE 6/17 EXIT TL 0.0000 28,308 28,308 14,437 AMERIGAS PARTNERS LP / AMERIGA 5.5000 119,000 121,821 130,603 AMERIGAS PARTNERS LP / AMERIGA 5.7500 50,000 48,767 55,750 AMERIGAS PARTNERS LP / AMERIGA 5.8750 166,000 165,730 185,862 AMERISOURCEBERGEN CORP 2.7000 961,000 965,038 985,694 AMERISOURCEBERGEN CORP 2.8000 25,000 24,934 26,056 AMERISOURCEBERGEN CORP 3.2500 795,000 850,357 853,036 AMERISOURCEBERGEN CORP 4.3000 309,000 356,833 360,151 AMGEN INC 1.9000 130,000 129,804 134,589 AMGEN INC 3.1500 155,000 166,929 161,510 AMGEN INC 3.2000 1,865,000 1,846,435 2,035,942 AMPHENOL CORP 2.0500 80,000 79,899 83,192 AMPHENOL CORP 2.8000 836,000 892,686 882,754 AMR/AADVANTAGE 3/21 TL 0.0000 335,000 331,650 348,986 AMUR EQUIPMENT FINA 1A A2 144A 0.7500 315,000 314,969 315,018 ANGEL OAK MORTGAGE R1 A1 144A 0.9900 213,305 213,305 213,268 ANGEL OAK MORTGAGE T 1 A1 144A 0.9090 467,220 467,216 466,334 ANGEL OAK MORTGAGE T 1 M1 144A 2.2150 500,000 499,998 499,339 ANGEL OAK MORTGAGE T 4 A1 144A 2.9930 145,852 268,290 147,062 ANTERO MIDSTREAM PARTNERS 144A 5.7500 265,000 210,640 278,852 ANTHEM INC 2.3750 185,000 185,548 193,736 ANTHEM INC 2.5500 340,000 338,724 350,381 ANTHEM INC 2.8750 825,000 895,646 874,562 ANTHEM INC 3.6000 195,000 194,293 214,336 ANTHEM INC 4.6250 4,100,000 4,967,704 5,083,241 AON CORP 2.8000 355,000 354,888 372,686 APACHE CORP 4.3750 175,000 159,702 186,288 APACHE CORP 4.6250 240,000 244,258 259,200 APACHE CORP 4.7500 1,093,000 909,933 1,136,392 APACHE CORP 5.1000 87,000 75,226 91,133 APPALACHIAN POWER CO 4.5000 1,875,000 1,901,502 2,291,418

End of Month: 6/30/2021 Unaudited Holdings Report Page 8 of 57 Coupon Units Cost Market Value APPLE INC 1.2000 3,040,000 3,033,071 2,996,525 APPLE INC 2.0500 1,280,000 1,329,236 1,339,659 APPLE INC 2.3750 165,000 164,744 159,976 APPLE INC 2.6500 140,000 139,089 136,861 APPLE INC 2.8000 720,000 709,774 701,256 APPLE INC 2.9500 340,000 337,613 350,645 APPLE INC 3.3500 1,030,000 1,147,306 1,143,766 APPLE INC 3.4500 350,000 402,660 390,910 APPLE INC 4.6500 1,355,000 1,409,182 1,797,986 APTIV CORP 4.1500 305,000 328,047 330,926 APX GROUP INC 7.6250 255,000 250,738 262,013 APX GROUP INC 7.8750 85,000 85,635 85,319 APX GROUP INC 144A 6.7500 3,600,000 3,754,323 3,838,320 ARAMARK 6/18 COV-LITE TLB 0.0000 158,553 158,553 156,702 ARAMARK SERVICES INC 144A 5.0000 2,155,000 2,190,735 2,255,717 ARAMARK SERVICES INC 144A 6.3750 1,800,000 1,800,015 1,912,500 ARBY'S/INSPIRE BRANDS 1/20 COV 0.0000 126,734 126,476 126,430 ARBY'S/INSPIRE BRANDS 11/20 CO 0.0000 214,463 212,318 214,330 ARCHES BUYER INC 144A 4.2500 148,000 146,728 146,335 ARCHES BUYER INC 144A 6.1250 180,000 183,132 185,400 ARCHROCK PARTNERS LP / AR 144A 6.2500 2,035,000 1,952,686 2,124,357 ARCHROCK PARTNERS LP / AR 144A 6.8750 1,415,000 1,425,743 1,501,669 ARCONIC CORP 144A 6.0000 990,000 990,004 1,055,112 ARCONIC CORP 144A 6.1250 1,425,000 1,506,555 1,528,626 ARDAGH METAL PACKAGING FI 144A 4.0000 4,969,000 4,969,180 4,927,136 ARES CAPITAL CORP 2.1500 1,955,000 1,945,694 1,944,096 ARES CAPITAL CORP 3.2500 695,000 693,359 731,028 ARES CAPITAL CORP 3.5000 280,000 285,113 290,502 ARES CAPITAL CORP 3.8750 627,000 657,970 671,668 ARES CAPITAL CORP 4.2500 225,000 223,989 242,552 ARES FINANCE CO II LLC 144A 3.2500 900,000 898,107 937,605 ARGENT SECURITIES TRUST M1 A2B 0.2693 20,527 21,188 8,036 ARGENT SECURITIES TRUST M2 A2B 0.1993 1,987,218 1,051,462 836,305 ARGENT SECURITIES TRUST W3 A2D 0.6493 948,219 337,517 418,654 ARGENT SECURITIES TRUST W4 A2D 0.6293 614,459 308,703 228,550 ARI FLEET LEASE TRUS A A3 144A 0.6800 105,000 104,971 104,660 ARI FLEET LEASE TRUS A A3 144A 2.8400 406,200 406,165 409,660 ARIZONA PUBLIC SERVICE CO 2.6500 1,500,000 1,494,230 1,416,400 ARIZONA PUBLIC SERVICE CO 3.5000 60,000 59,966 65,641 ARIZONA PUBLIC SERVICE CO 4.5000 170,000 168,694 208,479 ARROW ELECTRONICS INC 3.2500 1,775,000 1,716,881 1,889,140 ARROW ELECTRONICS INC 4.5000 400,000 401,939 420,639 ARROYO MORTGAGE TRU 1R A1 144A 1.1750 217,000 216,999 216,999 ARROYO MORTGAGE TRUS 1 A1 144A 3.8050 70,810 70,809 72,085 ARROYO MORTGAGE TRUS 3 A1 144A 2.9620 222,231 222,229 225,383 ASBURY AUTOMOTIVE GROUP INC 4.5000 621,000 624,097 638,078 ASBURY AUTOMOTIVE GROUP INC 4.7500 618,000 623,983 645,810 ASCENSUS 8/20 COV-LITE TL 0.0000 100,000 98,560 100,063 ASCENT RESOURCES UTICA HO 144A 7.0000 985,000 979,613 1,030,517 ASCENT RESOURCES UTICA HO 144A 8.2500 635,000 635,129 698,500 ASHTEAD CAPITAL INC 144A 4.0000 200,000 200,000 210,250 ASHTON WOODS USA LLC / AS 144A 6.6250 230,000 231,112 244,950 ASPEN DENTAL 2/21 COV-LITE TLB 0.0000 265,000 263,675 261,854 ASPEN DENTAL 6/21 INCREMENTAL 0.0000 225,000 223,875 224,579 ASSUREDPARTNERS INC 144A 5.6250 1,080,000 1,089,381 1,080,000 ASTRAZENECA FINANCE LLC 1.2000 510,000 509,369 508,261 ASURION 1/21 2ND LIEN TLB3 0.0000 260,000 260,000 261,841 ASURION 12/20 B8 COV-LITE TL 0.0000 154,680 154,514 152,843 ASURION 7/18 B7 COV-LITE TLB 0.0000 207,860 207,308 205,586 AT HOME GROUP 6/21 TLB 0.0000 225,000 223,313 225,000 AT&T INC 4.3750 692,000 1,131,507 1,143,342 AT&T INC 7.0000 350,000 808,802 799,253 AT&T INC 0.9000 545,000 544,528 546,188 AT&T INC 1.6000 3,010,000 3,314,890 3,825,425 AT&T INC 1.6500 2,275,000 2,272,461 2,258,058 AT&T INC 1.7000 1,860,000 1,857,057 1,879,654 AT&T INC 2.2500 1,495,000 1,481,209 1,467,282 AT&T INC 2.7500 15,177,000 15,371,276 15,776,317 AT&T INC 3.5000 1,520,000 1,515,753 1,572,392 AT&T INC 3.8500 115,000 120,835 121,205 AT&T INC 4.3000 425,000 454,782 483,906 AT&T INC 4.3500 100,000 98,898 114,732 AT&T INC 4.4500 498,000 501,518 543,789 AT&T INC 4.5000 3,865,000 3,914,120 4,536,813 AT&T INC 4.6500 950,000 1,107,548 1,119,041 AT&T INC 4.8000 125,000 139,552 149,800 AT&T INC 4.8500 910,000 870,240 1,105,352 AT&T INC 5.2500 400,000 465,085 503,912 AT&T INC 144A 3.5500 500,000 477,554 501,676 AT&T INC 144A 3.6500 1,314,000 1,146,990 1,332,526 AT&T INC 144A 3.8000 2,116,000 2,268,125 2,204,623 ATHENAHEALTH 2/21 COV-LITE TLB 0.0000 100,000 100,000 100,219 ATHENE GLOBAL FUNDING 144A 1.0000 390,000 389,487 391,146 ATHENE GLOBAL FUNDING 144A 2.5000 120,000 123,547 125,064 ATKINS NUTRITIONALS 6/17 0.0000 104,314 103,975 104,727

End of Month: 6/30/2021 Unaudited Holdings Report Page 9 of 57 Coupon Units Cost Market Value ATMOS ENERGY CORP 4.1250 160,000 165,690 187,744 AUDIO VISUAL SERVICES 12/20 CO 0.0000 356,256 354,758 326,056 AUTODESK INC 2.8500 387,000 411,667 408,338 AUTOMATIC DATA PROCESSING INC 1.7000 5,093,000 5,077,890 5,136,346 AUTONATION INC 4.7500 784,000 908,616 927,240 AVALONBAY COMMUNITIES INC 3.4500 1,280,000 1,272,599 1,399,853 AVANGRID INC 3.1500 2,920,000 2,916,344 3,121,824 AVANGRID INC 3.8000 100,000 99,885 112,795 AVANT LOANS FUNDIN REV1 A 144A 1.2100 195,000 194,960 194,659 AVANTOR 10/20 TLB 0.0000 249,375 246,881 249,270 AVANTOR 9/17 (USD) COV-LITE TL 0.0000 52,776 52,435 52,732 AVANTOR FUNDING INC 144A 4.6250 1,795,000 1,795,888 1,895,107 AVERY DENNISON CORP 2.6500 564,000 570,677 579,311 AVIATION CAPITAL GROUP LL 144A 2.8750 1,200,000 1,198,453 1,212,194 AVIATION CAPITAL GROUP LL 144A 3.8750 275,000 274,580 288,121 AVIATION CAPITAL GROUP LL 144A 4.1250 4,485,000 4,555,124 4,843,685 AVIATION CAPITAL GROUP LL 144A 4.3750 400,000 411,091 429,007 AVIATION CAPITAL GROUP LL 144A 4.8750 700,000 708,586 777,261 AVIENT CORP 144A 5.7500 1,305,000 1,305,006 1,377,760 AWAS AVIATION PASS THRU TR NO 1.0850 958,393 958,393 967,793 B&G FOODS 9/19 COV-LITE TLB 0.0000 82,583 82,275 82,525 B&G FOODS INC 5.2500 255,000 257,207 265,593 BAKER HUGHES A GE CO LLC / BAK 3.3370 1,610,000 1,612,209 1,759,221 BAKER HUGHES A GE CO LLC / BAK 4.0800 670,000 730,207 765,348 BALTIMORE GAS AND ELECTRIC CO 2.9000 120,000 122,533 119,468 BALTIMORE GAS AND ELECTRIC CO 3.2000 785,000 776,533 821,215 BALTIMORE GAS AND ELECTRIC CO 6.3500 80,000 91,083 115,189 BANC OF AMERICA ALTERNAT 5 CB7 6.0000 80,192 59,745 78,624 BANC OF AMERICA FUNDING C 1 A1 6.0000 172,865 171,825 178,695 BANC OF AMERICA FUNDING C 5A1 2.7461 22,874 17,488 22,862 BANC OF AMERICA FUNDING E 2A1 2.6550 51,333 40,970 49,781 BANC OF AMERICA FUNDING E 8A1 3.1146 165,792 94,912 146,612 BANC OF AMERICA UBS7 XFG 144A 1.2500 1,358,000 102,152 37,140 BANK 2019-BNK22 BN22 AS 3.2100 500,000 554,815 539,241 BANK OF AMERICA CORP 3.5000 975,000 1,003,134 1,074,117 BANK OF AMERICA CORP 3.9700 900,000 949,111 1,014,523 BANK OF AMERICA CORP 4.0000 3,210,000 3,351,371 3,519,783 BANK OF AMERICA CORP 4.1000 4,221,000 4,269,197 4,535,395 BANK OF AMERICA CORP 5.8750 170,000 179,025 244,528 BANK OF AMERICA CORP 3.1240 990,000 989,685 1,004,874 BANK OF AMERICA CORP 1.8980 1,575,000 1,575,000 1,531,290 BANK OF AMERICA CORP 3.7050 1,785,000 1,810,867 1,973,821 BANK OF AMERICA CORP 2.8810 850,000 850,000 867,414 BANK OF AMERICA CORP 3.4190 800,000 830,046 871,288 BANK OF AMERICA CORP 3.0040 700,000 708,605 725,444 BANK OF AMERICA CORP 4.2440 335,000 329,743 398,047 BANK OF AMERICA CORP 4.3300 1,465,000 1,585,973 1,802,446 BANK OF AMERICA CORP 3.9740 1,775,000 1,842,215 2,012,816 BANK OF AMERICA CORP 2.4960 1,825,000 1,910,960 1,863,314 BANK OF AMERICA CORP 3.1940 1,125,000 1,175,459 1,211,132 BANK OF AMERICA CORP 4.0780 800,000 6,187,652 933,299 BANK OF AMERICA CORP 2.4560 7,300,000 7,300,000 7,636,493 BANK OF AMERICA CORP 2.5920 2,200,000 2,201,968 2,268,062 BANK OF AMERICA CORP 2.8840 10,430,000 10,824,683 10,986,865 BANK OF AMERICA CORP 2.6760 765,000 765,000 742,432 BANK OF AMERICA CORP 1.3190 250,000 250,000 250,547 BANK OF AMERICA CORP 0.9810 605,000 605,000 604,534 BANK OF AMERICA CORP 4.0830 928,000 1,156,803 1,108,882 BANK OF AMERICA CORP 0.8100 265,000 265,000 266,103 BANK OF AMERICA CORP 1.1970 200,000 200,000 198,084 BANK OF AMERICA CORP 3.4830 265,000 265,000 289,216 BANK OF AMERICA CORP 1.7340 6,290,000 6,289,957 6,338,378 BANK OF AMERICA CORP 2.6870 7,001,000 7,001,000 7,202,590 BANK OF AMERICA CORP 3.3110 155,000 155,000 164,006 BANK OF AMERICA CORP 0.5230 950,000 950,000 949,801 BANK OF AMERICA CORP 1.0979 1,200,000 1,200,000 1,216,716 BANKUNITED TRUST 2005-1 1 1A1 0.6893 108,763 102,792 109,811 BANNER HEALTH 2.9130 13,000 13,000 13,238 BANNER HEALTH 3.1810 21,000 21,000 22,217 BAPTIST HEALTHCARE SYSTEM OBLI 3.5400 2,200,000 2,199,923 2,368,992 BATH & BODY WORKS INC 5.2500 190,000 201,781 212,563 BATH & BODY WORKS INC 7.5000 2,815,000 3,042,994 3,314,663 BATH & BODY WORKS INC 144A 6.6250 555,000 557,207 642,413 BATH & BODY WORKS INC 144A 9.3750 525,000 525,032 678,563 BAUSCH HEALTH AMERICAS IN 144A 9.2500 880,000 880,021 957,176 BAXTER INTERNATIONAL INC 2.6000 390,000 389,796 415,106 BAYER US FINANCE II LLC 144A 3.8750 200,000 199,689 214,192 BAYER US FINANCE II LLC 144A 4.3750 2,700,000 3,154,894 3,093,277 BAYLOR SCOTT & WHITE HOLDINGS 2.8390 69,000 68,999 69,190 BAYVIEW MORTGAGE FU RT3 A 144A 3.5000 115,858 119,406 117,061 BAYVIEW OPPORTUNI SBR1 A1 144A 3.4748 1,080,926 1,080,926 1,087,539 BAYVIEW OPPORTUNITY RT6 A 144A 3.5000 157,338 160,625 158,710 BBCMS MORTGAGE TRUST 202 C7 A2 2.0210 110,000 113,222 112,632 BBCMS MORTGAGE TRUST 2020 C6 C 3.0450 41,000 40,999 41,673 BCP RENAISSANCE (ROVER) 9/17 0.0000 196,705 196,252 192,946

End of Month: 6/30/2021 Unaudited Holdings Report Page 10 of 57 Coupon Units Cost Market Value BCPE ULYSSES INTERMEDIATE 144A 7.7500 200,000 198,821 205,000 BEACON ROOFING 4/21 COV-LITE T 0.0000 208,541 207,636 207,267 BEAR STEARNS ALT-A TRUST 1 1A1 0.4093 283,225 198,796 262,410 BEAR STEARNS ALT-A TRUST 2 2A3 2.7860 467,125 457,684 458,864 BEAR STEARNS ALT-A TRUST 9 2A1 3.0133 39,934 43,663 41,130 BEAR STEARNS ARM TRUST 2 5 2A1 2.5296 16,062 12,550 16,164 BEAR STEARNS ARM TRUST 2 8 2A1 2.2034 13,618 14,997 13,841 BEAR STEARNS ARM TRUST 2 8 4A1 2.6686 26,366 30,469 27,240 BEAR STEARNS ASSET BAC HE7 1A1 1.0893 65,121 63,550 65,093 BEAR STEARNS ASSET BAC HE9 1A3 0.3193 1,000,000 647,881 936,456 BEAR STEARNS ASSET BACK HE7 M3 1.8893 744,108 650,818 743,668 BEAR STEARNS ASSET BACKE 2 AF2 8.4100 16,396 16,437 17,270 BECTON DICKINSON AND CO 2.8940 256,000 256,001 261,631 BECTON DICKINSON AND CO 3.7940 15,000 15,495 16,772 BELLRING BRANDS/POST HOLDINGS 0.0000 286,661 285,341 288,419 BELRON 11/18 COV-LITE 0.0000 195,500 195,195 194,278 BELRON 4/21 (USD) TLB 0.0000 150,000 148,500 149,688 BENCHMARK 2019-B12 MORT B12 AS 3.4188 300,000 335,410 327,205 BENCHMARK 2020-B19 MORT B19 AS 2.1480 500,000 510,695 498,168 BERKSHIRE HATHAWAY ENERGY CO 2.8500 455,000 454,465 440,203 BERKSHIRE HATHAWAY ENERGY CO 6.1250 760,000 749,599 1,068,618 BERKSHIRE HATHAWAY FINANCE COR 4.2000 605,000 605,220 747,373 BERKSHIRE HATHAWAY INC 1.1250 1,205,000 1,341,166 1,505,727 BERLIN PACKAGING 3/21 COV-LITE 0.0000 575,000 572,125 572,125 BERLIN PACKAGING 5/18 COV-LITE 0.0000 120,636 119,914 119,467 BERRY GLOBAL INC 144A 0.9500 175,000 174,811 175,152 BERRY GLOBAL INC 144A 1.5700 250,000 249,925 250,075 BERRY GLOBAL INC 144A 5.6250 565,000 582,911 597,538 BF 2019-NYT MORTGAG NYT C 144A 1.7930 185,000 186,008 185,311 BGC PARTNERS INC 5.3750 2,210,000 2,205,108 2,392,868 BIG RIVER STEEL LLC / BRS 144A 6.6250 1,515,000 1,514,602 1,668,394 BIMBO BAKERIES USA INC 144A 4.0000 1,380,000 1,356,824 1,481,848 BLACK HILLS CORP 4.3500 185,000 184,272 215,426 BLACK KNIGHT INFOSERV LLC 144A 3.6250 165,000 166,035 164,168 BLACKHAWK NETWORK 6/18 0.0000 466,301 464,079 460,538 BLOCK COMMUNICATIONS INC 144A 4.8750 705,000 705,006 719,100 BLOCK FINANCIAL LLC 2.5000 770,000 766,443 773,133 BLOCK FINANCIAL LLC 3.8750 45,000 46,813 48,649 BLOOMIN' BRANDS INC / OSI 144A 5.1250 105,000 106,022 107,888 BLUE RACER MIDSTREAM LLC 144A 7.6250 1,250,000 1,249,967 1,354,600 BMW US CAPITAL LLC 144A 1.8500 1,055,000 1,054,948 1,057,101 BOC AVIATION USA CORP 144A 1.6250 410,000 409,822 413,226 BON SECOURS MERCY HEALTH INC 2.0950 305,000 305,005 302,195 BOOKING HOLDINGS INC 0.5000 640,000 772,162 764,709 BOOKING HOLDINGS INC 4.6250 163,000 176,634 194,504 BOOKING HOLDINGS INC 0.1000 720,000 869,172 856,276 BORGWARNER INC 1.0000 625,000 746,809 746,848 BOSTON GAS CO 144A 3.0010 715,000 715,000 752,475 BOSTON PROPERTIES LP 3.4000 4,083,000 4,076,777 4,431,608 BOSTON SCIENTIFIC CORP 0.6250 912,000 1,001,211 1,096,969 BOSTON SCIENTIFIC CORP 2.6500 2,200,000 2,284,262 2,275,480 BOSTON SCIENTIFIC CORP 3.3750 570,000 568,434 585,215 BOSTON SCIENTIFIC CORP 3.4500 205,000 204,932 218,859 BOSTON SCIENTIFIC CORP 3.8500 809,000 826,204 893,019 BOYD 8/18 COV-LITE TLB 0.0000 203,645 203,028 200,704 BOYNE USA INC 144A 4.7500 1,075,000 1,075,010 1,109,110 BP CAPITAL MARKETS AMERICA INC 2.9390 970,000 987,961 928,655 BP CAPITAL MARKETS AMERICA INC 2.7720 350,000 304,907 324,122 BP CAPITAL MARKETS AMERICA INC 3.3790 365,000 365,000 366,941 BRAND ENERGY 6/17 COV-LITE TL 0.0000 281,639 280,433 276,842 BRANDYWINE OPERATING PARTNERSH 4.1000 235,000 244,642 254,835 BRAVO RESIDENTIAL NQM1 A1 144A 1.4490 185,996 185,994 187,505 BRAVO RESIDENTIAL NQM1 A1 144A 0.9410 94,922 94,921 94,675 BRICKMAN GROUP/BRIGHTVIEW 0.0000 499,301 498,563 496,180 BRIGHTHOUSE FINANCIAL GLO 144A 1.0000 80,000 79,888 80,154 BRIGHTHOUSE FINANCIAL GLO 144A 2.0000 690,000 689,194 690,477 BRISTOL-MYERS SQUIBB CO 2.3500 110,000 109,762 105,934 BRISTOL-MYERS SQUIBB CO 2.5500 430,000 428,762 411,174 BRISTOL-MYERS SQUIBB CO 3.4000 595,000 592,222 666,810 BRISTOL-MYERS SQUIBB CO 3.4500 1,618,000 1,710,680 1,804,685 BRISTOL-MYERS SQUIBB CO 4.1250 216,000 232,365 260,668 BRISTOL-MYERS SQUIBB CO 4.2500 300,000 391,221 378,546 BRISTOL-MYERS SQUIBB CO 4.5500 187,000 229,982 243,933 BRISTOL-MYERS SQUIBB CO 5.0000 86,000 112,191 117,542 BRIXMOR OPERATING PARTNERSHIP 3.8500 1,960,000 1,841,566 2,131,914 BROADCOM CORP / BROADCOM CAYMA 3.8750 1,236,000 1,345,803 1,365,753 BROADCOM INC 3.1500 668,000 667,304 715,949 BROADCOM INC 3.6250 250,000 248,800 270,761 BROADCOM INC 4.2500 275,000 306,667 308,285 BROADCOM INC 4.3000 290,000 308,714 330,230 BROADCOM INC 5.0000 1,300,000 1,483,408 1,533,703 BROADCOM INC 3.4590 1,797,000 1,834,114 1,956,928 BROADCOM INC 4.1100 1,746,000 1,757,434 1,964,141 BROADCOM INC 144A 1.9500 1,075,000 1,073,659 1,074,540 BROADCOM INC 144A 2.4500 350,000 338,163 343,943

End of Month: 6/30/2021 Unaudited Holdings Report Page 11 of 57 Coupon Units Cost Market Value BROADCOM INC 144A 2.6000 900,000 897,917 880,082 BROADCOM INC 144A 3.5000 1,360,000 1,352,001 1,391,319 BROADCOM INC 144A 3.7500 155,000 157,865 161,806 BROADCOM INC 144A 3.4190 4,987,000 4,983,760 5,237,169 BROADCOM INC 144A 3.4690 379,000 379,008 400,889 BROADRIDGE FINANCIAL SOLUTIONS 2.6000 2,440,000 2,438,958 2,484,513 BROOKFIELD FINANCE LLC 3.4500 5,000 4,866 5,158 BROOKFIELD PROPERTY REIT 144A 5.7500 100,000 100,002 105,125 BROWN & BROWN INC 4.2000 330,000 359,441 361,625 BUCKEYE PARTNERS LP 3.9500 94,000 94,574 95,645 BUCKEYE PARTNERS LP 5.6000 180,000 147,052 174,600 BUCKEYE PARTNERS LP 144A 4.1250 705,000 705,088 730,556 BUCKEYE PARTNERS LP 144A 4.5000 1,220,000 1,214,811 1,250,878 BUILDERS FIRSTSOURCE INC 144A 5.0000 225,000 217,524 236,576 BUNGE LTD FINANCE CORP 1.6300 185,000 184,992 187,179 BUNKER HILL LOAN DEP 3 A1 144A 2.7240 296,035 296,030 301,510 BURLINGTON NORTHERN SANTA FE L 4.5500 285,000 283,625 364,130 BURLINGTON NORTHERN SANTA FE L 4.9000 605,000 608,137 805,599 BURLINGTON NORTHERN SANTA FE L 5.4000 430,000 428,910 590,110 BWAY 3/17 TLB 0.0000 5,551,720 5,434,959 5,413,815 BX COMMERCIAL MORT BXLP D 144A 1.3430 135,868 135,865 135,868 BX COMMERCIAL MORT BXLP F 144A 2.0930 431,867 432,263 431,867 BX COMMERCIAL MORTG IND B 144A 0.9930 0 0 0 BX COMMERCIAL MORTG IND C 144A 1.1930 0 0 0 BX TRUST 2018-GW GW D 144A 1.8630 155,000 155,311 155,094 BY CROWN PARENT LLC / BY 144A 4.2500 80,000 80,000 83,800 CA INC 4.7000 440,000 440,000 492,644 CABLE ONE 4/21 COV-LITE TLB4 0.0000 400,000 398,000 398,200 CABLEVISION LIGHTPATH LLC 144A 5.6250 1,765,000 1,797,058 1,797,653 CABLEVISION SYSTEMS 3/17 TLB 0.0000 195,605 195,065 192,671 CABLEVISION SYSTEMS/ALTICE USA 0.0000 194,892 195,082 192,838 CABOT CORP 4.0000 195,000 199,637 210,949 CAESARS ENTERTAINMENT INC 144A 6.2500 2,600,000 2,566,696 2,756,000 CAESARS RESORT COLLECTION 144A 5.7500 1,300,000 1,366,657 1,369,875 CALIFORNIA ENDOWMENT/THE 2.4980 15,000 15,000 14,439 CALIFORNIA INSTITUTE OF TECHNO 4.7000 170,000 168,445 241,456 CALIFORNIA PRODUCTS/ICP GROUP 0.0000 265,000 262,075 264,255 CALLON PETROLEUM CO 6.3750 180,000 181,028 172,350 CALPINE CORP 144A 4.5000 367,000 367,028 374,340 CALPINE CORP 144A 4.6250 1,260,000 1,259,986 1,238,756 CALPINE CORP 144A 5.0000 575,000 574,993 572,125 CALPINE CORP 144A 5.1250 1,835,000 1,857,431 1,867,113 CAMB COMMERCIAL MO LIFE D 144A 1.8430 115,000 128,916 115,178 CAMDEN PROPERTY TRUST 3.1500 965,000 967,266 1,048,425 CAMERON LNG LLC 144A 3.3020 800,000 843,261 859,029 CAMPBELL SOUP CO 3.1250 800,000 821,199 777,687 CANO HEALTH 11/20 DELAYED TL 0.0000 121,164 120,582 121,215 CANO HEALTH 11/20 TL 0.0000 243,144 241,951 243,247 CANTOR FITZGERALD LP 144A 6.5000 2,390,000 2,396,047 2,520,589 CAPITAL VISION/MYEYEDR 8/19 0.0000 414,702 411,681 414,420 CARDINAL HEALTH INC 3.2000 520,000 526,762 543,006 CARDINAL HEALTH INC 4.3680 13,000 14,656 14,557 CARLYLE HOLDINGS FINANCE 144A 3.8750 784,000 791,085 822,181 CARPENTER TECHNOLOGY CORP 6.3750 785,000 784,984 861,813 CARRIER GLOBAL CORP 2.2420 270,000 278,108 280,738 CARRIER GLOBAL CORP 3.3770 2,320,000 2,395,737 2,433,504 CARRIER GLOBAL CORP 3.5770 550,000 594,214 583,256 CARRINGTON MORTGAGE LO FRE1 A3 0.3493 1,818,371 1,424,994 1,752,109 CARRINGTON MORTGAGE LO FRE2 A4 0.3393 1,403,966 755,559 1,268,159 CARVANA AUTO RECEIVABLES N1 A 0.7000 317,611 317,575 317,972 CARVANA AUTO RECEIVABLES N2 C 1.0700 30,000 29,997 30,074 CATALENT PHARMA SOLUTIONS 144A 3.1250 50,000 50,000 48,419 CATALENT PHARMA SOLUTIONS 144A 5.0000 30,000 30,000 31,349 CATERPILLAR FINANCIAL SERVICES 0.9000 870,000 868,137 868,501 CATERPILLAR INC 3.2500 474,000 483,070 523,960 C-BASS 2006-CB9 TRUST CB9 A1 0.1493 21,144 20,915 12,315 C-BASS 2006-CB9 TRUST CB9 A2 0.1993 1,745,050 1,139,358 1,025,909 C-BASS 2007-CB1 TRUST CB1 AF4 5.9100 1,622,013 593,727 731,984 CBRE SERVICES INC 2.5000 1,061,000 1,058,230 1,074,509 CCC INFORMATION 3/17 COV-LITE 0.0000 241,859 240,650 241,726 CCO HOLDINGS LLC / CCO HO 144A 4.2500 4,354,000 4,397,962 4,435,638 CCO HOLDINGS LLC / CCO HO 144A 4.5000 6,530,000 6,710,366 6,768,605 CCO HOLDINGS LLC / CCO HO 144A 4.7500 2,580,000 2,583,116 2,728,350 CCO HOLDINGS LLC / CCO HO 144A 5.0000 540,000 539,742 566,325 CCO HOLDINGS LLC / CCO HO 144A 5.3750 840,000 853,783 918,204 CCO HOLDINGS LLC / CCO HO 144A 5.7500 204,000 204,227 210,846 CCP_IRS. P USD-LIBOR-BBA 1M CM 0.2320 341,600,000 316,971 199,819 CCP_IRS. P USD-LIBOR-BBA 3M CM 1.1250 3,363,000 298 18,192 CCP_IRS. P USD-LIBOR-BBA 3M CM 1.6250 721,000 0 11,522 CCP_IRS. P USD-LIBOR-BBA 3M CM 0.9063 2,034,000 3,603 -27,453 CCP_IRS. R USD-LIBOR-BBA 3M CM 0.0100 9,571,000 125 -59,870 CCP_IRS. R USD-LIBOR-BBA 3M CM 0.1189 2,100,000 0 -82,702 CCP_IRS. R USD-LIBOR-BBA 3M CM 0.1349 2,700,000 0 -112,735 CD&R SMOKEY BUYER INC 144A 6.7500 2,510,000 2,665,145 2,690,419 CDK GLOBAL INC 144A 5.2500 960,000 959,925 1,047,754

End of Month: 6/30/2021 Unaudited Holdings Report Page 12 of 57 Coupon Units Cost Market Value CDW LLC / CDW FINANCE CORP 3.2500 80,000 80,318 81,056 CDW LLC / CDW FINANCE CORP 4.1250 55,000 55,000 57,475 CEDAR FAIR LP 5.2500 965,000 965,043 993,950 CEDAR FAIR LP / CANADA'S WONDE 5.3750 1,835,000 1,835,458 1,861,271 CELANESE US HOLDINGS LLC 3.5000 385,000 384,761 411,364 CELANESE US HOLDINGS LLC 4.6250 460,000 467,218 484,520 CENTERPOINT ENERGY HOUSTON ELE 2.9000 130,000 136,046 131,857 CENTERPOINT ENERGY HOUSTON ELE 4.2500 35,000 34,797 43,750 CENTERPOINT ENERGY INC 2.5000 110,000 109,993 112,452 CENTERPOINT ENERGY INC 3.8500 198,000 197,881 212,894 CENTERPOINT ENERGY INC 4.2500 125,000 124,619 143,706 CENTERPOINT ENERGY RESOURCES C 0.7000 550,000 549,554 550,052 CENTRAL GARDEN & PET CO 5.1250 1,540,000 1,545,391 1,627,025 CERIDIAN 4/18 COV-LITE TLB 0.0000 265,805 265,073 261,618 CETERA FINANCIAL 8/18 COV-LITE 0.0000 527,207 524,758 525,066 CF HIPPOLYTA LLC 1 B1 144A 2.2800 95,438 95,403 97,009 CF HIPPOLYTA LLC 1A B1 144A 1.9800 100,000 99,996 100,849 CHAMPIONX CORP 6.3750 967,000 913,685 1,012,836 CHANGE HEALTHCARE HOLDING 144A 5.7500 3,760,000 3,706,160 3,821,100 CHARLES SCHWAB CORP/THE 1.1500 410,000 409,073 410,121 CHARLES SCHWAB CORP/THE 1.6500 170,000 169,682 165,025 CHARTER COMM OPERATING 10/19 T 0.0000 285,974 285,775 283,829 CHARTER COMMUNICATIONS OPERATI 2.3000 5,500,000 5,488,915 5,287,820 CHARTER COMMUNICATIONS OPERATI 2.8000 1,200,000 1,270,970 1,226,774 CHARTER COMMUNICATIONS OPERATI 3.5000 975,000 971,608 981,601 CHARTER COMMUNICATIONS OPERATI 3.7000 2,480,000 2,456,204 2,452,885 CHARTER COMMUNICATIONS OPERATI 3.7500 200,000 198,882 220,571 CHARTER COMMUNICATIONS OPERATI 3.9000 4,662,000 4,488,814 4,746,879 CHARTER COMMUNICATIONS OPERATI 4.4000 330,000 329,690 354,580 CHARTER COMMUNICATIONS OPERATI 4.4640 5,820,000 5,846,871 6,025,381 CHARTER COMMUNICATIONS OPERATI 4.5000 1,120,000 1,207,585 1,219,870 CHARTER COMMUNICATIONS OPERATI 4.8000 44,000 51,840 50,536 CHARTER COMMUNICATIONS OPERATI 4.9080 732,000 824,529 829,291 CHARTER COMMUNICATIONS OPERATI 5.0500 200,000 237,863 236,238 CHARTER COMMUNICATIONS OPERATI 5.7500 1,150,000 1,127,170 1,463,652 CHARTER COMMUNICATIONS OPERATI 6.4840 128,000 150,685 176,279 CHARTER COMMUNICATIONS OPERATI 6.8340 530,000 533,522 780,146 CHARTER COMMUNICATIONS OPERATI 6.3840 100,000 127,418 133,667 CHARTER COMMUNICATIONS OPERATI 1.8256 300,000 300,119 308,376 CHENIERE CORPUS CHRISTI HOLDIN 3.7000 5,966,000 6,232,016 6,516,555 CHENIERE CORPUS CHRISTI HOLDIN 5.1250 440,000 439,991 511,626 CHENIERE CORPUS CHRISTI HOLDIN 5.8750 1,550,000 1,649,336 1,776,407 CHENIERE CORPUS CHRISTI HOLDIN 7.0000 1,750,000 1,974,733 2,004,681 CHENIERE ENERGY INC 144A 4.6250 2,045,000 2,051,019 2,157,475 CHENIERE ENERGY PARTNERS 144A 4.0000 1,400,000 1,399,994 1,463,000 CHENIERE ENERGY PARTNERS LP 4.5000 77,000 77,347 82,775 CHESAPEAKE ENERGY 12/19 LAST O 0.0000 1,375,000 1,361,306 2,200,000 CHESAPEAKE ENERGY CORP 144A 5.5000 1,240,000 1,240,001 1,308,200 CHESAPEAKE ENERGY CORP 144A 5.8750 1,635,000 1,634,996 1,769,814 CHESAPEAKE FUNDING 1A A1 144A 2.9400 1,695,806 1,712,335 1,710,549 CHESAPEAKE FUNDING 1A A1 144A 0.4700 1,335,278 1,335,119 1,334,884 CHESAPEAKE FUNDING 2A A1 144A 1.9500 430,816 473,799 435,649 CHEVRON CORP 1.5540 100,000 100,000 102,470 CHEVRON CORP 2.2360 40,000 40,000 41,219 CHEVRON USA INC 3.9000 300,000 332,750 329,114 CHEVRON USA INC 5.2500 525,000 765,432 713,648 CHEVY CHASE FUNDING 1A A1 144A 0.3693 170,099 169,306 173,261 CHG PPC 3/18 COV-LITE TLB 0.0000 116,700 116,545 115,241 CHILDREN'S HOSPITAL OF PHILADE 2.7040 38,000 37,999 37,277 CHL MORTGAGE PASS-THROU HY7 A1 3.1397 945,991 920,884 939,439 CHL MORTGAGE PASS-THROUG 1 1A1 0.7293 21,890 22,957 19,986 CHL MORTGAGE PASS-THROUG 22 A3 2.8006 57,805 59,664 58,434 CHL MORTGAGE PASS-THROUG 24 A1 5.5000 68,347 59,663 53,504 CHOICE HOTELS INTERNATIONAL IN 3.7000 229,000 231,709 247,895 CHS/COMMUNITY HEALTH SYST 144A 4.7500 5,655,000 5,615,208 5,676,206 CHS/COMMUNITY HEALTH SYST 144A 5.6250 4,515,000 4,708,724 4,819,763 CHS/COMMUNITY HEALTH SYST 144A 6.0000 660,000 660,026 706,200 CHS/COMMUNITY HEALTH SYST 144A 6.6250 285,000 284,428 301,385 CHS/COMMUNITY HEALTH SYST 144A 8.0000 545,000 581,746 587,238 CHUBB INA HOLDINGS INC 2.8750 1,080,000 1,079,718 1,112,000 CHUBB INA HOLDINGS INC 6.7000 300,000 298,581 452,374 CHURCH & DWIGHT CO INC 2.4500 2,120,000 2,119,363 2,163,038 CIGNA CORP 2.3750 2,405,000 2,402,298 2,438,702 CIGNA CORP 3.7500 1,193,000 1,193,802 1,270,449 CIGNA CORP 4.9000 965,000 925,055 1,242,769 CIGNA CORP 0.6130 235,000 235,000 234,879 CIM TRUST 2017-7 7 A 144A 3.0000 116,805 117,789 118,715 CIMAREX ENERGY CO 4.3750 275,000 284,043 299,318 CINEMARK USA INC 144A 5.2500 330,000 331,197 338,250 CINEMARK USA INC 144A 5.8750 100,000 100,000 104,645 CINEWORLD 11/20 WHEN ISSUED TL 0.0000 277,173 277,173 348,545 CINEWORLD 2/18 (EUR) COV-LITE 0.0000 39,012 47,746 40,558 CINTAS CORP NO 2 3.7000 171,000 190,235 191,600 CIRCOR 2/20 COV-LITE TLB 0.0000 310,580 309,541 308,639 CIT GROUP INC 5.0000 500,000 512,204 535,369

End of Month: 6/30/2021 Unaudited Holdings Report Page 13 of 57 Coupon Units Cost Market Value CIT GROUP INC 6.1250 400,000 400,000 488,080 CIT MORTGAGE LOAN T 1 1M1 144A 1.5893 1,200,000 1,211,064 1,219,170 CITGO PETROLEUM 3/19 TLB 0.0000 2,013,658 1,983,858 2,022,477 CITGO PETROLEUM CORP 144A 6.3750 485,000 497,591 505,613 CITGO PETROLEUM CORP 144A 7.0000 1,430,000 1,472,260 1,490,160 CITIGROUP INC 2.7000 1,500,000 1,498,509 1,543,609 CITIGROUP INC 3.2000 6,333,000 6,178,070 6,860,289 CITIGROUP INC 3.8750 4,475,000 4,498,217 4,877,220 CITIGROUP INC 4.3000 3,287,000 3,263,803 3,710,557 CITIGROUP INC 4.4000 655,000 655,538 731,517 CITIGROUP INC 4.6000 890,000 891,336 1,012,998 CITIGROUP INC 4.6500 1,720,000 2,048,612 2,252,247 CITIGROUP INC 3.8870 2,065,000 2,059,878 2,298,233 CITIGROUP INC 3.9800 315,000 331,609 356,784 CITIGROUP INC 3.6680 2,250,000 2,496,416 2,481,481 CITIGROUP INC 2.9760 650,000 671,884 688,468 CITIGROUP INC 4.0440 850,000 850,006 905,337 CITIGROUP INC 2.5610 305,000 305,000 310,475 CITIGROUP INC 3.1060 570,000 570,000 610,010 CITIGROUP INC 1.6780 140,000 140,000 142,958 CITIGROUP INC 2.5720 1,650,000 1,650,103 1,696,237 CITIGROUP INC 1.3656 2,650,000 2,650,757 2,652,751 CITIGROUP INC 0.9810 4,048,000 4,048,000 4,057,634 CITIGROUP INC 0.7760 2,030,000 2,030,000 2,035,064 CITIGROUP INC 1.1220 725,000 725,000 714,735 CITIGROUP INC 1.0853 440,000 440,000 442,763 CITIGROUP INC 1.4620 285,000 285,000 283,773 CITIGROUP MORTGAG AMC1 A1 144A 0.2493 1,869,484 1,382,296 1,248,900 CITIGROUP MORTGAGE L B A1 144A 3.2580 2,392,135 2,392,135 2,412,326 CITIGROUP MORTGAGE L C A1 144A 3.2280 4,752,083 4,753,521 4,768,178 CITIGROUP MORTGAGE L NCM2 3CB2 6.5000 4,927 4,927 4,921 CITIGROUP MORTGAGE LO AR7 2A2A 2.8511 98,044 64,062 96,123 CITIGROUP MORTGAGE LOA AR1 2A1 2.5200 4,002 3,403 3,994 CITIGROUP MORTGAGE LOA HYB3 1A 2.7232 12,394 13,769 12,330 CITIGROUP MORTGAGE LOA OPX1 A2 0.2893 1,598,808 1,029,284 887,218 CITIGROUP MORTGAGE LOAN 11 A1A 2.4700 6,649 7,337 6,735 CITIGROUP MORTGAGE LOAN T 6 A3 1.8600 5,447 5,379 5,541 CITIGROUP MORTGAGE SHL1 A 144A 0.4893 279,035 242,949 274,939 CITIZENS BANK NA/PROVIDENCE RI 3.2500 270,000 269,947 274,335 CITIZENS BANK NA/PROVIDENCE RI 0.9509 3,000,000 2,921,910 3,018,960 CITYLINE COMMERCIA CLNE A 144A 2.7781 175,000 182,972 180,976 CLARIOS GLOBAL LP / CLARI 144A 8.5000 265,000 271,461 288,903 CLEAN HARBORS 6/17 COV-LITE TL 0.0000 498,118 497,161 498,636 CLEAN HARBORS INC 144A 4.8750 142,000 142,951 148,745 CLEAN HARBORS INC 144A 5.1250 930,000 938,172 1,011,375 CLEAR CHANNEL 8/19 COV-LITE 0.0000 182,225 181,559 177,746 CLEAR CHANNEL OUTDOOR HOL 144A 7.7500 2,030,000 2,054,614 2,126,466 CLEARWAY ENERGY OPERATING 144A 3.7500 105,000 104,999 104,475 CLEARWAY ENERGY OPERATING 144A 4.7500 1,505,000 1,517,601 1,578,369 CLECO CORPORATE HOLDINGS LLC 3.7430 169,000 175,671 184,363 CLEVELAND-CLIFFS INC 144A 4.6250 1,150,000 1,150,016 1,210,111 CLEVELAND-CLIFFS INC 144A 4.8750 1,625,000 1,632,704 1,706,250 CLEVELAND-CLIFFS INC 144A 6.7500 1,365,000 1,323,650 1,472,494 CLOROX CO/THE 1.8000 65,000 65,839 63,838 CME GROUP INC 5.3000 780,000 1,072,683 1,123,502 COCA-COLA CO/THE 1.6500 1,325,000 1,286,695 1,301,856 COCA-COLA CO/THE 2.7500 800,000 812,520 781,073 COLGATE ENERGY PARTNERS I 144A 5.8750 505,000 505,000 523,938 COLGATE ENERGY PARTNERS I 144A 7.7500 1,585,000 1,569,913 1,737,556 COLT 2020-1R MORTGA 1R A1 144A 1.2550 219,293 219,291 220,079 COLT 2020-2R MORTGA 2R A1 144A 1.3250 199,048 199,045 199,473 COLT 2020-RPL1 TR RPL1 A1 144A 1.3897 466,286 466,286 469,145 COLT 2021-1 MORTGAGE 1 A1 144A 0.9100 211,884 211,884 211,403 COLT 2021-1RMORTGAG 1R A1 144A 0.8570 299,577 299,576 299,254 COLT 2021-2R MORTGA 2R A1 144A 0.7980 103,989 103,991 103,934 COLUMBIA PROPERTY TRUST OPERAT 4.1500 280,000 279,836 301,487 COMCAST CORP 2.6500 230,000 227,947 210,149 COMCAST CORP 2.8000 1,625,000 1,639,313 1,563,461 COMCAST CORP 3.4500 30,000 29,928 32,373 COMCAST CORP 3.9000 1,230,000 1,230,039 1,415,344 COMCAST CORP 3.9500 452,000 464,878 506,457 COMCAST CORP 4.7000 355,000 417,065 457,660 COMCAST CORP 4.7500 375,000 485,461 477,442 COMCAST CORP 4.0490 705,000 719,652 839,139 COMCAST CORP 3.9690 150,000 146,976 174,635 COMM 2012-CCRE4 MORTGAG CR4 XA 1.6874 117,283 8,572 2,073 COMM 2013-LC6 MORTGAGE LC6 A4 2.9410 276,819 280,154 284,211 COMM 2014-CR14 MORTGAG CR14 XA 0.5618 583,055 28,823 7,470 COMMONSPIRIT HEALTH 2.7600 2,715,000 2,716,748 2,858,433 COMMONSPIRIT HEALTH 2.9500 340,000 340,276 350,975 COMMONSPIRIT HEALTH 3.3470 2,974,000 3,004,253 3,220,921 COMMONSPIRIT HEALTH 3.9100 690,000 723,774 758,398 COMMONSPIRIT HEALTH 2.7820 316,000 330,331 327,914 COMMONWEALTH EDISON CO 2.2000 100,000 99,734 101,490 COMMONWEALTH EDISON CO 3.2000 85,000 84,356 90,213

End of Month: 6/30/2021 Unaudited Holdings Report Page 14 of 57 Coupon Units Cost Market Value COMMONWEALTH EDISON CO 3.6500 210,000 208,774 238,783 COMMONWEALTH EDISON CO 4.0000 495,000 491,149 593,313 COMMSCOPE INC 144A 5.5000 607,000 607,479 624,451 COMMSCOPE INC 144A 8.2500 2,199,000 2,279,783 2,350,291 COMMSCOPE TECHNOLOGIES LL 144A 5.0000 4,700,000 4,600,599 4,811,625 COMMSCOPE TECHNOLOGIES LL 144A 6.0000 1,958,000 1,977,318 1,999,608 COMMUNITY HEALTH NETWORK INC 3.0990 20,000 19,999 19,892 COMPASS GROUP DIVERSIFIED 144A 5.2500 2,170,000 2,192,133 2,256,800 COMSTOCK RESOURCES INC 144A 5.8750 1,545,000 1,545,001 1,575,900 COMSTOCK RESOURCES INC 144A 6.7500 1,230,000 1,240,751 1,310,233 COMSTOCK RESOURCES INC 144A 7.5000 350,000 352,046 363,125 CONAGRA BRANDS INC 4.3000 1,700,000 1,697,499 1,864,601 CONAGRA BRANDS INC 5.4000 320,000 440,042 429,566 CONN'S RECEIVABLES FU A A 144A 1.7100 75,526 75,525 75,589 CONOCOPHILLIPS 144A 3.7500 1,000,000 973,304 1,123,650 CONOCOPHILLIPS 144A 4.8750 95,000 116,467 124,991 CONSOLIDATED COMMUNICATIO 144A 5.0000 295,000 295,003 299,056 CONSOLIDATED COMMUNICATIO 144A 6.5000 1,145,000 1,144,996 1,231,734 CONSOLIDATED COMMUNICATIONS 4/ 0.0000 407,817 406,692 408,327 CONSOLIDATED EDISON CO OF NEW 3.3500 60,000 59,878 65,939 CONSOLIDATED EDISON CO OF NEW 4.6250 290,000 289,313 365,104 CONSOLIDATED EDISON CO OF NEW 5.5000 260,000 278,916 342,693 CONSUMERS ENERGY CO 2.5000 85,000 84,289 76,611 CONSUMERS ENERGY CO 3.7500 205,000 216,988 241,851 CONTINENTAL RESOURCES INC 144A 5.7500 55,000 55,007 65,863 CONTINENTAL RESOURCES INC/OK 4.3750 280,000 234,195 309,750 CONTINENTAL RESOURCES INC/OK 4.9000 70,000 52,719 79,275 CORE & MAIN HOLDINGS LP 144A 8.6250 170,000 170,480 173,400 CORPORATE OFFICE PROPERTIES LP 2.2500 600,000 596,914 616,438 COSTCO WHOLESALE CORP 1.7500 577,000 579,738 568,238 COTY 3/18 (USD) TLB 0.0000 245,299 244,968 235,813 COTY INC 144A 5.0000 2,840,000 2,839,990 2,879,703 COUNTRYWIDE ASSET-BACKE 21 2A4 0.3193 2,100,000 1,987,924 1,989,027 COUNTRYWIDE ASSET-BACKED 24 1A 0.2293 1,472,385 1,251,194 1,396,311 COUNTRYWIDE ASSET-BACKED 9 2A4 0.3393 1,400,000 1,307,465 1,355,265 COVANTA HOLDING CORP 5.0000 1,415,000 1,415,013 1,485,750 COVANTA HOLDING CORP 5.8750 1,540,000 1,544,675 1,591,898 COVANTA HOLDING CORP 6.0000 1,405,000 1,395,586 1,461,200 COX COMMUNICATIONS INC 144A 2.9500 1,150,000 1,140,663 1,089,369 COX COMMUNICATIONS INC 144A 3.1500 70,000 71,417 74,674 COX COMMUNICATIONS INC 144A 3.3500 300,000 291,369 325,772 COX COMMUNICATIONS INC 144A 3.5000 1,810,000 1,830,855 1,986,966 COX COMMUNICATIONS INC 144A 4.5000 300,000 345,462 359,983 CP ATLAS BUYER INC 144A 7.0000 80,000 80,002 82,900 CPS AUTO RECEIVABLES B B 144A 0.8100 330,000 329,984 329,969 CQP HOLDCO LP / BIP-V CHI 144A 5.5000 1,345,000 1,345,005 1,401,477 CREDIT ACCEPTANCE AU 2A A 144A 0.9600 1,460,000 1,459,997 1,460,969 CREDIT ACCEPTANCE AU 3A A 144A 1.0000 1,075,000 1,074,895 1,077,141 CREDIT ACCEPTANCE AU 3A A 144A 1.2400 295,000 294,953 297,975 CREDIT ACCEPTANCE AU 3A A 144A 2.3800 570,000 569,912 580,929 CREDIT ACCEPTANCE CORP 6.6250 265,000 269,361 278,913 CREDIT ACCEPTANCE CORP 144A 5.1250 55,000 55,312 56,994 CREDIT SUISSE FIRST BOST 8 1A1 5.2500 271,474 269,614 265,384 CREDIT SUISSE MOR NQM4 A1 144A 1.1010 485,000 484,996 484,996 CRESTWOOD MIDSTREAM PARTN 144A 6.0000 2,862,000 2,869,824 2,997,945 CRF AFFORDABLE HOUSI 1A C 144A 5.9337 958,990 849,279 1,163,648 CRF AFFORDABLE HOUSI 1A D 144A 5.9337 1,694,747 1,312,010 1,708,678 CROWN AMERICAS LLC / CROWN AME 4.2500 125,000 134,813 134,063 CROWN AMERICAS LLC / CROWN AME 4.7500 120,000 120,002 124,524 CROWN CASTLE INTERNATIONAL COR 1.3500 225,000 224,526 226,531 CROWN CASTLE INTERNATIONAL COR 2.1000 7,301,000 7,269,021 7,115,008 CROWN CASTLE INTERNATIONAL COR 2.2500 6,275,000 6,245,483 6,193,603 CROWN CASTLE INTERNATIONAL COR 2.5000 5,133,000 5,119,815 5,169,540 CROWN CASTLE INTERNATIONAL COR 2.9000 1,835,000 1,827,035 1,784,951 CROWN CASTLE INTERNATIONAL COR 3.1500 200,000 199,710 209,965 CROWN CASTLE INTERNATIONAL COR 3.3000 1,025,000 1,139,970 1,098,076 CROWN CASTLE INTERNATIONAL COR 3.6500 311,000 345,824 342,906 CROWN CASTLE INTERNATIONAL COR 1.0500 200,000 199,414 195,329 CROWNROCK LP / CROWNROCK 144A 5.0000 1,595,000 1,595,011 1,675,149 CROWNROCK LP / CROWNROCK 144A 5.6250 1,280,000 1,257,775 1,324,800 CSAIL 2016-C5 COMMERCIAL C5 XA 0.9350 887,767 72,992 29,482 CSC HOLDINGS LLC 5.2500 285,000 280,600 308,856 CSC HOLDINGS LLC 144A 3.3750 200,000 200,000 188,982 CSC HOLDINGS LLC 144A 4.6250 1,655,000 1,653,353 1,623,737 CSC HOLDINGS LLC 144A 5.3750 510,000 537,628 539,555 CSC HOLDINGS LLC 144A 5.5000 400,000 404,548 420,020 CSC HOLDINGS LLC 144A 5.7500 4,062,000 4,280,258 4,219,403 CSC HOLDINGS LLC 144A 6.5000 1,100,000 1,100,004 1,218,360 CSMC 2017-TIME TIME B 144A 3.6531 200,000 155,538 179,290 CSMC 2018-RPL9 TRU RPL9 A 144A 3.8500 804,698 836,767 840,704 CSMC 2019-RPL8 TR RPL8 A1 144A 3.3220 2,483,718 2,483,715 2,500,419 CSMC 2019-RPL9 TR RPL9 A1 144A 2.9759 2,177,751 2,644,250 2,195,016 CSMC 2020-NET NET A 144A 2.2569 110,000 113,152 113,560 CSMC 2020-NQM1 TR NQM1 A1 144A 1.2080 334,067 334,061 336,190 CSMC 2020-RPL4 TR RPL4 A1 144A 2.0000 418,095 431,335 428,627

End of Month: 6/30/2021 Unaudited Holdings Report Page 15 of 57 Coupon Units Cost Market Value CSMC 2021-AFC1 TR AFC1 A1 144A 0.8300 209,621 209,619 209,119 CSMC 2021-NQM1 NQM1 A1 144A 0.8090 301,036 301,034 300,202 CSMC 2021-NQM3 NQM3 A1 144A 1.0150 434,087 434,082 433,373 CSWF 2018-TOP TOP D 144A 1.8931 87,970 87,833 87,941 CUMMINS INC 2.6000 145,000 144,059 138,566 CUSHMAN & WAKEFIELD US BO 144A 6.7500 1,150,000 1,204,137 1,240,229 CVR ENERGY INC 144A 5.2500 640,000 633,971 640,326 CVS HEALTH CORP 2.6250 450,000 448,516 474,869 CVS HEALTH CORP 3.0000 225,000 224,809 242,682 CVS HEALTH CORP 3.7500 100,000 116,033 111,907 CVS HEALTH CORP 4.1250 950,000 1,073,667 1,102,036 CVS HEALTH CORP 4.3000 404,000 401,757 464,158 CVS HEALTH CORP 5.0500 625,000 830,352 811,797 CVS HEALTH CORP 5.3000 190,000 230,589 252,012 CVS HEALTH CORP 4.7800 1,765,000 1,880,781 2,171,385 CVS PASS-THROUGH TRUST 144A 7.5070 529,173 529,266 670,372 CWABS ASSET-BACKED CER 11 3AV3 0.3493 766,000 573,023 720,456 CWABS INC ASSET-BACKED 12 1A1 0.8293 578,336 575,408 568,128 CYRUSONE LP / CYRUSONE FINANCE 3.4500 300,000 299,300 318,635 DAE AVIATION (STANDARD AERO) 2 0.0000 345,614 344,149 336,397 DAE FUNDING LLC 144A 1.5500 3,485,000 3,465,186 3,477,925 DAE FUNDING LLC 144A 4.5000 100,000 99,528 100,150 DAE FUNDING LLC 144A 5.0000 540,000 530,590 554,526 DAE FUNDING LLC 144A 5.2500 425,000 428,049 427,737 DAIMLER FINANCE NORTH AME 144A 2.0000 2,425,000 2,424,997 2,425,485 DAIMLER FINANCE NORTH AME 144A 3.4000 2,900,000 2,921,813 2,958,031 DAIMLER FINANCE NORTH AME 144A 1.0301 3,600,000 3,600,000 3,617,921 DAIMLER FINANCE NORTH AME 144A 1.0559 1,600,000 1,600,000 1,608,393 DANA INC 5.6250 560,000 561,279 606,032 DAVITA INC 144A 4.6250 6,435,000 6,614,197 6,616,596 DB MASTER FINANCE 1A A2I 144A 3.7870 284,925 284,929 288,620 DB MASTER FINANCE 1A A2I 144A 3.6290 338,625 347,732 342,783 DBI INVESTORS INC 10% PIKSER 0.0000 3,713 350,457 69,879 DBI INVESTORS INC EQUITY 0.0000 30,235 5,401,393 14,815 DBI INVESTORS INC RIGHTS 0.0000 6,323 438,347 948 DCP MIDSTREAM OPERATING L 144A 6.4500 250,000 282,281 292,500 DCP MIDSTREAM OPERATING LP 5.1250 590,000 635,144 651,950 DCP MIDSTREAM OPERATING LP 5.3750 450,000 453,381 501,165 DCP MIDSTREAM OPERATING LP 5.6000 860,000 866,324 946,004 DEEPHAVEN RESIDENTI 3A A1 144A 2.9640 124,806 124,805 125,175 DEEPHAVEN RESIDENTI 4A A1 144A 2.7910 137,482 137,794 138,375 DEEPHAVEN RESIDENTIA 1 A1 144A 0.7150 116,890 116,890 116,818 DEEPHAVEN RESIDENTIA 2 A1 144A 1.6920 71,644 71,644 71,967 DEEPHAVEN RESIDENTIA 2 A1 144A 0.8990 102,903 102,902 102,780 DEERE & CO 2.7500 645,000 687,179 688,124 DELL INTERNATIONAL LLC / EMC C 5.4500 4,195,000 4,226,328 4,551,002 DELL INTERNATIONAL LLC / EMC C 5.8500 1,545,000 1,767,454 1,812,617 DELL INTERNATIONAL LLC / EMC C 6.0200 445,000 517,162 534,234 DELL INTERNATIONAL LLC / EMC C 6.1000 1,125,000 1,297,199 1,378,320 DELL INTERNATIONAL LLC / EMC C 6.2000 2,645,000 2,995,764 3,401,074 DELL INTERNATIONAL LLC / EMC C 8.1000 605,000 882,054 922,096 DELL INTERNATIONAL LLC / EMC C 8.3500 1,191,000 1,713,893 1,948,004 DELL SOFTWARE (QUEST/ONE 0.0000 204,260 203,646 203,976 DELTA AIR LINES 2015-1 CLASS A 3.6250 1,613,400 1,613,381 1,732,439 DELTA AIR LINES INC 2.9000 3,500,000 3,463,222 3,560,957 DELTA AIR LINES INC / SKY 144A 4.7500 900,000 900,023 1,000,582 DELTA AIR LINES INC 144A 7.0000 400,000 436,352 466,795 DELTA AIR LINES/SKYMILES 9/20 0.0000 255,000 252,450 269,201 DEUTSCHE ALT-A SECURITI AR1 A4 0.4093 128,029 98,657 144,127 DEUTSCHE ALT-A SECURITI OA1 A1 0.2393 916,923 709,116 636,000 DEVON ENERGY CORP 144A 8.2500 425,000 483,413 484,223 DIAMONDBACK ENERGY INC 0.9000 675,000 674,941 675,145 DIAMONDBACK ENERGY INC 4.4000 165,000 164,456 185,773 DIGICERT 8/19 COV-LITE TLB 0.0000 505,723 499,852 505,935 DIGITAL REALTY TRUST LP 4.7500 300,000 343,525 341,020 DISCOVER BANK 2.7000 250,000 249,538 261,399 DISCOVER BANK 3.2000 250,000 250,192 250,162 DISCOVER FINANCIAL SERVICES 4.5000 1,365,000 1,367,352 1,541,009 DISCOVERY COMMUNICATIONS LLC 3.9500 775,000 823,081 861,964 DISCOVERY COMMUNICATIONS LLC 4.1250 2,349,000 2,384,453 2,630,033 DISCOVERY COMMUNICATIONS LLC 4.6500 1,795,000 1,792,736 2,100,522 DISCOVERY COMMUNICATIONS LLC 5.2000 950,000 1,182,357 1,180,649 DISH DBS CORP 5.8750 335,000 335,395 359,706 DISH DBS CORP 7.3750 1,245,000 1,245,192 1,339,782 DISH DBS CORP 7.7500 1,095,000 1,044,046 1,240,088 DISH DBS CORP 144A 5.1250 800,000 800,002 789,944 DOMINION ENERGY INC 4.0500 280,000 278,698 318,881 DOMINION ENERGY INC 3.0710 500,000 531,956 530,033 DOMINION ENERGY INC 144A 2.4500 400,000 399,712 411,841 DOMINION ENERGY SOUTH CAROLINA 5.4500 170,000 169,481 233,421 DRIVE AUTO RECEIVABLES TRU 1 B 0.6500 110,000 109,990 110,183 DT AUTO OWNER TRUST 2A B 144A 0.8100 155,000 154,988 155,399 DT AUTO OWNER TRUST 4A B 144A 2.3600 1,930,469 1,948,630 1,940,518 DT MIDSTREAM 5/21 COV-LITE TL 0.0000 310,000 308,450 310,276 DT MIDSTREAM INC 144A 4.1250 60,000 60,000 60,920

End of Month: 6/30/2021 Unaudited Holdings Report Page 16 of 57 Coupon Units Cost Market Value DT MIDSTREAM INC 144A 4.3750 1,240,000 1,240,001 1,267,020 DTE ELECTRIC CO 2.6250 70,000 69,893 73,705 DTE ELECTRIC CO 2.9500 50,000 49,980 51,138 DTE ELECTRIC CO 3.9500 65,000 64,503 78,574 DTE ENERGY CO 3.4000 2,355,000 2,351,272 2,570,343 DTE ENERGY CO 0.5500 2,880,000 2,879,564 2,885,562 DUFF & PHELPS 4/20 (USD) COV-L 0.0000 392,038 388,117 393,508 DUFF & PHELPS 4/20 COV-LT TLB 0.0000 496,250 555,671 590,904 DUKE ENERGY CAROLINAS LLC 6.0500 260,000 259,446 366,788 DUKE ENERGY CORP 3.7500 2,280,000 2,320,746 2,439,583 DUKE ENERGY CORP 4.8000 230,000 229,311 281,014 DUKE ENERGY FLORIDA LLC 1.7500 1,700,000 1,719,184 1,663,949 DUKE ENERGY INDIANA LLC 6.3500 260,000 259,331 379,865 DUKE ENERGY OHIO INC 4.3000 200,000 199,646 247,021 DUKE ENERGY PROGRESS LLC 4.2000 260,000 258,828 313,404 DUKE UNIVERSITY 2.7570 40,000 39,999 41,462 DUN & BRADSTREET 1/19 COV-LITE 0.0000 770,279 766,404 766,305 DUN & BRADSTREET CORP/THE 144A 6.8750 64,000 66,934 67,840 DUPONT DE NEMOURS INC 4.2050 475,000 474,995 514,573 DYCOM INDUSTRIES INC 144A 4.5000 1,030,000 1,030,009 1,038,920 E2OPEN 02/21 COV-LITE TL 0.0000 370,000 367,525 370,000 EAGLE MATERIALS INC 2.5000 1,475,000 1,462,595 1,461,270 EAST OHIO GAS CO/THE 144A 2.0000 5,000,000 4,986,023 4,943,047 EAST OHIO GAS CO/THE 144A 1.3000 910,000 909,267 918,244 EASTERN ENERGY GAS HOLDINGS LL 2.5000 250,000 249,887 262,701 EBAY INC 1.9000 35,000 34,943 36,172 EDGEWELL PERSONAL CARE CO 144A 4.1250 1,705,000 1,705,025 1,722,050 EDGEWELL PERSONAL CARE CO 144A 5.5000 920,000 920,015 975,200 EDISON INTERNATIONAL 2.4000 300,000 297,047 305,303 EDISON INTERNATIONAL 3.5500 160,000 159,848 170,057 EDWARDS LIFESCIENCES CORP 4.3000 2,065,000 2,062,487 2,394,359 ELANCO ANIMAL HEALTH 8/20 COV- 0.0000 412,632 412,632 406,100 ELANCO ANIMAL HEALTH INC 4.9120 475,000 475,007 476,841 ELECTRONIC ARTS INC 1.8500 130,000 129,658 125,645 ELECTRONIC ARTS INC 2.9500 685,000 681,373 669,878 ELI LILLY & CO 4.1500 228,000 253,693 290,103 ELLINGTON FINANCIAL 1 A1 144A 0.7970 85,923 85,921 85,676 ELLINGTON FINANCIAL 1 M1 144A 2.2310 500,000 499,999 494,650 ELLINGTON FINANCIAL 2 A1 144A 1.1780 74,301 74,300 74,440 ELLINGTON FINANCIAL 2 A1 144A 0.9310 98,352 98,351 98,323 ELLINGTON LOAN ACQUI 1 A1 144A 1.1893 1,551,169 1,550,645 1,553,813 EMBARQ CORP 7.9950 145,000 145,957 164,379 EMDEON 3/17 COV-LITE TLB 0.0000 342,476 342,147 342,030 ENABLE MIDSTREAM PARTNERS LP 4.4000 1,600,000 1,611,296 1,763,961 ENACT HOLDINGS INC 144A 6.5000 285,000 289,273 314,127 ENCOMPASS HEALTH CORP 4.5000 4,353,000 4,353,125 4,516,107 ENCOMPASS HEALTH CORP 4.6250 75,000 75,000 80,359 ENCOMPASS HEALTH CORP 5.7500 1,804,000 1,804,889 1,855,865 ENDURANCE INTERNATIONAL 1/21 T 0.0000 365,000 363,175 363,022 ENDURE DIGITAL INC 144A 6.0000 285,000 274,376 282,150 ENERGIZER HOLDINGS INC 144A 4.3750 1,020,000 1,020,000 1,021,051 ENERGIZER HOLDINGS INC 144A 4.7500 1,050,000 1,049,978 1,075,988 ENERGY TRANSFER LP 2.9000 230,000 229,865 242,070 ENERGY TRANSFER LP 3.7500 1,762,000 1,759,234 1,914,040 ENERGY TRANSFER LP 3.9000 530,000 511,936 578,710 ENERGY TRANSFER LP 4.0500 815,000 855,708 883,685 ENERGY TRANSFER LP 4.2000 1,035,000 1,033,827 1,138,717 ENERGY TRANSFER LP 4.5000 130,000 129,738 141,535 ENERGY TRANSFER LP 5.2500 840,000 872,329 992,183 ENERGY TRANSFER LP 5.3000 1,780,000 1,803,578 2,082,610 ENERGY TRANSFER LP 5.4000 71,000 70,316 84,117 ENERGY TRANSFER LP 6.0000 710,000 706,300 897,445 ENERGY TRANSFER LP / REGENCY E 5.8750 970,000 988,830 990,751 ENERSYS 144A 5.0000 1,005,000 1,023,819 1,048,969 ENLINK MIDSTREAM LLC 144A 5.6250 3,629,000 3,647,057 3,833,639 ENSEMBLE HEALTH 7/19 TL 0.0000 203,234 202,590 203,277 ENTERGY ARKANSAS LLC 4.2000 100,000 99,432 121,378 ENTERGY CORP 0.9000 175,000 174,424 172,662 ENTERGY CORP 1.9000 690,000 683,199 688,995 ENTERGY CORP 4.0000 1,150,000 1,149,710 1,186,222 ENTERGY LOUISIANA LLC 2.9000 65,000 64,846 64,022 ENTERGY LOUISIANA LLC 4.2000 225,000 223,475 275,292 ENTERPRISE FLEET FIN 2 A2 144A 2.2900 203,434 220,352 206,257 ENTERPRISE PRODUCTS OPERATING 3.1250 465,000 464,834 501,706 ENTERPRISE PRODUCTS OPERATING 3.3500 2,455,000 2,461,424 2,554,931 ENTERPRISE PRODUCTS OPERATING 3.5000 700,000 700,611 713,403 ENTERPRISE PRODUCTS OPERATING 3.7500 165,000 168,498 179,977 ENTERPRISE PRODUCTS OPERATING 4.2500 980,000 981,233 1,121,930 ENTERPRISE PRODUCTS OPERATING 4.9500 970,000 965,914 1,202,014 ENTERPRISE PRODUCTS OPERATING 5.1000 560,000 562,282 707,264 ENTERPRISE PRODUCTS OPERATING 6.1250 600,000 808,583 843,298 ENVISION HEALTHCARE 9/18 0.0000 99,445 99,394 84,891 ENVIVA 2/21 TLB 0.0000 1,431,115 1,416,804 1,438,270 EPICOR 7/20 2ND LIEN COV-LITE 0.0000 100,000 98,500 103,188 EPICOR 7/20 COV-LITE TL 0.0000 323,850 323,643 323,351

End of Month: 6/30/2021 Unaudited Holdings Report Page 17 of 57 Coupon Units Cost Market Value EPR PROPERTIES 4.5000 2,210,000 2,240,841 2,365,009 EQM MIDSTREAM PARTNERS LP 4.0000 1,180,000 1,084,202 1,212,450 EQM MIDSTREAM PARTNERS LP 4.7500 102,000 101,896 106,463 EQM MIDSTREAM PARTNERS LP 6.5000 120,000 103,740 128,400 EQM MIDSTREAM PARTNERS LP 144A 4.5000 445,000 445,005 452,733 EQM MIDSTREAM PARTNERS LP 144A 4.7500 1,525,000 1,525,014 1,571,421 EQM MIDSTREAM PARTNERS LP 144A 6.0000 45,000 45,002 48,938 EQM MIDSTREAM PARTNERS LP 144A 6.5000 45,000 45,002 50,175 EQT CORP 3.9000 150,000 157,826 160,688 EQT CORP 144A 3.1250 80,000 80,000 81,977 EQUIFAX INC 2.6000 385,000 384,445 405,153 EQUIFAX INC 3.1000 675,000 704,621 724,870 EQUIFAX INC 3.6000 525,000 524,926 527,087 EQUIFAX INC 3.9500 300,000 298,729 318,608 EQUIFIRST LOAN SECURITIZ 1 A2B 0.2793 471,806 319,974 453,244 EQUINIX INC 1.2500 250,000 249,539 250,600 EQUINIX INC 2.0000 690,000 686,348 692,969 EQUINIX INC 2.1500 1,400,000 1,396,303 1,391,063 EQUINIX INC 2.5000 870,000 865,852 884,815 EQUINIX INC 2.9000 395,000 394,623 422,526 EQUINIX INC 3.4000 260,000 257,872 267,428 EQUITABLE FINANCIAL LIFE 144A 1.4000 140,000 139,792 141,177 EQUITABLE HOLDINGS INC 3.9000 1,556,000 1,560,007 1,645,021 EQUITABLE HOLDINGS INC 4.3500 3,958,000 3,952,866 4,537,997 ERAC USA FINANCE LLC 144A 4.5000 150,000 150,354 150,769 ERESEARCH TECHNOLOGY 2/20 TL 0.0000 199,497 199,497 200,278 ERP OPERATING LP 2.5000 200,000 203,995 206,904 ERP OPERATING LP 2.8500 290,000 288,919 309,745 ESH HOSPITALITY INC 144A 5.2500 2,545,000 2,471,277 2,592,337 ESSENTIAL UTILITIES INC 3.5660 35,000 35,000 38,739 ESSENTIAL UTILITIES INC 4.2760 75,000 74,999 89,824 ESSEX PORTFOLIO LP 1.7000 405,000 402,768 397,690 ESSEX PORTFOLIO LP 3.2500 800,000 798,525 834,600 ESSEX PORTFOLIO LP 3.8750 1,410,000 1,413,344 1,517,294 ESTEE LAUDER COS INC/THE 3.1250 205,000 215,645 222,320 EURO GARAGES/EG GROUP 3/21 TL 0.0000 240,000 237,600 240,000 EVERGY INC 2.4500 1,850,000 1,848,356 1,937,394 EVERGY INC 2.9000 50,000 49,927 52,986 EVERGY KANSAS CENTRAL INC 4.1250 80,000 79,944 94,304 EVERGY KANSAS CENTRAL INC 4.2500 120,000 119,566 145,187 EVERSOURCE ENERGY 1.6500 60,000 59,983 57,423 EVERSOURCE ENERGY 2.5500 60,000 59,775 61,577 EVERSOURCE ENERGY 3.4500 130,000 152,328 136,989 EVO PAYMENTS 6/18 COV-LITE TL 0.0000 514,322 512,840 512,928 EW SCRIPPS 12/19 COV-LITE TLB2 0.0000 269,521 268,610 268,397 EXELON CORP 4.0500 2,010,000 2,006,319 2,289,263 EXELON CORP 4.4500 880,000 990,685 1,066,834 EXELON GENERATION CO LLC 3.2500 420,000 452,176 452,857 EXELON GENERATION CO LLC 5.7500 180,000 179,402 211,854 EXETER AUTOMOBILE RE 3A D 144A 4.3500 1,475,000 1,529,278 1,514,625 EXETER AUTOMOBILE RECEIVA 1A B 0.5000 1,830,000 1,829,847 1,830,981 EXETER AUTOMOBILE RECEIVA 3A B 0.7900 4,900,000 4,918,442 4,916,587 EXGEN RENEWABLES/EXELON 12/20 0.0000 211,914 211,303 211,738 EXGEN RENEWABLES/EXELON 6/21 T 0.0000 100,000 100,000 100,000 EXPEDIA GROUP INC 2.9500 800,000 794,708 810,651 EXPEDIA GROUP INC 3.6000 300,000 299,825 318,829 EXPEDIA GROUP INC 4.6250 10,000 10,446 11,301 EXPEDIA GROUP INC 144A 6.2500 308,000 345,920 358,283 EXTENDED STAY AMERI ESH A 144A 1.1740 3,400,000 3,400,000 3,400,000 EXXON MOBIL CORP 3.4520 1,320,000 1,331,743 1,436,641 EXXON MOBIL CORP 2.9920 2,150,000 2,236,460 2,306,064 EYECARE PARTNERS 2/20 COV-LITE 0.0000 237,944 237,703 235,655 FCI FUNDING 2021-1 L 1A A 144A 1.1300 122,244 122,238 122,258 FEDERAL REALTY INVESTMENT TRUS 1.2500 375,000 372,841 372,270 FEDERAL REALTY INVESTMENT TRUS 3.2000 20,000 20,527 21,448 FEDEX CORP 3.2500 315,000 313,761 323,821 FEDEX CORP 4.0500 275,000 296,620 315,648 FEDEX CORP 4.9500 1,065,000 1,062,989 1,373,623 FEDEX CORP 5.1000 275,000 336,923 352,865 FEDEX CORP 5.2500 1,000,000 1,386,785 1,356,684 FELCOR LODGING LP 6.0000 235,000 237,590 240,170 FIDELITY NATIONAL FINANCIAL IN 2.4500 700,000 697,641 697,012 FIDELITY NATIONAL FINANCIAL IN 5.5000 1,000,000 1,016,432 1,055,794 FIDELITY NATIONAL INFORMATION 1.1500 245,000 244,655 243,078 FIDELITY NATIONAL INFORMATION 1.5000 1,885,000 2,261,684 2,371,022 FIDELITY NATIONAL INFORMATION 2.9500 1,025,000 1,539,312 1,483,299 FIDELITY NATIONAL INFORMATION 0.6000 295,000 294,845 294,596 FIFTH THIRD BANK NA 1.8000 340,000 339,847 347,432 FILTRATION GROUP 10/20 INCREME 0.0000 154,225 153,454 154,225 FIRST FRANKLIN MORTGAGE FF9 A4 0.8093 818,231 826,017 816,958 FIRST HORIZON ALTERNAT AA6 2A1 2.3209 12,842 13,076 11,950 FIRST INVESTORS AUTO 2A A 144A 2.2100 437,058 437,048 440,150 FIRST REPUBLIC BANK/CA 1.9120 640,000 640,000 653,895 FIRSTCASH INC 144A 4.6250 240,000 245,116 250,884 FIRSTENERGY CORP 2.2500 550,000 550,207 527,350

End of Month: 6/30/2021 Unaudited Holdings Report Page 18 of 57 Coupon Units Cost Market Value FIRSTENERGY CORP 3.6000 2,120,000 2,119,539 2,154,980 FIRSTENERGY CORP 4.7500 440,000 438,253 464,443 FIRSTENERGY CORP 5.6000 750,000 922,298 900,000 FIRSTENERGY TRANSMISSION 144A 2.8660 900,000 899,999 931,606 FIRSTKEY HOMES 20 SFR2 F1 144A 3.0170 500,000 510,875 509,815 FIRSTKEY HOMES 202 SFR2 A 144A 1.2660 294,349 294,347 294,006 FISERV INC 2.2500 1,210,000 1,209,329 1,255,172 FISERV INC 4.4000 882,000 1,041,131 1,063,835 FLAGSHIP CREDIT AUTO 2 B 144A 0.9300 325,000 324,998 325,439 FLAGSTAR MORTGAGE 1INV B4 144A 4.5727 479,620 498,681 499,910 FLAGSTAR MORTGAGE TR 2 B4 144A 4.1025 484,480 495,909 486,661 FLEETCOR 4/21 TLB 0.0000 195,000 193,538 194,594 FLEX ACQUISITION CO INC 144A 6.8750 360,000 360,201 365,400 FLEX ACQUISITION CO INC 144A 7.8750 55,000 55,004 57,200 FLEX INTERMEDIATE HOLDCO 144A 3.3630 2,600,000 2,599,922 2,631,913 FLORIDA POWER & LIGHT CO 3.1500 705,000 700,684 766,103 FLORIDA POWER & LIGHT CO 3.9900 300,000 318,402 369,735 FLOWERS FOODS INC 2.4000 5,000 4,977 5,010 FMC CORP 3.2000 565,000 570,368 610,104 FMC CORP 3.4500 33,000 33,669 35,876 FMC CORP 4.5000 50,000 51,562 60,734 FORD FOUNDATION/THE 2.8150 20,000 20,000 20,067 FORD FOUNDATION/THE 2.4150 5,000 5,000 4,807 FORD MOTOR CO 8.5000 100,000 105,216 111,595 FORD MOTOR CO 9.0000 1,633,000 1,748,929 2,013,277 FORD MOTOR CO 4.3460 90,000 96,788 96,413 FORD MOTOR CREDIT CO LLC 2.3300 200,000 247,460 245,015 FORD MOTOR CREDIT CO LLC 3.3500 200,000 204,280 204,980 FORD MOTOR CREDIT CO LLC 3.3750 3,100,000 3,100,000 3,214,545 FORD MOTOR CREDIT CO LLC 3.5500 3,800,000 3,824,672 3,899,750 FORD MOTOR CREDIT CO LLC 3.6250 3,418,000 3,417,999 3,484,241 FORD MOTOR CREDIT CO LLC 4.1250 570,000 570,000 604,643 FORD MOTOR CREDIT CO LLC 5.1250 755,000 761,644 831,444 FORD MOTOR CREDIT CO LLC 3.3700 460,000 473,346 476,874 FORD MOTOR CREDIT CO LLC 5.5960 6,000,000 6,086,667 6,123,120 FORD MOTOR CREDIT CO LLC 5.1130 1,085,000 1,139,341 1,214,636 FORD MOTOR CREDIT CO LLC 4.5420 400,000 373,108 435,000 FORD MOTOR CREDIT CO LLC 3.2190 3,250,000 3,275,490 3,284,775 FORD MOTOR CREDIT CO LLC 1.2556 1,400,000 1,393,670 1,394,870 FORD MOTOR CREDIT CO LLC 1.3909 1,200,000 1,161,404 1,195,500 FORTINET INC 2.2000 2,675,000 2,649,911 2,667,817 FORTUNE BRANDS HOME & SECURITY 3.2500 3,808,000 3,836,286 4,095,574 FOUNDATION BUILDING MATERIALS 0.0000 175,000 174,563 173,761 FOX CORP 3.6660 2,305,000 2,305,624 2,350,112 FOX CORP 5.5760 890,000 956,294 1,201,401 FREDDIE MAC MULTICLASS P003 A2 1.7828 1,400,000 1,436,817 1,345,560 FREDDIE MAC MULTICLASS P003 A3 1.9560 1,400,000 1,441,035 1,333,625 FREEDOM MORTGAGE CORP 144A 8.1250 1,590,000 1,594,610 1,643,663 FREEDOM MORTGAGE CORP 144A 8.2500 2,970,000 3,050,065 3,099,938 FREMF 2013-K29 MORT K29 C 144A 3.4757 2,500,000 2,620,255 2,610,721 FREMF 2013-K32 MORT K32 B 144A 3.5377 3,634,000 3,838,261 3,825,525 FREMF 2015-K48 MORT K48 B 144A 3.6406 1,221,010 1,207,760 1,325,173 FREMF 2016-K52 MORT K52 B 144A 3.9254 3,407,000 3,768,068 3,745,341 FREMF 2016-K54 MORT K54 B 144A 4.0508 100,000 108,989 110,704 FREMF 2017-K71 MORT K71 B 144A 3.7529 1,072,000 1,185,299 1,180,130 FREMF 2018-K082 MOR K82 B 144A 4.1292 1,960,000 2,203,248 2,205,504 FREMF 2018-K72 MORT K72 B 144A 3.9919 806,000 894,021 899,276 FREMF 2018-K733 MOR K73 B 144A 3.8524 3,351,500 3,516,462 3,692,643 FREMF 2018-K74 MORT K74 B 144A 4.0906 10,092,000 11,004,943 11,275,475 FREMF 2018-K75 MORT K75 B 144A 3.9748 1,802,000 1,766,519 2,007,547 FREMF 2018-K80 MO K80 X2A 144A 0.1000 962,163,064 6,765,216 5,336,541 FREMF 2018-K83 MORT K83 B 144A 4.2752 3,616,000 3,926,574 4,107,509 FREMF 2019-K103 MO K103 B 144A 3.4534 809,000 867,163 872,326 FREMF 2019-K87 MORT K87 B 144A 4.3222 2,703,000 2,675,758 3,092,120 FREMF 2019-K95 MORT K95 B 144A 3.9189 1,817,000 2,018,624 2,032,254 FREMF 2019-K97 MORT K97 B 144A 3.7644 4,136,000 4,563,307 4,574,853 FREMF 2019-K98 MORT K98 B 144A 3.7368 150,000 165,236 165,073 FREMF 2019-K99 MORT K99 B 144A 3.6457 2,361,000 2,545,347 2,586,928 FREMF 2020-K104 MO K104 B 144A 3.5389 1,363,000 1,469,447 1,482,511 FREMF 2020-K105 MO K105 B 144A 3.5300 3,641,000 3,883,059 3,900,082 FREMF 2020-K737 MO K737 B 144A 3.3012 454,000 486,147 484,554 FREMONT HOME LOAN TRUST 3 2A3 0.4293 2,077,957 1,521,997 1,042,249 FREMONT HOME LOAN TRUST B 2A3 0.2493 2,001,358 981,771 847,745 FREMONT HOME LOAN TRUST E 2A1 0.1493 1,279,094 782,838 702,126 FRESB 2018-SB46 MORT SB46 A10F 3.3000 3,126,262 3,114,796 3,313,480 FRESB 2018-SB52 MORT SB52 A10F 3.4626 2,482,731 2,471,497 2,660,273 FRONTIER COMMUNICATIONS 4/21 D 0.0000 1,360,000 1,352,843 1,360,000 FRONTIER COMMUNICATIONS H 144A 5.0000 5,181,000 5,201,426 5,356,273 FRONTIER COMMUNICATIONS H 144A 5.8750 775,000 783,914 830,219 FRONTIER COMMUNICATIONS H 144A 6.7500 980,000 986,233 1,042,005 FRONTIER COMMUNICATIONS HOLDIN 5.8750 115,042 116,119 117,153 FS KKR CAPITAL CORP 2.6250 1,145,000 1,140,712 1,131,988 FS KKR CAPITAL CORP 3.4000 1,090,000 1,078,567 1,127,080 FS KKR CAPITAL CORP 4.1250 125,000 125,287 132,807 FS KKR CAPITAL CORP 4.6250 180,000 184,095 194,180

End of Month: 6/30/2021 Unaudited Holdings Report Page 19 of 57 Coupon Units Cost Market Value FWD SECURITIZATIO INV1 A1 144A 2.2400 2,560,369 2,560,291 2,595,202 GARDNER DENVER/INGERSOLL-RAND 0.0000 99,250 97,761 99,105 GARTNER INC 144A 4.5000 280,000 280,004 295,714 GATX CORP 4.3500 250,000 249,908 271,940 GCAT 2020-NQM2 TR NQM2 A1 144A 1.5550 122,782 122,780 123,389 GCAT 2021-CM1 TRUST CM1 A 144A 1.4690 487,271 487,269 486,319 GCAT 2021-NQM1 TR NQM1 A1 144A 0.8740 417,646 417,644 415,969 GCAT 2021-NQM2 TR NQM2 A1 144A 1.0360 197,844 197,840 197,436 GE CAPITAL FUNDING LLC 4.4000 200,000 233,412 233,067 GENERAL ELECTRIC CO 3.4500 875,000 884,584 941,826 GENERAL ELECTRIC CO 4.1250 122,000 138,194 140,531 GENERAL ELECTRIC CO 4.2500 495,000 568,369 578,457 GENERAL ELECTRIC CO 4.3500 230,000 224,106 278,136 GENERAL ELECTRIC CO 5.5500 6,180,000 6,007,842 7,322,857 GENERAL ELECTRIC CO 5.8750 200,000 222,147 271,959 GENERAL ELECTRIC CO 6.1500 15,000 15,452 20,867 GENERAL MILLS INC 144A 3.0000 140,000 189,012 141,086 GENERAL MOTORS CO 5.2000 720,000 798,932 889,898 GENERAL MOTORS CO 5.4000 560,000 693,784 713,291 GENERAL MOTORS CO 6.1250 4,977,000 5,171,261 5,891,783 GENERAL MOTORS CO 6.7500 409,000 577,445 589,685 GENERAL MOTORS FINANCIAL CO IN 1.2500 150,000 149,738 149,000 GENERAL MOTORS FINANCIAL CO IN 1.5000 7,924,000 7,909,738 7,872,311 GENERAL MOTORS FINANCIAL CO IN 2.3500 2,435,000 2,385,852 2,402,615 GENERAL MOTORS FINANCIAL CO IN 2.7000 1,030,000 1,028,217 1,033,703 GENERAL MOTORS FINANCIAL CO IN 2.7500 260,000 259,670 273,751 GENERAL MOTORS FINANCIAL CO IN 3.1500 275,000 275,471 281,589 GENERAL MOTORS FINANCIAL CO IN 3.5000 325,000 349,636 348,832 GENERAL MOTORS FINANCIAL CO IN 3.5500 3,969,000 3,996,836 4,096,541 GENERAL MOTORS FINANCIAL CO IN 3.6000 1,565,000 1,708,310 1,694,506 GENERAL MOTORS FINANCIAL CO IN 3.7000 550,000 549,590 577,412 GENERAL MOTORS FINANCIAL CO IN 4.1500 660,000 659,592 700,962 GENERAL MOTORS FINANCIAL CO IN 4.2000 1,800,000 1,800,074 1,823,575 GENERAL MOTORS FINANCIAL CO IN 5.2000 340,000 339,890 366,106 GENERAL MOTORS FINANCIAL CO IN 1.6829 710,000 712,922 714,836 GENTIVA HEALTH/KINDRED AT HOME 0.0000 309,880 308,007 309,009 GENUINE PARTS CO 1.8750 2,350,000 2,188,973 2,269,561 GENWORTH HOLDINGS INC 4.8000 20,000 18,458 20,000 GENWORTH HOLDINGS INC 4.9000 145,000 136,571 145,363 GENWORTH HOLDINGS INC 6.5000 75,000 75,641 76,256 GENWORTH HOLDINGS INC 7.6250 44,000 43,868 44,678 GEORGETOWN UNIVERSITY/THE 2.9430 11,000 11,000 11,065 GEORGIA POWER CO 3.7000 250,000 280,761 271,501 GEORGIA-PACIFIC LLC 144A 0.6250 200,000 200,148 199,178 G-III APPAREL GROUP LTD 144A 7.8750 170,000 170,475 184,034 GILEAD SCIENCES INC 0.7500 595,000 594,844 595,294 GILEAD SCIENCES INC 2.6000 2,205,000 2,164,667 2,122,723 GLENCORE FUNDING LLC 144A 3.0000 40,000 39,952 41,125 GLOBAL PAYMENTS INC 1.2000 2,285,000 2,283,038 2,263,177 GLOBAL PAYMENTS INC 2.6500 290,000 289,951 305,553 GLOBAL PAYMENTS INC 3.2000 971,000 1,038,242 1,039,321 GLOBAL PAYMENTS INC 4.0000 225,000 224,926 238,971 GLOBAL PAYMENTS INC 4.4500 104,000 116,741 119,789 GLS AUTO RECEIVABLES 1A B 144A 0.8200 370,000 369,947 370,161 GLS AUTO RECEIVABLES 2A A 144A 0.3100 2,175,000 2,174,942 2,174,542 GLS AUTO RECEIVABLES 2A B 144A 0.7700 275,000 274,996 275,000 GLS AUTO RECEIVABLES 3A A 144A 2.5800 37,724 37,724 37,862 GO DADDY 11/17 COV-LITE TLB 0.0000 263,020 262,779 260,818 GO DADDY 2/21 TLB3 0.0000 313 311 310 GO DADDY OPERATING CO LLC 144A 3.5000 230,000 229,833 228,505 GO DADDY OPERATING CO LLC 144A 5.2500 985,000 984,995 1,034,250 GOLDMAN SACHS BDC INC 2.8750 1,855,000 1,850,383 1,919,442 GOLDMAN SACHS GROUP INC/T REGS 1.2500 1,300,000 1,548,514 1,593,412 GOLDMAN SACHS GROUP INC/T REGS 3.3750 1,875,000 2,361,603 2,492,413 GOLDMAN SACHS GROUP INC/T REGS 1.5000 1,125,000 1,594,808 1,553,914 GOLDMAN SACHS GROUP INC/THE 3.5000 745,000 743,880 810,114 GOLDMAN SACHS GROUP INC/THE 3.7500 5,495,000 5,473,569 6,021,910 GOLDMAN SACHS GROUP INC/THE 3.8000 2,500,000 2,935,577 2,809,737 GOLDMAN SACHS GROUP INC/THE 4.2500 1,330,000 1,330,070 1,486,818 GOLDMAN SACHS GROUP INC/THE 4.7500 885,000 1,100,589 1,157,164 GOLDMAN SACHS GROUP INC/THE 5.1500 554,000 752,147 740,775 GOLDMAN SACHS GROUP INC/THE 6.2500 205,000 214,356 305,030 GOLDMAN SACHS GROUP INC/THE 6.7500 680,000 654,639 990,197 GOLDMAN SACHS GROUP INC/THE 3.2720 409,000 409,000 437,541 GOLDMAN SACHS GROUP INC/THE 2.6150 595,000 595,000 607,832 GOLDMAN SACHS GROUP INC/THE 4.0170 2,134,000 2,120,263 2,502,365 GOLDMAN SACHS GROUP INC/THE 3.2100 685,000 685,000 716,665 GOLDMAN SACHS GROUP INC/THE 4.2230 2,525,000 2,800,350 2,879,751 GOLDMAN SACHS GROUP INC/THE 4.4110 400,000 406,267 487,014 GOLDMAN SACHS GROUP INC/THE 1.9920 3,925,000 3,907,849 3,811,938 GOLDMAN SACHS GROUP INC/THE 1.0930 1,460,000 1,460,000 1,437,331 GOLDMAN SACHS GROUP INC/THE 0.6270 335,000 335,000 335,100 GOLDMAN SACHS GROUP INC/THE 1.1808 1,770,000 1,770,000 1,783,747 GOLDMAN SACHS GROUP INC/THE 1.5420 250,000 250,000 249,296 GOLUB CAPITAL BDC INC 2.5000 265,000 264,250 266,337

End of Month: 6/30/2021 Unaudited Holdings Report Page 20 of 57 Coupon Units Cost Market Value GOODMAN US FINANCE THREE 144A 3.7000 1,860,000 1,855,231 2,015,686 GOODYEAR TIRE & RUBBER CO/THE 5.2500 1,445,000 1,445,029 1,508,219 GOODYEAR TIRE & RUBBER CO/THE 9.5000 1,185,000 1,185,068 1,322,756 GRAHAM PACKAGING CO INC 144A 7.1250 1,070,000 1,070,036 1,152,925 GRAY OAK PIPELINE LLC 144A 2.0000 345,000 346,026 351,881 GRAY TELEVISION 10/18 0.0000 203,153 202,838 202,062 GREAT AMERICAN OUTDOORS/BASS P 0.0000 782,413 778,500 784,369 GREAT LAKES DREDGE & DOCK 144A 5.2500 1,760,000 1,760,004 1,812,976 GREENSKY 3/18 TLB 0.0000 241,272 241,196 234,034 GREENSKY 6/20 TLB2 0.0000 223,313 214,380 221,638 GREYSTAR REAL ESTATE PART 144A 5.7500 2,015,000 2,018,651 2,071,420 GRINDING MEDIA INC / MOLY 144A 7.3750 1,435,000 1,447,140 1,467,345 GROUP 1 AUTOMOTIVE INC 144A 4.0000 95,000 95,000 96,663 GS MORTGAGE SECURI HULA C 144A 1.5430 245,850 245,329 245,999 GS MORTGAGE SECURI HULA D 144A 1.8930 0 0 0 GS MORTGAGE SECURI UPTN A 144A 2.7510 340,000 349,537 356,541 GS MORTGAGE SECURITIES GC13 XA 0.0698 2,991,313 28,077 4,588 GSAA HOME EQUITY TRUST 15 1A1 0.5993 355,388 328,824 331,161 GSAMP TRUST 2006-FM2 FM2 A1 0.2293 1,141,423 588,819 529,337 GSAMP TRUST 2006-HE8 HE8 A2C 0.2593 1,010,104 980,164 986,914 GSAMP TRUST 2006-NC2 NC2 A2D 0.5693 937,424 663,663 665,483 GSAMP TRUST 2007-FM2 FM2 A2C 0.2493 1,641,482 1,171,082 1,196,496 GSR MORTGAGE LOAN TRUS AR2 1A2 2.9375 17,313 17,318 17,370 GSR MORTGAGE LOAN TRUS OA1 1A1 0.5293 1,647,431 705,560 561,276 GSR MORTGAGE LOAN TRUST 11 1A1 3.1009 71,598 64,088 73,974 HACKENSACK MERIDIAN HEALTH INC 2.8750 53,000 53,000 52,263 HALLIBURTON CO 3.2500 250,000 250,726 250,863 HALLIBURTON CO 5.0000 185,000 194,833 225,395 HARBOR FREIGHT TOOLS 10/20 0.0000 220,539 218,334 220,392 HARBORVIEW MORTGAGE LO 11 3A1A 0.7891 14,997 15,195 13,778 HARBORVIEW MORTGAGE LO 12 1A1A 0.2941 645,002 575,248 603,589 HARBORVIEW MORTGAGE LOA 1 2A1A 0.6291 21,168 19,702 21,198 HARBORVIEW MORTGAGE LOA 2 2A1A 0.5291 22,819 22,294 21,951 HARBORVIEW MORTGAGE LOA 6 2A1A 0.2791 1,281,376 1,224,106 1,231,139 HARBORVIEW MORTGAGE LOA 9 2A1A 0.7636 13,414 13,403 13,160 HARBORVIEW MORTGAGE LOAN 2 1A 2.6225 19,889 13,505 8,799 HARBORVIEW MORTGAGE LOAN 4 3A 1.2253 5,096 5,325 5,302 HASBRO INC 2.6000 125,000 124,994 128,603 HAT HOLDINGS I LLC / HAT 144A 6.0000 800,000 799,991 843,288 HAYWARD INDUSTRIES 5/21 COV-LI 0.0000 475,000 472,625 473,665 HCA INC 3.5000 1,770,000 1,758,856 1,848,184 HCA INC 4.1250 5,600,000 5,793,555 6,306,027 HCA INC 5.2500 840,000 1,056,675 1,070,741 HCA INC 5.3750 515,000 547,179 586,835 HCA INC 5.5000 1,267,000 1,632,368 1,650,169 HCA INC 5.6250 10,000 9,922 11,850 HCA INC 5.8750 240,000 261,779 277,875 HCA INC 7.5000 105,000 98,342 147,525 HD SUPPLY WATERWORKS 6/21 TLB 0.0000 100,000 99,750 99,313 HD SUPPLY WATERWORKS 8/17 0.0000 97,970 97,823 97,817 HEALTHCARE REALTY TRUST INC 2.4000 1,038,000 1,034,923 1,043,284 HEALTHPEAK PROPERTIES INC 3.2500 305,000 304,790 330,894 HEARTLAND DENTAL 6/21 INCREMEN 0.0000 400,000 398,000 399,000 HELIOS SOFTWARE HOLDINGS 144A 4.6250 750,000 733,311 734,115 HERC HOLDINGS INC 144A 5.5000 3,560,000 3,596,857 3,753,023 HERSHEY CO/THE 2.6500 55,000 54,823 54,408 HERTZ 6/21 TLB 0.0000 180,906 180,002 180,680 HERTZ 6/21 TLC 0.0000 34,094 33,923 34,051 HERTZ VEHICLE FINANC 1A A 144A 1.2100 355,000 354,944 354,944 HESS CORP 4.3000 1,550,000 1,622,402 1,725,095 HESS CORP 7.3000 170,000 190,454 230,490 HESS MIDSTREAM OPERATIONS 144A 5.1250 975,000 975,008 1,022,531 HESS MIDSTREAM OPERATIONS 144A 5.6250 1,420,000 1,464,680 1,481,060 HEWLETT PACKARD ENTERPRISE CO 2.2500 425,000 424,957 437,601 HEWLETT PACKARD ENTERPRISE CO 4.4000 1,455,000 1,493,184 1,518,256 HEWLETT PACKARD ENTERPRISE CO 4.4500 750,000 804,888 811,085 HEWLETT PACKARD ENTERPRISE CO 6.3500 95,000 125,539 127,619 HIGHTOWER 4/21 DELAYED TL 0.0000 71,000 70,290 71,089 HIGHTOWER 4/21 TLB 0.0000 284,000 281,268 284,355 HIGHWOODS REALTY LP 4.2000 600,000 625,412 673,794 HILEX POLY/NOVOLEX 3/21 COV-LI 0.0000 173,389 173,037 172,559 HILEX POLY/NOVOLEX 6/18 0.0000 261,166 260,793 258,465 HILL-ROM HOLDINGS INC 144A 4.3750 220,000 225,727 227,700 HILTON DOMESTIC OPERATING 144A 3.6250 900,000 900,007 888,750 HILTON DOMESTIC OPERATING CO I 4.8750 1,500,000 1,583,801 1,601,250 HILTON GRAND VACATIONS BO 144A 5.0000 4,405,000 4,404,997 4,504,113 HILTON WORLDWIDE FINANCE LLC / 4.8750 1,150,000 1,150,020 1,198,875 HOLLYFRONTIER CORP 4.5000 128,000 134,994 136,924 HOME DEPOT INC/THE 2.3750 700,000 690,713 647,441 HOME DEPOT INC/THE 3.1250 305,000 327,223 323,124 HOME DEPOT INC/THE 4.2500 115,000 136,252 142,958 HOME DEPOT INC/THE 5.4000 430,000 430,483 597,532 HOME DEPOT INC/THE 5.8750 430,000 503,030 614,302 HOME EQUITY MORTGAGE LOAN C M2 0.8393 1,400,000 1,375,245 1,386,701 HOME POINT CAPITAL INC 144A 5.0000 555,000 561,071 517,538

End of Month: 6/30/2021 Unaudited Holdings Report Page 21 of 57 Coupon Units Cost Market Value HOMEBANC MORTGAGE TRUST 2 3 M1 0.7493 2,100,000 2,071,231 2,109,252 HOMEWARD OPPORTUNITI 2 A1 144A 2.7020 108,144 108,142 108,489 HORIZON PHARMA/HORIZON THERAPE 0.0000 495,000 493,763 491,441 HORMEL FOODS CORP 1.8000 675,000 691,926 669,516 HOST HOTELS & RESORTS LP 3.3750 151,000 152,191 158,267 HOSTESS BRANDS 10/19 COV-LITE 0.0000 387,277 386,858 385,340 HOUGHTON MIFFLIN 11/19 COV-LIT 0.0000 2,398 2,332 2,398 HOWARD UNIVERSITY 2.4160 100,000 100,208 102,647 HOWARD UNIVERSITY 2.7380 160,000 159,997 163,840 HOWARD UNIVERSITY 2.5160 65,000 64,999 66,929 HP INC 2.2000 840,000 838,446 871,862 HP INC 3.0000 480,000 478,830 514,029 HP INC 6.0000 270,000 347,707 355,057 HP INC 144A 1.4500 815,000 813,448 808,954 HP INC 144A 2.6500 1,505,000 1,498,597 1,502,331 HPEFS EQUIPMENT TRU 1A A3 144A 2.2100 147,594 147,585 148,045 HSI ASSET LOAN OBLIGATI WF1 A1 0.1493 34,100 20,102 12,910 HUB INTERNATIONAL 1/21 COV-LIT 0.0000 247,500 237,600 247,327 HUB INTERNATIONAL LTD 144A 7.0000 1,950,000 1,946,090 2,022,326 HUDSON PACIFIC PROPERTIES LP 3.9500 885,000 846,173 969,305 HUMANA INC 2.9000 115,000 114,939 118,757 HUMANA INC 4.6250 135,000 143,232 165,736 HUNT COS INC 144A 5.2500 1,405,000 1,400,662 1,362,850 HUNTINGTON NATIONAL BANK/THE 1.8000 360,000 359,838 367,783 HUNTINGTON NATIONAL BANK/THE 2.5000 1,040,000 1,039,427 1,063,396 HUNTSMAN INTERNATIONAL LLC 4.5000 1,824,000 2,027,352 2,073,791 HYLAND SOFTWARE 10/18 0.0000 553,553 551,982 554,012 HYLAND SOFTWARE 4/21 2ND LIEN 0.0000 88,000 88,000 88,293 HYUNDAI AUTO LEASE SE A B 144A 0.6100 365,000 365,157 365,594 HYUNDAI CAPITAL AMERICA 144A 0.8000 4,200,000 4,192,470 4,199,230 HYUNDAI CAPITAL AMERICA 144A 1.5000 5,891,000 5,880,895 5,844,851 HYUNDAI CAPITAL AMERICA 144A 2.3750 425,000 424,900 436,241 IAA INC 144A 5.5000 1,875,000 1,902,488 1,968,225 IDEX CORP 2.6250 265,000 264,674 269,334 IDEX CORP 3.0000 2,894,000 3,120,638 3,057,220 IHEARTCOMMUNICATIONS INC 6.3750 300,000 307,292 319,125 IHEARTCOMMUNICATIONS INC 8.3750 2,725,000 2,902,475 2,919,156 IHEARTCOMMUNICATIONS INC 144A 4.7500 45,000 45,004 46,294 IHEARTCOMMUNICATIONS INC 144A 5.2500 245,000 245,004 256,123 ILLUMINA INC 0.5500 845,000 844,985 846,333 ILLUMINATE BUYER LLC / IL 144A 9.0000 2,165,000 2,311,377 2,414,018 IMG WORLDWIDE 5/18 TLB 0.0000 246,042 241,517 241,121 IMOLA MERGER CORP 144A 4.7500 3,215,000 3,215,039 3,307,431 IMPAC SECURED ASSETS TRU 4 A2C 0.3493 5,733,617 3,646,268 5,424,898 IMPERIAL FUND MOR NQM1 A1 144A 1.0710 220,172 220,172 219,960 IMS HEALTH/IQVIA 6/18 (EUR) 0.0000 345,238 405,633 406,604 INDIANA UNIVERSITY HEALTH INC 2.8520 70,000 70,000 70,300 INDIGO NATURAL RESOURCES 144A 5.3750 95,000 95,237 99,275 INDYMAC INDX MORTGAG AR12 2A1A 0.5693 703,769 684,874 682,135 INGLES MARKETS INC 5.7500 1,525,000 1,532,162 1,527,288 INGRAM MICRO 4/21 TLB 0.0000 200,000 198,000 200,250 INSTALLED BUILDING 12/19 COV-L 0.0000 150,000 150,000 149,175 INSULET 4/21 COV-LITE TLB 0.0000 185,000 184,538 185,117 INTERCONTINENTAL EXCHANGE INC 1.8500 350,000 348,607 333,170 INTERCONTINENTAL EXCHANGE INC 3.0000 625,000 615,844 614,611 INTERCONTINENTAL EXCHANGE INC 3.7500 1,350,000 1,360,895 1,496,300 INTERCONTINENTAL EXCHANGE INC 4.2500 195,000 215,290 231,056 INTERFACE INC 144A 5.5000 1,235,000 1,235,035 1,291,810 INTERIOR LOGIC 3/21 COV-LITE T 0.0000 425,000 420,250 417,031 INTERNATIONAL BUSINESS MACHINE 4.1500 200,000 233,037 237,672 INTERNATIONAL BUSINESS MACHINE 4.2500 1,075,000 1,239,616 1,327,436 INTERNATIONAL FLAVORS & F 144A 2.3000 1,600,000 1,600,002 1,594,764 INTERNATIONAL FLAVORS & F 144A 0.6970 120,000 120,000 120,075 INTERNATIONAL LEASE FINANCE CO 8.6250 150,000 154,583 156,385 INTERNET BRANDS 6/20 INCREMENT 0.0000 338,285 333,803 338,778 INTERPUBLIC GROUP OF COS INC/T 3.3750 325,000 324,305 337,166 INTERPUBLIC GROUP OF COS INC/T 3.7500 1,410,000 1,409,885 1,422,302 INTERSTATE POWER AND LIGHT CO 3.5000 100,000 104,116 107,843 INTUIT INC 1.6500 1,895,000 1,902,643 1,859,723 IPALCO ENTERPRISES INC 3.7000 1,500,000 1,499,670 1,613,838 IQVIA INC 144A 5.0000 200,000 200,002 209,500 IRON MOUNTAIN INC 144A 4.8750 2,025,000 2,019,555 2,099,226 IRON MOUNTAIN INC 144A 5.0000 1,110,000 1,124,450 1,152,125 IRON MOUNTAIN INC 144A 5.2500 1,320,000 1,320,057 1,391,250 IRS R 1.47% P US0003M 0.0000 -2,200,000 -9,790 -16,800 IRS R 1.47600% P US0003M 0.0000 -2,800,000 -12,110 -24,636 IRS R 1.65000% P US0003M 0.0000 -1,100,000 -8,525 -8,222 IRS R 1.68350% P US0003M 0.0000 -2,500,000 -15,750 -26,688 IRS R 1.68600% P US0003M 0.0000 -2,000,000 -20,500 -33,177 IRS R 1.76200% P US0003M 0.0000 -2,000,000 -12,625 -30,961 IRS R 1.78500% P US0003M 0.0000 -2,000,000 -27,250 -54,912 IRS R 1.84000% P US0003M 0.0000 -2,500,000 -18,750 -61,565 IRS R 1.87% P US0003M 0.0000 -2,200,000 -9,790 -15 IRS R 1.87600% P US0003M 0.0000 -2,800,000 -12,110 -121 IRS R 1.888% P US0003M 0.0000 -1,300,000 -7,898 -44,981

End of Month: 6/30/2021 Unaudited Holdings Report Page 22 of 57 Coupon Units Cost Market Value IRS R 1.96000% P US0003M 0.0000 -1,100,000 -8,525 -2,806 IRS R 1.98300% P US0003M 0.0000 -2,500,000 -15,750 -5,948 IRS R 2.06200% P US0003M 0.0000 -2,000,000 -12,625 -476 IRS R 2.08600% P US0003M 0.0000 -2,000,000 -20,500 -6,119 IRS R 2.14000% P US0003M 0.0000 -2,500,000 -19,750 -1 IRS R 2.29500% P US0003M 0.0000 -2,000,000 -27,250 -1,324 ITC HOLDINGS CORP 2.7000 1,770,000 1,769,553 1,819,602 J2 GLOBAL INC 144A 4.6250 1,905,000 1,905,021 1,972,247 JABIL INC 1.7000 535,000 534,902 538,963 JABIL INC 4.7000 260,000 262,962 272,727 JAGUAR HOLDING CO II / PP 144A 4.6250 980,000 980,012 1,029,000 JAGUAR HOLDING CO II / PP 144A 5.0000 185,000 185,002 200,525 JB POINDEXTER & CO INC 144A 7.1250 1,275,000 1,332,666 1,346,719 JDA SOFTWARE/BLUE YONDER 7/20 0.0000 200,336 199,612 200,086 JERSEY CENTRAL POWER & LI 144A 4.3000 620,000 636,429 686,194 JERSEY CENTRAL POWER & LI 144A 4.7000 440,000 457,373 478,707 JETBLUE 6/20 TLB 0.0000 1,250 1,213 1,275 JOHNSON & JOHNSON 0.9500 1,325,000 1,324,193 1,300,228 JOHNSON & JOHNSON 2.4500 170,000 168,262 160,496 JOHNSON & JOHNSON 3.7000 400,000 386,757 475,743 JP MORGAN MORTGAG LTV3 B4 144A 4.5048 486,149 503,061 502,621 JP MORGAN MORTGAGE ACQ OPT2 M3 0.8093 2,200,000 2,183,569 2,195,730 JP MORGAN MORTGAGE ACQ WMC3 A3 0.1993 261,760 272,916 208,170 JP MORGAN MORTGAGE ACQU HE2 M1 0.3893 1,300,000 1,196,120 1,253,747 JP MORGAN MORTGAGE ACQU NC1 A5 0.6293 87,035 84,168 86,824 JP MORGAN MORTGAGE TRUS A1 6A1 2.7167 29,139 29,633 29,692 JP MORGAN MORTGAGE TRUS A2 1A1 2.5995 29,351 24,168 25,791 JPMBB COMMERCIAL MORTGA C23 XA 0.6078 748,099 36,030 12,908 JPMORGAN CHASE & CO 3.2200 850,000 849,987 902,981 JPMORGAN CHASE & CO 3.3000 1,155,000 1,156,205 1,263,325 JPMORGAN CHASE & CO 3.8750 3,079,000 3,076,371 3,356,326 JPMORGAN CHASE & CO 3.9000 340,000 339,421 376,076 JPMORGAN CHASE & CO 3.9640 1,830,000 2,097,238 2,147,477 JPMORGAN CHASE & CO 4.0230 1,030,000 1,030,000 1,111,707 JPMORGAN CHASE & CO 4.1250 1,815,000 1,844,499 2,052,975 JPMORGAN CHASE & CO 4.2500 5,440,000 5,517,353 6,198,704 JPMORGAN CHASE & CO 4.8500 580,000 639,169 760,476 JPMORGAN CHASE & CO 4.9500 550,000 640,210 727,993 JPMORGAN CHASE & CO 5.6000 510,000 507,573 715,139 JPMORGAN CHASE & CO 3.5400 250,000 251,990 274,866 JPMORGAN CHASE & CO 4.2030 1,600,000 1,708,497 1,838,791 JPMORGAN CHASE & CO 3.8820 1,775,000 1,673,673 2,044,740 JPMORGAN CHASE & CO 4.0320 530,000 615,976 627,938 JPMORGAN CHASE & CO 3.7020 1,025,000 1,166,317 1,144,599 JPMORGAN CHASE & CO 2.3010 2,050,000 2,039,796 2,135,116 JPMORGAN CHASE & CO 2.5800 7,762,000 7,784,013 7,966,449 JPMORGAN CHASE & CO 3.5590 2,095,000 2,144,911 2,209,091 JPMORGAN CHASE & CO 2.0050 3,755,000 3,830,878 3,877,990 JPMORGAN CHASE & CO 1.5780 4,523,000 4,523,000 4,546,434 JPMORGAN CHASE & CO 0.6970 1,350,000 1,350,000 1,354,102 JPMORGAN CHASE & CO 1.0450 1,015,000 1,015,000 1,002,153 JPMORGAN CHASE & CO 0.5630 390,000 390,000 387,871 JPMORGAN CHASE & CO 0.9690 1,070,000 1,070,000 1,071,264 JPMORGAN CHASE & CO 3.3280 200,000 200,000 213,562 JPMORGAN CHASE & CO 1.0279 2,030,000 2,031,160 2,057,811 JPMORGAN CHASE BANK N 1 B 144A 0.9910 516,719 516,719 518,201 KAISER FOUNDATION HOSPITALS 3.0020 121,000 121,000 124,879 KAISER FOUNDATION HOSPITALS 2.8100 34,000 34,000 34,678 KANSAS CITY SOUTHERN 3.5000 25,000 26,542 26,349 KANSAS CITY SOUTHERN 4.2000 20,000 21,439 23,124 KANSAS CITY SOUTHERN 4.7000 25,000 28,866 31,137 KAR AUCTION 9/19 COV-LITE B6 0.0000 142,825 142,559 140,683 KB HOME 4.8000 115,000 115,873 124,599 KELLOGG CO 2.6500 567,000 566,815 595,635 KENNEDY-WILSON INC 4.7500 2,570,000 2,583,236 2,647,100 KENNEDY-WILSON INC 5.0000 700,000 700,013 720,125 KENTUCKY UTILITIES CO 3.3000 130,000 138,169 137,442 KENTUCKY UTILITIES CO 5.1250 425,000 421,238 556,807 KEURIG DR PEPPER INC 0.7500 500,000 499,986 500,546 KEYSIGHT TECHNOLOGIES INC 4.5500 680,000 686,940 755,202 KEYSIGHT TECHNOLOGIES INC 4.6000 32,000 34,142 37,182 KFC HOLDING CO/PIZZA HUT 144A 4.7500 230,000 236,256 240,638 KILROY REALTY LP 3.4500 3,000,000 2,997,912 3,199,804 KILROY REALTY LP 3.8000 620,000 621,610 645,231 KIMBERLY-CLARK CORP 2.8750 290,000 289,099 298,434 KIMCO REALTY CORP 2.7000 6,947,000 6,918,248 7,135,489 KINDER MORGAN ENERGY PARTNERS 4.1500 450,000 451,570 485,896 KINDER MORGAN ENERGY PARTNERS 5.5000 1,237,000 1,287,998 1,550,042 KINDER MORGAN ENERGY PARTNERS 6.9500 735,000 790,711 1,050,504 KINDER MORGAN INC 5.5500 340,000 327,931 440,171 KINDER MORGAN INC 1.4061 880,000 878,405 892,071 KOHL'S CORP 3.3750 95,000 94,817 98,350 KRAFT HEINZ FOODS CO 4.2500 100,000 99,992 113,599 KRAFT HEINZ FOODS CO 0.9820 1,330,000 1,330,000 1,327,925 KRATON POLYMERS LLC / KRA 144A 4.2500 2,310,000 2,325,841 2,356,200

End of Month: 6/30/2021 Unaudited Holdings Report Page 23 of 57 Coupon Units Cost Market Value KROGER CO/THE 3.7000 1,945,000 1,930,662 2,164,454 LABORATORY CORP OF AMERICA HOL 1.5500 430,000 429,717 431,777 LABORATORY CORP OF AMERICA HOL 2.9500 970,000 1,009,084 1,021,320 LABORATORY CORP OF AMERICA HOL 4.7000 1,130,000 1,288,903 1,354,528 LADDER CAPITAL FINANCE HO 144A 4.2500 260,000 247,061 259,632 LADDER CAPITAL FINANCE HO 144A 5.2500 30,000 29,465 30,525 LAMAR MEDIA CORP 3.7500 250,000 249,535 254,375 LAREDO PETROLEUM INC 9.5000 1,390,000 1,312,210 1,464,657 LAZARD GROUP LLC 3.7500 440,000 430,507 479,971 LAZARD GROUP LLC 4.3750 626,000 622,126 711,467 LBM ACQUISITION LLC 144A 6.2500 335,000 341,273 337,580 LD HOLDINGS GROUP LLC 144A 6.1250 115,000 115,001 114,856 LD HOLDINGS GROUP LLC 144A 6.5000 1,570,000 1,602,008 1,612,076 LEAR CORP 5.2500 45,000 51,607 56,766 LEGACY MORTGAGE AS GS3 A1 144A 3.7500 4,297,178 4,299,912 4,332,919 LEGACY MORTGAGE AS GS4 A1 144A 3.4380 3,780,989 3,780,968 3,788,457 LEGACY MORTGAGE AS GS6 A1 144A 3.0000 3,275,133 3,276,482 3,284,675 LEGENDS HOSPITALITY HOLDI 144A 5.0000 1,025,000 1,043,513 1,068,563 LEHMAN XS TRUST SERIE 12N 1A3A 0.2893 743,287 692,997 741,195 LEIDOS INC 2.3000 1,040,000 1,053,825 1,014,645 LEIDOS INC 4.3750 1,500,000 1,675,731 1,703,295 LELAND STANFORD JUNIOR UNIVERS 2.4130 100,000 100,000 96,995 LENNAR CORP 4.7500 200,000 213,262 209,250 LENNAR CORP 5.0000 2,500,000 2,933,020 2,901,075 LENNOX INTERNATIONAL INC 1.3500 294,000 296,937 295,848 LEVEL 3 FINANCING INC 144A 4.2500 1,625,000 1,625,028 1,648,985 LEVEL 3 FINANCING INC 144A 4.6250 1,465,000 1,464,983 1,520,553 LIBERTY UTILITIES FINANCE 144A 2.0500 1,750,000 1,743,651 1,689,193 LIFE 2021-BMR MORTG BMR D 144A 1.4940 100,000 99,998 100,381 LIFESCAN 6/18 TL 0.0000 252,750 248,612 250,223 LIFESTORAGE LP/CA 3.5000 1,470,000 1,599,316 1,608,044 LIIF-CHINESE COMMUNITY P (AHS) 7.5000 127,566 127,566 141,512 LITHIA MOTORS INC 144A 4.6250 265,000 263,997 280,264 LIVE NATION ENTERTAINMENT 144A 6.5000 2,645,000 2,758,700 2,935,421 LOGMEIN INC 144A 5.5000 2,090,000 2,147,247 2,163,255 LONG BEACH MORTGAGE LOA WL1 M4 1.1393 2,700,000 2,681,167 2,709,555 LONG BEACH MORTGAGE LOAN 2 1A 0.4493 2,135,184 1,477,703 1,878,573 LONG BEACH MORTGAGE LOAN 3 1A 0.6093 711,497 588,147 707,540 LONG BEACH MORTGAGE LOAN 4 1A1 0.6493 18,554 20,230 18,054 LONG BEACH MORTGAGE LOAN 8 2A3 0.4093 1,768,260 591,695 702,331 LONG BEACH MORTGAGE LOAN 8 2A4 0.5693 1,664,244 573,048 673,575 LOWE'S COS INC 3.5000 505,000 503,884 541,296 LOWE'S COS INC 3.6500 595,000 595,752 665,544 LUMEN TECHNOLOGIES INC 6.8750 420,000 434,658 469,610 LUMEN TECHNOLOGIES INC 144A 4.5000 2,645,000 2,645,192 2,581,388 LUMEN TECHNOLOGIES INC 144A 5.1250 2,870,000 2,876,645 2,981,213 LUMINENT MORTGAGE TRUST 2 A1A 0.4893 1,556,330 877,248 1,292,649 LUMOS NETWORKS 10/17 COV-LITE 0.0000 380,188 379,072 379,766 LUMOS NETWORKS/SEGRA 5/20 INCR 0.0000 248,125 238,200 248,125 LYB INTERNATIONAL FINANCE III 1.2500 70,000 69,810 69,825 LYB INTERNATIONAL FINANCE III 3.8000 120,000 119,981 126,876 LYB INTERNATIONAL FINANCE III 4.2000 490,000 570,175 563,801 M/I HOMES INC 4.9500 100,000 100,450 104,325 M/I HOMES INC 5.6250 180,000 181,299 185,400 MACDERMID/ELEMENT SOLUTIONS 11 0.0000 754 729 752 MACY'S RETAIL HOLDINGS LL 144A 5.8750 135,000 136,561 145,183 MACY'S RETAIL HOLDINGS LLC 2.8750 5,000 4,948 5,050 MACY'S RETAIL HOLDINGS LLC 3.6250 50,000 48,439 51,200 MACY'S RETAIL HOLDINGS LLC 4.3000 25,000 18,047 20,625 MACY'S RETAIL HOLDINGS LLC 4.5000 15,000 12,312 14,138 MACY'S RETAIL HOLDINGS LLC 5.1250 5,000 3,825 4,625 MADISON IAQ LLC 144A 4.1250 455,000 455,000 459,550 MADISON IAQ LLC 144A 5.8750 715,000 715,001 727,513 MAGELLAN MIDSTREAM PARTNERS LP 3.2500 1,520,000 1,645,922 1,636,645 MAJORDRIVE HOLDINGS COV-LITE T 0.0000 305,000 303,475 305,095 MAJORDRIVE HOLDINGS IV LL 144A 6.3750 275,000 275,000 274,313 MANITOWOC 10/18 TLB 0.0000 175,000 166,163 173,469 MARATHON OIL CORP 4.4000 2,025,000 2,006,969 2,293,543 MARATHON PETROLEUM CORP 3.8000 710,000 709,260 790,726 MARATHON PETROLEUM CORP 4.5000 1,570,000 1,569,426 1,674,333 MARLETTE FUNDING TRU 1A A 144A 2.2400 254,662 255,313 255,106 MARLETTE FUNDING TRU 1A A 144A 0.6000 559,185 559,170 559,520 MARLETTE FUNDING TRU 2A A 144A 3.1300 31,229 31,227 31,340 MARLETTE FUNDING TRU 2A A 144A 1.0200 37,383 37,383 37,415 MARLETTE FUNDING TRU 3A A 144A 2.6900 270,913 270,897 271,768 MARLETTE FUNDING TRU 4A A 144A 2.3900 303,022 303,006 304,552 MARRIOTT INTERNATIONAL INC/MD 2.8500 1,300,000 1,297,526 1,320,138 MARRIOTT INTERNATIONAL INC/MD 3.7500 440,000 438,544 472,201 MARRIOTT INTERNATIONAL INC/MD 4.1500 225,000 224,815 241,299 MARRIOTT OWNERSHIP RESORT 144A 6.1250 1,735,000 1,808,390 1,845,086 MARRIOTT OWNERSHIP RESORTS INC 6.5000 1,220,000 1,094,935 1,267,275 MARSH & MCLENNAN COS INC 2.2500 40,000 39,692 40,514 MARSH & MCLENNAN COS INC 3.7500 1,650,000 1,707,918 1,834,626 MARSH & MCLENNAN COS INC 3.8750 140,000 139,964 151,850 MARSH & MCLENNAN COS INC 4.2000 1,015,000 1,011,372 1,256,704

End of Month: 6/30/2021 Unaudited Holdings Report Page 24 of 57 Coupon Units Cost Market Value MARSH & MCLENNAN COS INC 4.3500 80,000 79,536 99,973 MARSH & MCLENNAN COS INC 4.7500 38,000 37,974 48,522 MARSH & MCLENNAN COS INC 4.9000 1,280,000 1,792,919 1,747,048 MARTIN MARIETTA MATERIALS INC 2.4000 1,320,000 1,319,168 1,321,047 MARTIN MARIETTA MATERIALS INC 3.2000 925,000 917,572 925,569 MARVELL TECHNOLOGY INC 144A 1.6500 205,000 204,615 204,882 MASCO CORP 2.0000 30,000 29,980 29,254 MASCO CORP 4.5000 30,000 35,489 36,401 MASSACHUSETTS ELECTRIC CO 144A 1.7290 1,270,000 1,270,000 1,209,552 MASSACHUSETTS HIGHER EDUCATION 2.6730 1,842,000 1,841,961 1,892,318 MASSACHUSETTS INSTITUTE OF TEC 4.6780 170,000 170,000 247,201 MASTERCARD INC 3.8500 230,000 258,445 277,756 MASTR ASSET BACKED SECU NC1 M1 0.8093 685,146 662,263 665,937 MASTR ASSET BACKED SECU NC1 M2 0.8393 338,554 335,083 333,156 MASTR ASSET BACKED SECU NC3 A1 0.2193 567,855 413,917 340,675 MATTEL INC 144A 3.3750 95,000 95,000 98,563 MATTEL INC 144A 5.8750 60,000 59,603 65,400 MATTEL INC 144A 6.7500 53,000 53,630 55,687 MAUSER PACKAGING SOLUTION 144A 5.5000 1,120,000 1,124,429 1,131,200 MAUSER PACKAGING SOLUTION 144A 7.2500 125,000 122,769 122,500 MAYO CLINIC 3.1960 37,000 37,000 39,844 MCCORMICK & CO INC/MD 2.7000 305,000 304,993 312,232 MCCORMICK & CO INC/MD 3.1500 1,500,000 1,495,663 1,598,745 MCDONALD'S CORP 1.4500 110,000 109,845 112,176 MCDONALD'S CORP 3.2500 500,000 514,346 536,832 MCDONALD'S CORP 3.6250 2,815,000 2,928,529 3,118,943 MCKESSON CORP 0.9000 380,000 379,869 374,420 MCKESSON CORP 3.7960 300,000 308,946 322,641 MCLAREN HEALTH CARE CORP 4.3860 400,000 490,942 500,000 MEDALLION MIDLAND 10/17 TLB 0.0000 233,425 232,537 231,616 MEDNAX INC 144A 6.2500 3,380,000 3,413,887 3,578,575 MEDTRONIC INC 3.5000 372,000 370,535 408,410 MEMORIAL HEALTH SERVICES 3.4470 90,000 89,997 97,459 MEMORIAL SLOAN-KETTERING CANCE 2.9550 223,000 223,002 226,502 MERCADOLIBRE INC 3.1250 955,000 955,000 935,938 MERCER INTERNATIONAL INC 5.5000 1,795,000 1,755,908 1,844,345 MERCER INTERNATIONAL INC 144A 5.1250 2,495,000 2,513,812 2,567,355 MERCK & CO INC 2.3500 245,000 242,661 236,696 MERCK & CO INC 3.7000 80,000 79,600 92,133 MERCK & CO INC 4.0000 225,000 259,865 275,281 MERCURY FINANCIAL CR 1A A 144A 1.5400 355,000 354,973 356,072 MEREDITH CORP 6.8750 2,428,000 2,291,544 2,525,120 MEREDITH CORP 144A 6.5000 470,000 496,135 506,640 MERITOR INC 144A 4.5000 225,000 227,486 228,094 MERRILL LYNCH MORTGAGE I A10 A 0.5093 101,214 105,102 100,324 MERRILL LYNCH MORTGAGE I A4 3A 2.3090 6,475 7,090 6,488 MERRILL LYNCH MORTGAGE IN 3 5A 0.5893 22,278 23,748 22,144 MERRILL LYNCH MORTGAGE WMC1 M1 0.8393 1,055,899 1,050,440 1,038,740 MESSER INDUSTRIES 10/18 (EUR) 0.0000 76,852 88,660 90,588 MESSER INDUSTRIES 10/18 (USD) 0.0000 272,896 272,477 270,841 METLIFE INC 4.0500 395,000 484,795 470,560 METLIFE INC 4.3680 900,000 933,108 973,982 METLIFE SECURITIZATI 1A A 144A 3.0000 53,154 53,675 54,308 MFA 2020-NQM1 TRU NQM1 A1 144A 1.4790 97,580 97,579 98,326 MFA 2020-NQM3 TRU NQM3 A1 144A 1.0140 128,906 128,904 129,001 MFA 2021-INV1 TRU INV1 A1 144A 0.8520 200,373 200,369 199,488 MFA 2021-NQM1 TRU NQM1 A1 144A 1.1530 234,391 234,391 234,019 MGIC INVESTMENT CORP 5.2500 1,270,000 1,273,623 1,346,200 MICHAELS COS INC/THE 144A 5.2500 175,000 176,022 179,538 MICHAELS COS INC/THE 144A 7.8750 100,000 100,919 103,125 MICHAELS STORES 4/21 COV-LITE 0.0000 380,000 376,200 381,383 MICRO FOCUS 4/17 (USD) 0.0000 38,961 38,920 38,474 MICRO FOCUS 6/17 (SEATTLE 0.0000 263,111 262,831 259,822 MICROCHIP TECHNOLOGY INC 144A 0.9720 345,000 344,999 344,830 MICROCHIP TECHNOLOGY INC 144A 0.9830 225,000 225,000 223,909 MICRON TECHNOLOGY INC 4.6630 1,669,000 1,985,318 1,939,963 MICRON TECHNOLOGY INC 4.6400 1,400,000 1,400,000 1,534,638 MICRON TECHNOLOGY INC 4.9750 170,000 176,554 195,395 MICRON TECHNOLOGY INC 2.4970 825,000 854,465 852,737 MICROSOFT CORP 1.5500 1,565,000 1,564,964 1,565,368 MICROSOFT CORP 2.4000 2,210,000 2,209,304 2,236,105 MICROSOFT CORP 2.6750 2,169,000 2,184,658 2,148,054 MICROSOFT CORP 2.5250 995,000 1,010,282 977,569 MICROSOFT CORP 3.0410 450,000 494,845 480,038 MID-AMERICA APARTMENTS LP 4.0000 1,590,000 1,582,029 1,765,159 MIDAMERICAN ENERGY CO 3.1500 45,000 44,755 48,063 MIDAMERICAN ENERGY CO 3.9500 330,000 344,604 390,503 MIDAMERICAN ENERGY CO 4.2500 80,000 79,534 100,554 MIDAMERICAN ENERGY CO 5.7500 640,000 639,636 880,701 MID-ATLANTIC INTERSTATE T 144A 4.1000 1,000,000 1,095,473 1,125,375 MIDMICHIGAN HEALTH 3.4090 5,000 5,000 5,370 MIDWEST CONNECTOR CAPITAL 144A 3.6250 2,000,000 2,011,784 2,033,760 MIDWEST CONNECTOR CAPITAL 144A 3.9000 1,200,000 1,223,866 1,254,779 MIDWEST CONNECTOR CAPITAL 144A 4.6250 100,000 106,125 106,288 MIDWEST PHYSICIAN/DUPAGE MEDIC 0.0000 397,256 395,947 396,017

End of Month: 6/30/2021 Unaudited Holdings Report Page 25 of 57 Coupon Units Cost Market Value MILANO 10/20 COV-LITE TLB 0.0000 279,550 276,316 280,179 MILEAGE PLUS HOLDINGS LLC 144A 6.5000 500,000 536,774 550,500 MILL CITY MORTGAG NMR1 A1 144A 1.1250 391,879 394,795 393,407 MILL CITY MORTGAGE GS1 A1 144A 2.7500 564,887 567,506 581,302 MILL CITY MORTGAGE GS2 A1 144A 2.7500 4,312,092 4,338,631 4,467,780 MILL CITY MORTGAGE L 1 A1 144A 2.5000 34,261 34,422 34,441 MILL CITY MORTGAGE L 2 A1 144A 3.5000 153,543 152,917 156,906 MILL CITY MORTGAGE L 3 A1 144A 2.7500 101,341 101,856 102,894 MILL CITY MORTGAGE L 3 A1 144A 3.4715 144,461 142,976 150,276 MKT 2020-525M MORT 525M D 144A 2.9406 125,000 125,147 126,411 MODIVCARE INC 144A 5.8750 1,060,000 1,060,024 1,134,200 MONARCH 5/16 (USD) COV-LITE 0.0000 333,670 333,455 332,836 MONDELEZ INTERNATIONAL INC 0.2500 2,000,000 2,405,452 2,355,136 MONDELEZ INTERNATIONAL INC 1.3750 425,000 508,784 494,921 MONDELEZ INTERNATIONAL INC 1.5000 150,000 149,376 152,646 MOODY'S CORP 2.5500 155,000 153,706 137,352 MORGAN STANLEY 2.7500 1,400,000 1,399,800 1,431,221 MORGAN STANLEY 3.1250 3,771,000 3,749,407 4,085,794 MORGAN STANLEY 3.8750 1,475,000 1,478,709 1,604,245 MORGAN STANLEY 3.9500 3,436,000 3,355,805 3,839,277 MORGAN STANLEY 4.0000 325,000 350,682 361,483 MORGAN STANLEY 4.3000 485,000 596,352 599,393 MORGAN STANLEY 5.0000 1,190,000 1,345,964 1,371,922 MORGAN STANLEY 6.3750 210,000 249,366 322,137 MORGAN STANLEY 7.2500 240,000 291,641 348,908 MORGAN STANLEY 3.5910 2,940,000 2,892,996 3,256,789 MORGAN STANLEY 3.9710 1,255,000 1,347,674 1,473,853 MORGAN STANLEY 2.8020 1,705,000 1,708,311 1,671,579 MORGAN STANLEY 4.4310 2,105,000 2,222,320 2,464,725 MORGAN STANLEY 3.6220 4,050,000 4,644,850 4,520,830 MORGAN STANLEY 2.1880 330,000 330,000 342,640 MORGAN STANLEY 1.7940 1,140,000 1,139,989 1,095,326 MORGAN STANLEY 0.9850 200,000 200,000 196,845 MORGAN STANLEY 0.8640 270,000 270,000 269,899 MORGAN STANLEY 5.5970 951,000 1,404,874 1,415,396 MORGAN STANLEY 1.9280 2,210,000 2,205,302 2,148,182 MORGAN STANLEY 1.5930 6,852,000 6,852,004 6,900,480 MORGAN STANLEY ABS CAP HE2 A2C 0.2193 2,417,231 1,097,251 1,463,581 MORGAN STANLEY ABS CAP HE4 A2C 0.3193 2,007,470 1,135,340 885,643 MORGAN STANLEY ABS CAP HE8 A2C 0.2293 2,292,319 1,018,724 1,350,570 MORGAN STANLEY ABS CAP NC2 A2A 0.1993 240,683 153,274 142,053 MORGAN STANLEY ABS CAP WMC4 M6 1.1393 900,000 884,821 893,287 MORGAN STANLEY ABS CAPI HE3 M1 0.9443 554,420 553,330 550,437 MORGAN STANLEY BANK OF C26 XA 1.0151 317,596 28,607 10,573 MORGAN STANLEY CAP NUGS D 144A 3.3000 90,000 89,994 90,356 MORGAN STANLEY CAPI C3 XA 144A 0.0000 37,808 1,357 0 MORGAN STANLEY HOME EQUIT 2 M4 1.0343 148,187 147,684 148,179 MORGAN STANLEY IXIS REAL 2 A1 0.1393 2,318 2,461 1,037 MORTGAGEIT MORTGAGE LOAN 1 1A2 0.4893 359,537 322,961 296,394 MORTGAGEIT TRUST 2004-2 2 A1 0.8293 119,160 118,621 122,485 MOSAIC CO/THE 4.2500 245,000 253,323 263,142 MOTOROLA SOLUTIONS INC 2.3000 278,000 277,487 273,005 MOTOROLA SOLUTIONS INC 2.7500 1,925,000 1,935,813 1,964,825 MOTOROLA SOLUTIONS INC 4.0000 887,000 905,427 970,110 MOTOROLA SOLUTIONS INC 5.5000 225,000 293,905 293,066 MPH ACQUISITION HOLDINGS 144A 5.7500 1,815,000 1,815,007 1,823,912 MPLX LP 3.5000 190,000 189,854 197,345 MPLX LP 4.1250 975,000 1,067,106 1,089,462 MPLX LP 4.5000 80,000 84,751 91,796 MPLX LP 4.7000 916,000 1,015,228 1,064,117 MPLX LP 4.8750 129,000 144,847 144,358 MPLX LP 4.9000 200,000 237,829 239,289 MPLX LP 5.2000 2,204,000 2,676,676 2,713,595 MPLX LP 5.5000 730,000 881,595 944,867 MPT OPERATING PARTNERSHIP LP / 5.0000 2,399,000 2,402,599 2,543,156 MPT OPERATING PARTNERSHIP LP / 5.2500 1,035,000 1,035,012 1,066,050 MRFC MORTGAGE PASS-THR TBC3 A1 0.5331 8,201 8,459 8,035 MTC HOLDINGS 2/19 COV-LITE TL 0.0000 137,200 135,362 137,029 MUFG AMERICAS HOLDINGS CORP 3.5000 750,000 751,923 773,264 MULTICARE HEALTH SYSTEM 2.8030 6,000 6,000 5,900 MULTIPLAN 6/16 COV-LITE TL 0.0000 321,039 320,592 320,092 MYLAN INC 4.2000 1,200,000 1,179,421 1,287,031 MYLAN INC 4.5500 1,185,000 1,288,013 1,360,864 MYLAN INC 144A 3.1250 700,000 681,225 725,229 NAI ENTERTAINMENT 4/18 0.0000 120,167 120,002 117,863 NASDAQ INC 2.5000 550,000 550,000 510,747 NASDAQ INC 3.2500 470,000 497,860 471,231 NASDAQ INC 3.8500 205,000 204,898 228,097 NASDAQ INC 4.2500 1,770,000 1,780,279 1,935,739 NATIONAL FUEL GAS CO 2.9500 135,000 134,920 135,783 NATIONAL RURAL UTILITIES COOPE 1.0000 385,000 384,073 381,321 NATIONAL RURAL UTILITIES COOPE 3.9000 510,000 509,741 577,235 NATIONSTAR MORTGAGE HOLDI 144A 5.1250 140,000 141,405 139,300 NATIXIS COMMERCIAL 1776 A 144A 2.5073 185,000 184,999 190,367 NAVICURE/WAYSTAR 9/19 COV-LITE 0.0000 252,949 252,100 253,146

End of Month: 6/30/2021 Unaudited Holdings Report Page 26 of 57 Coupon Units Cost Market Value NAVIENT CORP 6.5000 910,000 910,477 948,857 NAVIENT STUDENT LOAN 5A A 144A 0.8893 0 0 0 NAVISTAR INTERNATIONAL 11/17 0.0000 266,063 265,425 266,063 NBCUNIVERSAL MEDIA LLC 4.4500 50,000 60,322 61,329 NCR CORP 144A 5.0000 485,000 504,467 501,524 NCR CORP 144A 5.1250 2,070,000 2,070,014 2,134,688 NCR CORP 144A 5.2500 235,000 235,020 243,813 NCR CORP 144A 5.7500 990,000 1,002,794 1,047,544 NCR CORP 144A 6.1250 1,075,000 1,075,022 1,171,750 NCR CORP 144A 8.1250 1,320,000 1,320,009 1,443,420 NELNET STUDENT LOAN 6A A 144A 0.7393 0 0 0 NEP 10/18 (USD) TL 0.0000 141,738 141,520 137,840 NEP 9/18 (USD) 2ND LIEN TL 0.0000 205,000 204,324 200,388 NESCO HOLDINGS II INC 144A 5.5000 1,570,000 1,570,020 1,638,688 NETAPP INC 1.8750 225,000 224,881 231,344 NETFLIX INC 3.6250 700,000 967,071 954,513 NETFLIX INC 4.6250 300,000 456,069 444,268 NETFLIX INC 4.8750 1,367,000 1,607,408 1,589,138 NETFLIX INC 144A 4.8750 400,000 469,596 475,720 NETFLIX INC REGS 3.6250 1,800,000 2,629,429 2,535,929 NETFLIX INC REGS 3.8750 1,600,000 1,898,450 2,284,043 NEVADA POWER CO 2.4000 80,000 79,816 82,273 NEVADA POWER CO 3.1250 1,430,000 2,728,987 1,478,627 NEW CENTURY HOME EQUITY 2 A2B 0.2493 930,410 892,687 907,216 NEW CENTURY HOME EQUITY L D M2 0.7943 3,500,000 3,009,426 3,150,666 NEW ENTERPRISE STONE & LI 144A 6.2500 1,425,000 1,414,328 1,463,162 NEW ENTERPRISE STONE & LI 144A 9.7500 580,000 651,050 649,600 NEW RESIDENTIAL INVESTMEN 144A 6.2500 1,295,000 1,295,094 1,296,230 NEW RESIDENTIAL M NQ1R A1 144A 0.9426 174,526 174,526 174,591 NEW RESIDENTIAL M NQ2R A1 144A 0.9405 115,208 115,208 115,202 NEW RESIDENTIAL M NQM1 A1 144A 2.4641 135,065 135,065 136,453 NEW RESIDENTIAL M RPL1 A1 144A 2.7500 2,747,011 2,790,333 2,839,656 NEW RESIDENTIAL M RPL1 A1 144A 3.5000 77,704 176,071 80,757 NEW RESIDENTIAL M RPL3 A1 144A 2.7500 3,669,356 3,690,436 3,829,243 NEW RESIDENTIAL MO 1A A1A 144A 4.0000 59,330 60,567 63,547 NEW RESIDENTIAL MO 1A A1B 144A 3.5000 1,184,598 1,217,730 1,253,009 NEW RESIDENTIAL MO 4A A1S 144A 0.8393 190,217 195,865 190,570 NEW RESIDENTIAL MO FNT2 A 144A 3.7900 78,286 78,257 78,312 NEW RESIDENTIAL MOR 2A A3 144A 4.0000 67,872 71,167 72,458 NEW RESIDENTIAL MOR 3A A1 144A 4.5000 1,589,606 1,643,274 1,724,075 NEW YORK AND PRESBYTERIAN HOSP 3.9540 46,000 46,000 54,330 NEWMONT CORP 4.8750 165,000 209,363 208,975 NEXSTAR BROADCASTING 6/19 0.0000 233,922 233,087 233,272 NEXSTAR MEDIA INC 144A 4.7500 1,265,000 1,265,072 1,299,788 NEXSTAR MEDIA INC 144A 5.6250 3,150,000 3,225,158 3,339,000 NEXTERA ENERGY CAPITAL HOLDING 1.9000 40,000 39,977 40,430 NEXTERA ENERGY CAPITAL HOLDING 2.2500 3,500,000 3,746,378 3,527,313 NEXTERA ENERGY CAPITAL HOLDING 3.5500 630,000 628,882 695,585 NEXTERA ENERGY CAPITAL HOLDING 4.8000 1,310,000 1,310,067 1,472,212 NEXTERA ENERGY CAPITAL HOLDING 0.6500 75,000 74,994 75,306 NEXTERA ENERGY OPERATING 144A 4.2500 95,000 95,217 100,225 NFP 2/20 COV-LITE TL 0.0000 316,523 315,396 311,731 NFP CORP 144A 4.8750 840,000 839,977 853,558 NFP CORP 144A 6.8750 1,690,000 1,766,187 1,779,080 NIELSEN FINANCE LLC / NIE 144A 4.5000 170,000 170,003 170,476 NIKE INC 3.2500 1,011,000 1,112,452 1,109,978 NIKE INC 3.3750 306,000 354,062 344,506 NISOURCE INC 0.9500 300,000 299,383 297,505 NISOURCE INC 3.9500 360,000 359,645 410,314 NISSAN MOTOR ACCEPTANCE C 144A 1.9000 2,650,000 2,649,701 2,657,273 NISSAN MOTOR ACCEPTANCE C 144A 2.6000 200,000 199,988 204,122 NISSAN MOTOR ACCEPTANCE C 144A 2.6500 200,000 200,613 203,263 NISSAN MOTOR ACCEPTANCE C 144A 2.7500 5,900,000 5,897,477 5,953,082 NISSAN MOTOR ACCEPTANCE C 144A 3.8750 170,000 180,664 179,873 NMG HOLDING CO INC / NEIM 144A 7.1250 120,000 120,000 128,100 NMI HOLDINGS INC 144A 7.3750 80,000 82,852 91,677 NORFOLK SOUTHERN CORP 4.1000 35,000 34,908 38,358 NORTHERN STATES POWER CO/MN 3.2000 45,000 44,834 47,937 NORTHERN STATES POWER CO/MN 3.4000 510,000 508,062 564,887 NORTHERN STATES POWER CO/MN 4.0000 145,000 142,901 172,952 NORTHWESTERN MUTUAL GLOBA 144A 1.7000 905,000 904,177 905,865 NORTHWESTERN MUTUAL LIFE 144A 3.4500 250,000 250,969 267,683 NORTHWESTERN UNIVERSITY 2.6400 55,000 55,000 55,653 NOVARTIS CAPITAL CORP 2.7500 275,000 286,081 276,514 NOVARTIS CAPITAL CORP 3.4000 1,030,000 1,029,912 1,110,417 NOVASTAR MORTGAGE FUNDI 1 A2A1 0.1893 28,233 18,163 13,650 NOVASTAR MORTGAGE FUNDIN 6 A2C 0.2593 508,410 299,302 221,651 NOVELIS CORP 144A 4.7500 3,998,000 3,853,320 4,197,900 NOVELIS CORP 144A 5.8750 1,040,000 1,047,749 1,081,865 NRZ EXCESS SPREAD- FNT1 A 144A 3.6100 116,619 116,588 116,830 NSTAR ELECTRIC CO 3.1000 60,000 59,456 62,057 NUSTAR LOGISTICS LP 6.0000 175,000 189,130 189,875 NUSTAR LOGISTICS LP 6.3750 1,145,000 1,145,054 1,265,111 NVIDIA CORP 3.7000 45,000 53,514 52,939 NVR INC 3.0000 4,450,000 4,757,567 4,717,963

End of Month: 6/30/2021 Unaudited Holdings Report Page 27 of 57 Coupon Units Cost Market Value OBX 2020-INV1 TRU INV1 A5 144A 3.5000 146,773 150,022 148,885 OCCIDENTAL PETROLEUM CORP 2.7000 400,000 399,837 408,000 OCCIDENTAL PETROLEUM CORP 2.9000 20,000 19,144 20,450 OCCIDENTAL PETROLEUM CORP 3.0000 225,000 177,969 223,313 OCCIDENTAL PETROLEUM CORP 3.2000 1,625,000 1,540,429 1,637,188 OCCIDENTAL PETROLEUM CORP 3.4000 280,000 270,151 286,300 OCCIDENTAL PETROLEUM CORP 4.2000 448,000 281,837 418,880 OCCIDENTAL PETROLEUM CORP 4.4000 1,787,000 1,263,765 1,716,139 OCCIDENTAL PETROLEUM CORP 5.5000 797,000 796,973 880,701 OCCIDENTAL PETROLEUM CORP 6.1250 50,000 50,002 58,827 OCCIDENTAL PETROLEUM CORP 6.3750 25,000 27,909 29,188 OCCIDENTAL PETROLEUM CORP 6.6250 660,000 660,015 792,000 OCCIDENTAL PETROLEUM CORP 6.9500 2,190,000 2,448,803 2,466,991 OCCIDENTAL PETROLEUM CORP 1.6059 1,395,000 1,220,650 1,388,076 OCEANEERING INTERNATIONAL INC 6.0000 1,155,000 1,093,541 1,163,663 OFFICE PROPERTIES INCOME TRUST 2.6500 520,000 519,152 527,600 OGE ENERGY CORP 0.7030 150,000 150,000 150,040 OGLETHORPE POWER CORP 5.3750 170,000 169,662 214,436 OHIOHEALTH CORP 3.0420 10,000 10,000 10,506 OKLAHOMA GAS AND ELECTRIC CO 3.8000 380,000 379,461 425,763 OLD REPUBLIC INTERNATIONAL COR 3.8500 525,000 524,628 557,524 OMEGA HEALTHCARE INVESTORS INC 4.3750 151,000 150,866 160,747 OMEGA HEALTHCARE INVESTORS INC 4.5000 196,000 196,689 219,143 OMEGA HEALTHCARE INVESTORS INC 5.2500 1,150,000 1,148,278 1,311,507 OMNICOM GROUP INC 2.6000 550,000 549,032 559,133 OMNICOM GROUP INC 4.2000 795,000 901,005 917,784 ONCOR ELECTRIC DELIVERY CO LLC 3.1000 25,000 24,880 26,282 ONCOR ELECTRIC DELIVERY CO LLC 3.8000 200,000 198,843 237,666 ONCOR ELECTRIC DELIVERY CO LLC 7.5000 410,000 408,982 666,775 ONE 2021-PARK MORT PARK D 144A 1.5930 448,000 447,998 447,791 ONE 2021-PARK MORT PARK E 144A 1.8430 250,000 250,017 249,924 ONE GAS INC 0.8500 400,000 399,898 400,195 ONE GAS INC 0.7348 2,700,000 2,700,000 2,701,145 ONEMAIN FINANCE CORP 4.0000 140,000 139,993 138,775 ONEMAIN FINANCE CORP 5.3750 245,000 234,575 266,496 ONEMAIN FINANCE CORP 6.1250 1,090,000 1,092,899 1,133,363 ONEMAIN FINANCE CORP 6.6250 1,435,000 1,471,712 1,645,027 ONEMAIN FINANCE CORP 6.8750 150,000 162,869 169,290 ONEMAIN FINANCE CORP 7.1250 130,000 130,368 151,412 ONEMAIN FINANCE CORP 8.8750 720,000 742,150 798,257 ONEMAIN FINANCIAL IS 1A A 144A 3.4800 2,221,110 2,156,633 2,223,728 ONEOK INC 4.4500 60,000 53,710 66,314 ONEOK INC 4.5500 880,000 878,197 1,004,022 ONEOK INC 5.2000 195,000 237,095 238,948 ONEOK INC 6.3500 2,689,000 2,706,451 3,477,313 ONEOK INC 7.1500 130,000 155,299 191,110 ONEOK PARTNERS LP 4.9000 500,000 486,154 559,421 ONEOK PARTNERS LP 6.1250 40,000 34,240 51,552 OPTION ONE MORTGAGE LOAN 1 2A3 0.2293 1,042,191 721,858 721,503 OPTION ONE MORTGAGE LOAN 1 2A4 0.3093 1,287,413 901,966 902,646 ORACLE CORP 1.6500 9,345,000 9,344,535 9,472,673 ORACLE CORP 2.5000 3,570,000 3,613,074 3,658,271 ORACLE CORP 2.8750 985,000 983,509 1,024,477 ORACLE CORP 2.9500 1,600,000 1,619,713 1,710,125 ORACLE CORP 3.6000 625,000 735,015 641,783 ORACLE CORP 3.6500 2,995,000 2,983,429 3,175,768 ORACLE CORP 3.8500 300,000 325,467 318,520 ORACLE CORP 3.9500 460,000 468,526 502,085 ORACLE CORP 4.0000 1,515,000 1,480,888 1,642,825 ORACLE CORP 4.1000 460,000 472,201 509,999 ORGANON & CO / ORGANON FO 144A 4.1250 1,600,000 1,600,002 1,631,680 ORGANON & CO / ORGANON FO 144A 5.1250 1,925,000 1,925,010 1,983,135 ORGANON 6/21 (USD) TLB 0.0000 470,000 467,650 470,296 ORTHO-CLINICAL DIAGNOSTIC 144A 7.2500 3,112,000 3,126,361 3,399,082 ORTHO-CLINICAL DIAGNOSTIC 144A 7.3750 1,000 1,000 1,074 ORYX SOUTHERN/ORYX MIDSTREAM 0.0000 250,533 249,366 248,654 OTIS WORLDWIDE CORP 3.3620 80,000 88,521 84,201 OTIS WORLDWIDE CORP 2.0560 140,000 140,002 145,450 OUTFRONT MEDIA CAPITAL LL 144A 4.2500 1,370,000 1,369,995 1,378,563 OUTFRONT MEDIA CAPITAL LL 144A 5.0000 1,310,000 1,310,140 1,356,361 OVINTIV EXPLORATION INC 5.3750 105,000 109,544 118,329 OVINTIV EXPLORATION INC 5.6250 165,000 180,602 183,714 OWENS & MINOR INC 144A 4.5000 1,125,000 1,125,017 1,155,938 OWENS-BROCKWAY GLASS CONT 144A 5.3750 130,000 129,844 138,125 OWENS-BROCKWAY GLASS CONT 144A 5.8750 2,885,000 2,876,404 3,111,097 OWENS-BROCKWAY GLASS CONT 144A 6.3750 50,000 55,583 55,438 OWL ROCK CAPITAL CORP 2.6250 300,000 297,918 300,773 OWL ROCK CAPITAL CORP 2.8750 70,000 69,308 69,475 OWL ROCK CAPITAL CORP 3.4000 105,000 103,902 109,434 OWNIT MORTGAGE LOAN TRUST 5 M1 0.9893 411,422 363,333 416,955 OXFORD FINANCE LLC / OXFO 144A 6.3750 800,000 799,994 806,000 PACIFIC GAS AND ELECTRIC CO 1.7500 100,000 99,998 99,945 PACIFIC GAS AND ELECTRIC CO 2.1000 30,000 29,952 29,136 PACIFIC GAS AND ELECTRIC CO 2.5000 9,405,000 9,396,240 8,817,625 PACIFIC GAS AND ELECTRIC CO 2.9500 1,060,000 1,060,209 1,083,905

End of Month: 6/30/2021 Unaudited Holdings Report Page 28 of 57 Coupon Units Cost Market Value PACIFIC GAS AND ELECTRIC CO 3.0000 3,820,000 3,801,433 3,837,182 PACIFIC GAS AND ELECTRIC CO 3.1500 340,000 355,132 350,686 PACIFIC GAS AND ELECTRIC CO 3.2500 200,000 208,460 206,698 PACIFIC GAS AND ELECTRIC CO 3.3000 30,000 29,856 27,092 PACIFIC GAS AND ELECTRIC CO 3.4500 1,545,000 1,668,853 1,619,441 PACIFIC GAS AND ELECTRIC CO 3.5000 1,010,000 983,162 900,173 PACIFIC GAS AND ELECTRIC CO 3.7500 1,845,000 2,012,463 1,932,029 PACIFIC GAS AND ELECTRIC CO 4.3000 1,300,000 1,374,498 1,247,485 PACIFIC GAS AND ELECTRIC CO 4.5000 170,000 196,398 170,082 PACIFIC GAS AND ELECTRIC CO 4.5500 140,000 159,407 149,738 PACIFIC GAS AND ELECTRIC CO 4.9500 230,000 280,163 236,570 PACIFIC LIFE GLOBAL FUNDI 144A 0.5000 1,785,000 1,783,339 1,786,934 PACIFIC LIFECORP 144A 3.3500 850,000 882,536 898,587 PACIFICORP 6.0000 80,000 79,380 113,484 PACKAGING COORDINATORS/PCI PHA 0.0000 200,000 199,000 200,100 PANTHER COMMERCIAL/FORCEPOINT 0.0000 330,000 327,525 330,069 PAR PHARMACEUTICAL INC 144A 7.5000 5,206,000 5,327,144 5,322,250 PARK INTERMEDIATE HOLDING 144A 4.8750 2,310,000 2,310,001 2,389,580 PARK PLACE SECURITIES WCW3 M2 0.8243 1,800,000 1,760,537 1,806,799 PARKER-HANNIFIN CORP 2.7000 150,000 149,957 158,042 PARKER-HANNIFIN CORP 4.0000 130,000 144,467 154,427 PARTS AUTHORITY 10/20 TLB 0.0000 250,000 248,875 250,390 PATHWAY VET 1/21 COV-LITE TL 0.0000 449,376 441,980 448,001 PATHWAY VET 3/20 COV-LT DD 0.0000 23,677 23,147 23,137 PAYPAL HOLDINGS INC 2.6500 405,000 404,232 434,932 PAYPAL HOLDINGS INC 3.2500 195,000 231,341 212,115 PDC ENERGY INC 5.7500 2,150,000 2,139,596 2,246,062 PEACEHEALTH OBLIGATED GROUP 1.3750 200,000 200,349 201,922 PEACEHEALTH OBLIGATED GROUP 3.2180 23,000 23,000 24,164 PECO ENERGY CO 2.8000 1,850,000 1,848,176 1,844,789 PECO ENERGY CO 3.0000 410,000 406,756 428,790 PENNSYLVANIA ELECTRIC CO 144A 3.2500 400,000 422,670 420,021 PENNYMAC FINANCIAL SERVIC 144A 4.2500 1,655,000 1,655,006 1,594,444 PENNYMAC FINANCIAL SERVIC 144A 5.3750 225,000 225,768 236,813 PENSKE TRUCK LEASING CO L 144A 2.7000 360,000 359,649 374,247 PENSKE TRUCK LEASING CO L 144A 3.4500 2,100,000 2,099,876 2,251,702 PENSKE TRUCK LEASING CO L 144A 4.1250 200,000 199,992 213,335 PENSKE TRUCK LEASING CO L 144A 4.2000 1,330,000 1,328,841 1,496,808 PEPSICO INC 3.4500 400,000 375,811 449,862 PEPSICO INC 4.0000 430,000 476,537 521,306 PEPSICO INC 4.4500 465,000 520,170 598,787 PERATON 2/21 COV-LITE TLB 0.0000 305,000 303,475 305,634 PERFORMANCE FOOD GROUP IN 144A 5.5000 1,910,000 1,939,976 1,951,473 PETCO ANIMAL SUPPLIES 2/21 COV 0.0000 230,000 229,425 229,466 PETSMART 1/21 TLB 0.0000 175,000 173,250 175,044 PETSMART INC / PETSMART F 144A 7.7500 945,000 962,382 1,041,863 PFIZER INC 2.7000 750,000 768,651 746,143 PFIZER INC 3.2000 1,745,000 1,739,467 1,844,125 PFIZER INC 4.1250 860,000 863,622 1,067,097 PFIZER INC 4.3000 255,000 263,291 320,236 PFIZER INC 4.4000 160,000 159,541 206,302 PFS FINANCING CORP B A 144A 1.2100 260,000 259,974 262,168 PG&E CORP 5.0000 550,000 550,006 556,116 PG&E CORP 5.2500 2,055,000 2,059,953 2,074,523 PHARMACEUTICAL PRODUCT/PPD 1/2 0.0000 225,000 223,875 224,613 PHILADELPHIA ENERGY SOLUTIONS 0.0000 255,918 239,915 2,559 PHILLIPS 66 0.9000 180,000 179,842 180,236 PHILLIPS 66 2.1500 905,000 888,979 889,674 PHILLIPS 66 PARTNERS LP 2.4500 250,000 249,614 260,726 PHYSICIANS REALTY LP 4.3000 100,000 102,031 112,696 PIEDMONT NATURAL GAS CO INC 3.3500 30,000 29,790 30,893 PIKE CORP 144A 5.5000 2,630,000 2,648,507 2,735,200 PIONEER NATURAL RESOURCES CO 0.7500 3,315,000 3,313,832 3,311,954 PIONEER NATURAL RESOURCES CO 1.9000 793,000 772,757 764,011 PIONEER NATURAL RESOURCES CO 2.1500 355,000 351,539 347,853 PIONEER NATURAL RESOURCES CO 7.2000 300,000 308,321 387,224 PIONEER NATURAL RESOURCES CO 0.5500 250,000 249,986 250,239 PLAINS ALL AMERICAN PIPELINE L 3.5500 5,820,000 5,767,176 6,128,594 PLAINS ALL AMERICAN PIPELINE L 3.8000 3,000,000 3,124,170 3,210,174 PLAINS ALL AMERICAN PIPELINE L 3.8500 440,000 439,127 466,363 PLANET FITNESS MAS 1A A2I 144A 4.2620 213,950 213,955 214,742 PLY GEM/PISCES MIDCO/CORNERSTO 0.0000 386,074 384,902 385,495 PNC BANK NA 2.7000 1,500,000 1,499,986 1,544,489 PNC BANK NA 3.8000 1,625,000 1,632,655 1,732,014 PNC BANK NA 4.0500 880,000 956,416 1,017,771 PODS 3/21 COV-LITE TLB 0.0000 245,000 243,775 244,388 POST HOLDINGS INC 144A 4.6250 1,325,000 1,326,684 1,347,300 POST HOLDINGS INC 144A 5.6250 645,000 673,484 683,700 POST HOLDINGS INC 144A 5.7500 815,000 837,339 852,694 POWDR CORP 144A 6.0000 1,795,000 1,849,919 1,884,750 POWERTEAM 2/18 TLB 0.0000 418,823 418,271 415,355 POWERTEAM SERVICES LLC 144A 9.0330 2,700,000 2,754,883 2,970,000 POWERTEAM/ARTERA SERVICES 6/21 0.0000 220,000 218,350 218,900 PPG INDUSTRIES INC 1.2000 640,000 636,593 638,369 PPG INDUSTRIES INC 2.5500 750,000 800,950 776,854

End of Month: 6/30/2021 Unaudited Holdings Report Page 29 of 57 Coupon Units Cost Market Value PPL ELECTRIC UTILITIES CORP 3.0000 205,000 201,692 211,532 PQ CORP 144A 5.7500 1,200,000 1,212,740 1,231,500 PREGIS 7/19 COV-LITE TLB 0.0000 98,750 98,392 98,651 PRESIDENT AND FELLOWS OF HARVA 2.5170 31,000 31,000 31,015 PRESIDIO HOLDINGS INC 144A 4.8750 300,000 301,865 308,628 PRESIDIO HOLDINGS INC 144A 8.2500 85,000 86,584 92,438 PRESS GANEY 7/19 TLB 0.0000 367,196 365,571 364,901 PRESTIGE BRANDS 6/21 B5 TLB 0.0000 250,000 248,750 250,105 PRESTIGE BRANDS INC 144A 5.1250 640,000 642,559 673,766 PRIME SECURITY SERVICES B 144A 6.2500 6,100,000 6,280,946 6,488,875 PRINCIPAL FINANCIAL GROUP INC 2.1250 825,000 846,728 821,549 PRINCIPAL LIFE GLOBAL FUN 144A 1.2500 810,000 809,468 814,890 PRO MACH 2/18 TLB 0.0000 204,225 204,138 201,162 PRO MACH 6/20 INCREMENTAL TL 0.0000 104,540 101,938 104,475 PROGRESS RESIDENTI SFR1 A 144A 1.0520 100,000 99,998 98,113 PROGRESS RESIDENTI SFR1 D 144A 1.8050 305,000 304,985 300,433 PROGRESSIVE CORP/THE 3.9500 750,000 853,728 899,753 PROGRESSIVE CORP/THE 4.1250 990,000 1,191,881 1,212,868 PROGRESSIVE CORP/THE 4.2000 100,000 130,054 124,500 PROLAMINA 11/20 EXTENDED COV-L 0.0000 414,000 412,558 413,276 PROLOGIS LP 2.1250 95,000 93,549 81,085 PROSPECT CAPITAL CORP 3.3640 365,000 360,549 365,664 PROTECTIVE LIFE GLOBAL FU 144A 1.1700 250,000 250,000 250,189 PROVIDENT FUNDING ASSOCIA 144A 6.3750 100,000 100,002 101,250 PSEG POWER LLC 8.6250 300,000 369,266 459,907 PTC INC 144A 3.6250 20,000 20,000 20,600 PTC INC 144A 4.0000 25,000 25,000 25,825 PUBLIC SERVICE CO OF COLORADO 3.6000 170,000 169,526 192,751 PUBLIC SERVICE CO OF COLORADO 4.0500 1,275,000 1,263,765 1,564,072 PUBLIC SERVICE ENTERPRISE GROU 1.6000 3,145,000 3,139,686 2,980,307 PUBLIC SERVICE ENTERPRISE GROU 2.0000 346,000 345,255 347,698 PUBLIC SERVICE ENTERPRISE GROU 2.8750 295,000 294,916 312,785 PUBLIC STORAGE 0.8750 380,000 379,365 376,800 PUBLIC STORAGE 2.3000 1,130,000 1,126,146 1,152,687 PUBLIC STORAGE 3.0940 1,710,000 1,709,998 1,872,744 PUBLIC STORAGE 3.3850 450,000 449,999 498,844 PUGET ENERGY INC 144A 2.3790 10,000 10,000 10,102 PUGET SOUND ENERGY INC 4.2230 135,000 135,000 165,830 QUANTA SERVICES INC 2.9000 4,201,000 4,269,368 4,355,696 QUIKRETE 11/16 COV-LITE TLB 0.0000 414,526 414,420 410,509 QVC INC 4.3750 4,335,000 4,336,777 4,459,984 QVC INC 4.7500 485,000 499,326 514,279 QVC INC 4.8500 590,000 590,805 640,150 RACKSPACE TECHNOLOGY GLOB 144A 5.3750 1,070,000 1,070,000 1,096,750 RADIAN GROUP INC 6.6250 625,000 646,663 705,306 RALI SERIES 2005-QO1 TR QO1 A1 0.3893 119,004 109,398 102,844 RALI SERIES 2006-QO3 TR QO3 A1 0.5093 614,360 284,236 238,787 RALI SERIES 2006-QO6 TR QO6 A1 0.4493 527,267 493,198 168,292 RALI SERIES 2007-QH8 TRU QH8 A 1.0200 280,617 283,210 269,579 RALPH LAUREN CORP 1.7000 245,000 244,861 248,202 RAMP SERIES 2005-EFC7 EFC7 A2 0.5493 23,600 18,981 21,235 RANGE RESOURCES CORP 144A 8.2500 65,000 65,705 73,288 RASC SERIES 2004-KS7 KS7 A2B3 0.9693 83,167 72,885 81,352 RASC SERIES 2007-KS4 TR KS4 A3 0.3593 113,438 111,234 113,294 RAYONIER LP 2.7500 724,000 718,234 730,889 RAYTHEON TECHNOLOGIES CORP 4.6250 680,000 719,842 874,800 RBS GLOBAL INC / REXNORD 144A 4.8750 1,310,000 1,315,239 1,336,200 RBSGC MORTGAGE LOAN TRUS B 1A4 0.5393 57,610 38,953 21,632 RCN CABLE 9/20 TL 0.0000 119,700 118,503 119,744 REALOGY GROUP LLC / REALO 144A 5.7500 1,665,000 1,682,647 1,740,574 REALOGY GROUP LLC / REALO 144A 7.6250 2,070,000 2,124,786 2,245,329 REALPAGE 2/21 COV-LITE TL 0.0000 375,000 374,063 373,688 REALTY INCOME CORP 1.8000 948,000 934,062 901,274 REALTY INCOME CORP 4.6500 150,000 152,408 161,270 REINSURANCE GROUP OF AMERICA I 3.1500 1,300,000 1,293,711 1,390,160 RELIANCE STEEL & ALUMINUM CO 2.1500 1,082,000 1,074,267 1,065,984 RELIANCE STEEL & ALUMINUM CO 1.3000 635,000 636,110 636,547 RELX CAPITAL INC 3.5000 225,000 224,657 235,919 RENEWABLE ENERGY GROUP IN 144A 5.8750 1,270,000 1,270,007 1,331,913 REPUBLIC SERVICES INC 0.8750 325,000 324,708 321,814 REPUBLIC SERVICES INC 2.5000 650,000 649,339 682,155 RESIDENTIAL ASSET SECUR A8 2A1 6.2500 704,030 445,650 257,399 RESIDENTIAL ASSET SECURI R1 A2 0.4893 1,023,978 561,692 337,354 RESIDENTIAL ASSET SECURI R2 A3 5.5000 121,622 112,720 126,291 RESOLUTE FOREST PRODUCTS 144A 4.8750 1,255,000 1,255,042 1,296,415 REVLON 7/16 COV-LITE TLB 0.0000 234,588 234,220 129,023 REYNOLDS GROUP 1/17 (USD) TL 0.0000 497,333 493,575 496,090 REYNOLDS GROUP 1/20 TLB 0.0000 275 275 273 REYNOLDS GROUP ISSUER INC 144A 4.0000 2,230,000 2,221,521 2,214,550 RFMSI SERIES 2003-S9 TRU S9 A1 6.5000 1,087 1,112 1,127 RHP HOTEL PROPERTIES LP / RHP 4.7500 2,490,000 2,499,139 2,557,355 RIO OIL FINANCE TRUST SER 144A 9.2500 1,408,539 1,390,842 1,556,436 RIO OIL FINANCE TRUST SER REGS 9.2500 393,691 401,549 435,029 ROCKEFELLER FOUNDATION/THE 2.4920 36,000 36,000 35,046 ROCKET MORTGAGE LLC 144A 5.2500 1,230,000 1,227,421 1,291,500

End of Month: 6/30/2021 Unaudited Holdings Report Page 30 of 57 Coupon Units Cost Market Value ROCKET SOFTWARE INC 144A 6.5000 2,535,000 2,530,394 2,515,430 RODAN & FIELDS 6/18 COV-LITE T 0.0000 170,188 169,226 135,015 ROPER TECHNOLOGIES INC 1.0000 300,000 299,668 298,481 ROPER TECHNOLOGIES INC 2.3500 150,000 149,821 157,314 ROPER TECHNOLOGIES INC 3.6500 1,380,000 1,397,963 1,473,856 ROSS STORES INC 0.8750 75,000 74,629 73,421 RPM INTERNATIONAL INC 4.2500 290,000 264,740 316,401 RPM INTERNATIONAL INC 4.5500 89,000 88,898 102,014 RUSSELL INVESTMENT 10/20 TL 0.0000 229,149 226,909 227,646 RYAN SPECIALTY GROUP 9/20 COV- 0.0000 228,538 226,968 228,323 S&P GLOBAL INC 2.3000 1,738,000 1,501,428 1,488,659 SABINE PASS LIQUEFACTION LLC 4.2000 468,000 499,120 528,527 SABINE PASS LIQUEFACTION LLC 4.5000 2,373,000 2,367,631 2,738,565 SABINE PASS LIQUEFACTION LLC 5.7500 400,000 419,236 448,874 SABRE GLBL INC 144A 7.3750 1,570,000 1,570,019 1,707,375 SALESFORCE.COM INC 1.9500 40,000 39,884 40,005 SALESFORCE.COM INC 2.7000 170,000 169,062 170,703 SALESFORCE.COM INC 2.9000 160,000 159,554 161,559 SALESFORCE.COM INC 3.0500 85,000 84,726 86,124 SAN DIEGO GAS & ELECTRIC CO 4.1000 100,000 99,899 120,454 SANTANDER DRIVE AUTO RECEI 2 B 0.5900 185,000 184,971 185,298 SANTANDER HOLDINGS USA INC 3.4000 2,390,000 2,387,844 2,488,304 SANTANDER HOLDINGS USA INC 3.4500 445,000 444,305 478,208 SANTANDER HOLDINGS USA INC 3.5000 150,000 149,922 160,457 SANTANDER HOLDINGS USA INC 4.5000 1,860,000 1,859,651 2,064,757 SAPPHIRE AVIATION FI 1A A 144A 3.2280 216,539 216,536 215,326 SASOL FINANCING USA LLC 4.3750 2,500,000 2,509,112 2,582,500 SAVAGE ENTERPRISES 2/20 TLB 0.0000 36,773 36,536 36,756 SBA COMMUNICATIONS CORP 144A 3.1250 2,351,000 2,351,002 2,266,519 SBA GTD PARTN CTFS 2003-20I 1 5.1300 7,387 7,391 7,646 SBA GTD PARTN CTFS 2004-20C 1 4.3400 52,229 52,233 53,924 SBA TOWER TRUST 144A 3.4480 190,000 190,000 193,640 SBA TOWER TRUST 144A 2.8360 1,345,000 1,413,124 1,410,996 SBA TOWER TRUST 144A 1.8840 100,000 100,000 101,286 SCRIPPS ESCROW II INC 144A 5.3750 1,800,000 1,816,812 1,794,312 SCRIPPS ESCROW INC 144A 5.8750 415,000 424,432 429,670 SEATTLE CHILDREN'S HOSPITAL 2.7190 30,000 30,000 29,439 SEAWORLD PARKS & ENTERTAI 144A 9.5000 2,165,000 2,326,951 2,321,963 SECURITIZED ASSET BACKE FR4 M2 1.0493 482,042 426,122 429,596 SECURITIZED ASSET BACKE NC1 A3 0.6293 682,727 585,493 652,169 SEDGWICK CMS 12/18 COV-LITE TL 0.0000 355,682 355,127 351,681 SEDGWICK CMS 5/20 COV-LITE TLB 0.0000 119,100 114,336 119,227 SEDGWICK CMS 8/19 INCREMENTAL 0.0000 199,492 199,492 199,050 SEG HOLDING LLC / SEG FIN 144A 5.6250 1,900,000 1,982,535 1,994,430 SEMPRA ENERGY 2.9000 75,000 74,907 77,627 SEMPRA ENERGY 3.2500 2,500,000 2,731,075 2,711,797 SEMPRA ENERGY 3.4000 505,000 502,551 554,903 SEMPRA ENERGY 3.5500 550,000 549,466 591,203 SEQUOIA MORTGAGE T CH3 A1 144A 4.5000 38,135 38,766 39,047 SEQUOIA MORTGAGE TR 3 A19 144A 3.0000 66,119 67,284 67,503 SERVICE CORP INTERNATIONAL/US 4.6250 45,000 45,000 47,588 SERVICE PROPERTIES TRUST 4.3750 1,470,000 1,372,811 1,400,175 SERVICE PROPERTIES TRUST 7.5000 275,000 311,931 311,355 SERVICENOW INC 1.4000 3,286,000 3,211,305 3,082,988 SG COMMERCIAL MORT COVE A 144A 2.6320 525,000 539,743 544,719 SG RESIDENTIAL MORTG 1 A1 144A 1.1600 463,000 462,728 462,728 SHEA HOMES LP / SHEA HOME 144A 4.7500 1,540,000 1,570,558 1,578,429 SHERWIN-WILLIAMS CO/THE 2.9500 441,000 441,067 472,560 SHERWIN-WILLIAMS CO/THE 3.1250 185,000 184,877 197,606 SHERWIN-WILLIAMS CO/THE 3.3000 395,000 428,216 419,569 SHERWIN-WILLIAMS CO/THE 3.4500 780,000 845,401 849,461 SHERWIN-WILLIAMS CO/THE 3.8000 545,000 580,499 627,300 SHERWIN-WILLIAMS CO/THE 4.2000 440,000 444,133 444,737 SHERWIN-WILLIAMS CO/THE 4.5000 150,000 170,395 187,621 SHUTTERFLY 10/19 INSTITUTIONAL 0.0000 120,145 115,597 120,252 SIGNAL PARENT INC 144A 6.1250 243,000 241,554 233,280 SILGAN HOLDINGS INC 2.2500 205,000 238,636 244,325 SIMMONS FOODS INC/SIMMONS 144A 4.6250 725,000 724,999 731,300 SIMON PROPERTY GROUP LP 3.3000 670,000 655,060 728,337 SIMON PROPERTY GROUP LP 3.5000 375,000 397,413 410,415 SINCLAIR TELEVISION GROUP 144A 4.1250 1,045,000 1,044,996 1,026,713 SIRIUS XM RADIO INC 144A 4.6250 75,000 75,002 76,980 SIRIUS XM RADIO INC 144A 5.5000 1,255,000 1,224,550 1,367,574 SIX FLAGS ENTERTAINMENT C 144A 4.8750 1,980,000 1,977,731 1,999,800 SIX FLAGS ENTERTAINMENT C 144A 5.5000 1,505,000 1,549,703 1,552,152 SKYWORKS SOLUTIONS INC 0.9000 440,000 439,874 441,308 SKYWORKS SOLUTIONS INC 1.8000 215,000 214,899 217,709 SKYWORKS SOLUTIONS INC 3.0000 130,000 129,503 132,874 SL GREEN OPERATING PARTNERSHIP 1.1359 710,000 710,000 710,166 SL GREEN REALTY CORP 4.5000 1,500,000 1,500,022 1,562,033 SLM CORP 5.1250 1,060,000 1,063,852 1,079,875 SLM STUDENT LOAN TRUST 20 REGS 0.0020 352,530 444,242 398,724 SLM STUDENT LOAN TRUST 200 9 A 1.6253 643,546 653,072 648,980 SM ENERGY CO 5.0000 585,000 568,132 584,269 SM ENERGY CO 5.6250 670,000 661,764 663,300

End of Month: 6/30/2021 Unaudited Holdings Report Page 31 of 57 Coupon Units Cost Market Value SM ENERGY CO 6.5000 450,000 450,001 462,375 SM ENERGY CO 6.7500 280,000 280,001 284,900 SNAP-ON INC 3.1000 165,000 168,103 174,817 SOCIAL VALUE CHOICE FUND 0.0000 7,500,000 75,000,000 89,980,020 SOFI CONSUMER LOAN PR 1 A 144A 2.0200 697,823 697,805 703,565 SOFI CONSUMER LOAN PR 4 A 144A 2.4500 394,721 394,678 397,140 SOLERA 6/21 (USD) COV-LITE TL 0.0000 500,000 497,500 501,190 SOPHOS GROUP 1/20 (USD) COV-LI 0.0000 303,710 302,453 301,548 SOUND PHYSICIANS 6/18 TL 0.0000 131,288 131,101 130,740 SOUNDVIEW HOME LO NLC1 A1 144A 0.1493 29,779 30,582 11,969 SOUNDVIEW HOME LOAN T OPT4 2A4 0.5493 1,280,715 1,221,400 1,255,557 SOUNDVIEW HOME LOAN TRU WF2 M2 0.4943 1,900,000 1,803,320 1,860,950 SOUTHERN CALIFORNIA EDISON CO 3.6500 860,000 941,431 860,073 SOUTHERN CALIFORNIA EDISON CO 4.0000 120,000 124,589 126,228 SOUTHERN CALIFORNIA EDISON CO 4.1250 105,000 101,165 111,897 SOUTHERN CALIFORNIA EDISON CO 4.8750 445,000 586,338 526,516 SOUTHERN CALIFORNIA EDISON CO 5.5000 310,000 343,102 388,070 SOUTHERN CALIFORNIA EDISON CO 6.0500 1,800,000 2,327,298 2,419,506 SOUTHERN CALIFORNIA GAS CO 4.3000 130,000 140,616 162,219 SOUTHERN CO GAS CAPITAL CORP 3.2500 430,000 429,084 465,873 SOUTHERN CO GAS CAPITAL CORP 3.9500 100,000 107,353 111,191 SOUTHERN CO GAS CAPITAL CORP 4.4000 660,000 658,581 776,745 SOUTHERN CO/THE 4.4000 125,000 139,404 146,796 SOUTHERN COPPER CORP 3.8750 186,000 204,810 202,370 SOUTHERN COPPER CORP 5.8750 149,000 212,233 208,600 SOUTHERN COPPER CORP 6.7500 50,000 73,751 71,225 SOUTHERN NATURAL GAS CO L 144A 0.6250 125,000 124,982 125,118 SOUTHERN POWER CO 0.9000 256,000 255,432 251,197 SOUTHERN POWER CO 5.1500 260,000 259,033 317,082 SOUTHWEST GAS CORP 2.2000 75,000 75,811 74,650 SOUTHWESTERN ELECTRIC POWER CO 1.6500 260,000 259,975 263,124 SOUTHWESTERN ENERGY CO 6.4500 1,145,000 1,036,424 1,267,515 SOUTHWESTERN PUBLIC SERVICE CO 3.7500 100,000 98,787 114,140 SPECIALTY BUILDING PRODUC 144A 6.3750 375,000 384,623 392,706 SPECTRUM BRANDS INC 144A 5.0000 1,570,000 1,582,535 1,664,200 SPECTRUM BRANDS INC 144A 5.5000 850,000 850,024 915,875 SPEEDWAY MOTORSPORTS LLC 144A 4.8750 70,000 69,316 70,613 SPIRIT AIRLINES PASS THROUGH T 3.3750 2,148,055 2,148,200 2,180,218 SPIRIT REALTY LP 4.4500 200,000 198,387 223,043 SPRINT CAPITAL CORP 6.8750 840,000 759,774 1,077,300 SPRINT COMMUNICATIONS INC 6.0000 150,000 158,996 158,813 SPRINT COMMUNICATIONS INC 11.5000 600,000 620,630 622,372 SPRINT CORP 7.1250 29,000 27,430 33,459 SPRINT CORP 7.2500 700,000 708,719 710,346 SPRINT CORP 7.8750 5,096,000 5,620,896 5,789,443 SPRINT SPECTRUM CO LLC / 144A 3.3600 57,813 57,789 58,132 SRAM 5/21 TLB 0.0000 379,518 378,725 377,620 SRS DISTRIBUTION 6/21 COV-LITE 0.0000 475,000 471,438 474,473 SRS DISTRIBUTION INC 144A 4.6250 140,000 140,001 143,150 SS&C TECHNOLOGIES 10/18 ADD-ON 0.0000 555,464 554,673 548,782 SS&C TECHNOLOGIES INC 144A 5.5000 3,065,000 3,092,495 3,247,981 STACK INFRASTRUCTUR 1A A2 144A 1.8930 220,000 219,989 221,105 STACK INFRASTRUCTUR 2A A2 144A 3.0800 325,000 325,000 334,780 STANDARD INDUSTRIES INC/N 144A 3.3750 2,324,000 2,323,952 2,224,556 STANDARD INDUSTRIES INC/N 144A 4.7500 1,800,000 1,715,882 1,884,060 STANWICH MORTGAGE NPB1 A1 144A 3.3750 1,460,209 1,460,209 1,469,235 STAPLES 3/19 (7 YEAR) TL 0.0000 282,534 282,119 274,942 STAPLES INC 144A 7.5000 485,000 455,599 502,331 STAR 2021-1 TRUST 1 A1 144A 1.2190 246,136 246,131 246,781 STARBUCKS CORP 3.5000 500,000 566,747 538,624 STARM MORTGAGE LOAN TRUS 2 3A3 2.3158 46,377 47,600 35,367 STARWOOD MORTGAGE RE 3 A1 144A 1.4860 72,849 72,848 73,484 STARWOOD MORTGAGE RE 3 A1 144A 1.1270 328,000 327,995 327,995 STATE STREET CORP 3.1520 1,019,000 1,019,017 1,113,829 STEEL DYNAMICS INC 2.8000 500,000 499,737 527,728 STERICYCLE INC 144A 5.3750 110,000 110,006 113,025 STERIGENICS-NORDION/SOTERA 1/2 0.0000 1,615,000 1,615,000 1,607,603 STERIGENICS-NORDION/SOTERA 11/ 0.0000 304,765 305,172 305,146 STEVENS HOLDING CO INC 144A 6.1250 1,310,000 1,356,487 1,404,975 STL HOLDING CO LLC 144A 7.5000 180,000 180,002 188,331 STRUCTURED ADJUSTABLE R 18 6A1 2.9848 116,422 107,375 112,869 STRUCTURED ADJUSTABLE RA 13 A2 0.3893 2,379 2,227 2,264 STRUCTURED ASSET INVES BNC3 A3 0.2393 195,828 171,473 192,139 STRUCTURED ASSET MORTG AR5 1A1 0.5093 141,488 111,486 123,233 STRUCTURED ASSET MORTGA AR4 A1 0.7093 30,364 27,854 29,282 STRUCTURED ASSET MORTGA AR5 A1 0.5891 17,075 17,218 16,567 STRUCTURED ASSET MORTGA AR5 A2 0.5891 46,310 43,991 44,801 STRUCTURED ASSET MORTGA AR5 A3 0.5891 55,117 55,530 55,855 STRUCTURED ASSET SEC C 40A 3A1 2.8345 29,150 32,104 29,656 STRUCTURED ASSET SECU 7XS 2A1A 1.6003 40,707 40,904 40,898 STRYKER CORP 2.9000 1,100,000 1,102,343 1,099,618 STRYKER CORP 3.5000 200,000 200,140 220,782 STYROLUTION/INEOS QUATTRO 1/21 0.0000 125,000 124,375 124,570 SUBURBAN PROPANE PARTNERS 144A 5.0000 3,425,000 3,446,099 3,506,344 SUMMIT MATERIALS 11/17 0.0000 222,525 222,271 221,597

End of Month: 6/30/2021 Unaudited Holdings Report Page 32 of 57 Coupon Units Cost Market Value SUMMIT MATERIALS LLC / SU 144A 5.2500 1,945,000 1,975,958 2,066,426 SUNOCO LP / SUNOCO FINANCE COR 5.5000 35,000 35,006 36,068 SUNOCO LP / SUNOCO FINANCE COR 5.8750 25,000 25,007 26,563 SUNOCO LP / SUNOCO FINANCE COR 6.0000 100,000 100,111 104,575 SURGERY CENTER/SURGERY PARTNER 0.0000 405,796 404,827 407,253 SUTTER HEALTH 3.3610 33,000 32,999 35,021 SVB FINANCIAL GROUP 1.8000 1,205,000 1,201,197 1,152,607 SVB FINANCIAL GROUP 2.1000 635,000 634,270 644,045 SYNCHRONY FINANCIAL 2.8500 180,000 179,959 184,249 SYNCHRONY FINANCIAL 4.3750 95,000 94,868 103,398 SYNCHRONY FINANCIAL 5.1500 2,200,000 2,497,738 2,604,021 SYSCO CORP 2.4000 1,000,000 989,730 1,015,402 SYSCO CORP 3.7500 320,000 320,835 352,091 SYSCO CORP 6.6000 1,235,000 1,790,139 1,918,404 TALLGRASS ENERGY PARTNERS 144A 6.0000 1,380,000 1,361,530 1,423,997 TAMKO BUILDING 4/19 COV-LITE T 0.0000 620,955 616,858 619,018 TAMPA ELECTRIC CO 4.3000 100,000 99,491 122,951 TAPESTRY INC 4.1250 270,000 286,726 295,983 TARGA RESOURCES PARTNERS 144A 4.0000 3,597,000 3,586,336 3,700,054 TARGA RESOURCES PARTNERS LP / 5.0000 370,000 389,260 390,350 TARGA RESOURCES PARTNERS LP / 5.3750 760,000 778,909 791,350 TARGA RESOURCES PARTNERS LP / 5.5000 875,000 875,290 962,203 TARGA RESOURCES PARTNERS LP / 5.8750 1,725,000 1,763,986 1,811,785 TARGA RESOURCES PARTNERS LP / 6.5000 1,390,000 1,446,280 1,506,371 TAYLOR MORRISON COMMUNITI 144A 5.1250 65,000 65,324 70,452 TAYLOR MORRISON COMMUNITI 144A 5.7500 265,000 270,200 299,185 TBW MORTGAGE-BACKED TRUS 6 A6B 6.2800 1,005,711 155,991 193,798 TEACHERS INSURANCE & ANNU 144A 6.8500 64,000 72,406 97,048 TECTA AMERICA 3/21 COV-LITE TL 0.0000 480,000 475,200 480,600 TECTUM HOLDINGS/TRUCK HERO 1/2 0.0000 115,000 115,000 114,943 TELEDYNE FLIR LLC 2.5000 1,220,000 1,197,511 1,229,229 TELEDYNE TECHNOLOGIES INC 2.7500 1,285,000 1,305,793 1,319,885 TELENET 1/20 (USD) AR TL 0.0000 205,000 204,488 202,028 TEMPO ACQUISITION 5/17 0.0000 575,136 562,446 574,060 TEMPO ACQUISITION LLC / T 144A 6.7500 395,000 398,476 401,668 TENET HEALTHCARE CORP 144A 6.1250 3,918,000 4,050,989 4,175,178 TENET HEALTHCARE CORP 144A 6.2500 120,000 124,789 125,250 TENET HEALTHCARE CORP 144A 7.5000 1,526,000 1,592,108 1,648,278 TENNESSEE GAS PIPELINE CO LLC 7.0000 2,600,000 3,215,917 3,368,937 TERRIER MEDIA/COX MEDIA 2/21 C 0.0000 241,944 240,935 240,598 TEXAS HEALTH RESOURCES 2.3280 40,000 39,999 36,256 TEXAS INSTRUMENTS INC 1.3750 220,000 219,755 224,599 TEXAS INSTRUMENTS INC 1.7500 190,000 189,814 189,046 TEXAS INSTRUMENTS INC 4.1500 90,000 115,922 114,154 THERMO FISHER SCIENTIFIC INC 2.9500 1,060,000 1,052,682 1,143,061 THERMO FISHER SCIENTIFIC INC 4.1000 865,000 1,076,600 1,053,308 THERMO FISHER SCIENTIFIC INC 4.1330 225,000 225,000 249,461 TIME WARNER CABLE LLC 4.5000 1,280,000 1,189,479 1,422,780 TIME WARNER ENTERTAINMENT CO L 8.3750 2,245,000 2,416,249 2,536,836 TK ELEVATOR US NEWCO INC 144A 5.2500 200,000 200,000 210,750 T-MOBILE USA INC 1.5000 45,000 44,938 45,344 T-MOBILE USA INC 2.2500 600,000 599,959 594,195 T-MOBILE USA INC 2.5500 4,000,000 3,992,463 4,044,800 T-MOBILE USA INC 2.6250 250,000 250,001 255,625 T-MOBILE USA INC 3.3000 1,460,000 1,469,147 1,457,591 T-MOBILE USA INC 3.5000 2,465,000 2,495,069 2,671,678 T-MOBILE USA INC 3.7500 4,050,000 4,286,129 4,475,250 T-MOBILE USA INC 3.8750 2,786,000 2,869,209 3,114,247 T-MOBILE USA INC 4.3750 2,430,000 2,424,780 2,848,689 T-MOBILE USA INC 144A 2.2500 195,000 195,473 196,463 TMS INTERNATIONAL CORP/DE 144A 6.2500 1,520,000 1,523,047 1,596,000 TMSQ 2014-1500 MOR 1500 D 144A 3.8349 300,000 305,702 290,928 TOLEDO EDISON CO/THE 6.1500 170,000 169,813 232,964 TOLL BROTHERS FINANCE CORP 5.8750 250,000 251,747 255,028 TOSCA 2/21 COV-LITE TL 0.0000 259,350 255,460 259,026 TOWD POINT MORTGA HY3 A1A 144A 1.0893 5,246,179 5,223,191 5,285,251 TOWD POINT MORTGAG HY2 A1 144A 1.0893 2,199,701 2,216,049 2,216,436 TOWD POINT MORTGAGE 1 A1 144A 3.0000 77,880 77,830 79,933 TOWD POINT MORTGAGE 1 A1B 144A 2.7500 5,060 5,109 5,069 TOWD POINT MORTGAGE 2 A1 144A 2.7500 315,494 316,260 319,888 TOWD POINT MORTGAGE 2 A1A 144A 2.7500 87,471 88,172 88,240 TOWD POINT MORTGAGE 3 A1 144A 2.2500 32,514 32,381 32,633 TOWD POINT MORTGAGE 3 A1 144A 2.7500 1,210,092 1,216,758 1,233,468 TOWD POINT MORTGAGE 4 A1 144A 1.7500 246,201 250,801 248,952 TOWD POINT MORTGAGE 4 A1 144A 2.7500 6,089,541 6,272,504 6,261,193 TOWD POINT MORTGAGE 4 A1 144A 2.9000 263,257 273,563 272,245 TOWD POINT MORTGAGE 5 A1 144A 0.6893 1,125,045 1,121,013 1,125,101 TOWD POINT MORTGAGE 6 A1 144A 2.7500 112,058 112,362 114,765 TOWD POINT MORTGAGE 6 A1 144A 3.5000 39,373 40,291 39,623 TOYOTA MOTOR CREDIT CORP 0.8000 550,000 549,416 543,320 TOYOTA MOTOR CREDIT CORP REGS 0.7500 1,050,000 1,468,262 1,432,086 TRANSUNION 11/19 B5 COV-LITE 0.0000 184,344 184,059 182,988 TRAVELERS COS INC/THE 2.5500 415,000 411,893 400,426 TRAVERSE MIDSTREAM 9/17 TLB 0.0000 125,403 125,125 125,796 TREEHOUSE FOODS INC 4.0000 85,000 85,753 84,363

End of Month: 6/30/2021 Unaudited Holdings Report Page 33 of 57 Coupon Units Cost Market Value TRICO GROUP/FIRST BRANDS 3/21 0.0000 437,123 423,388 441,021 TRICORBRAUN 1/21 COV-LITE DELA 0.0000 55,088 55,088 54,654 TRICORBRAUN 1/21 COV-LITE TL 0.0000 244,912 243,687 242,985 TRIMBLE INC 4.1500 635,000 640,387 674,950 TRIMBLE INC 4.9000 760,000 837,739 891,350 TRINITY HEALTH CORP 2.6320 16,000 16,000 15,759 TRINITY HEALTH CORP 3.4340 19,000 19,000 20,636 TRINITY RAIL LEASING 1A A 144A 3.8980 0 0 0 TRONOX FINANCE 3/21 COV-LITE T 0.0000 161,648 161,517 160,494 TRONOX INC 144A 4.6250 3,545,000 3,545,000 3,580,379 TRUIST BANK 2.1500 1,500,000 1,498,173 1,569,369 TRUIST BANK 2.2500 2,162,000 2,158,952 2,193,377 TRUIST FINANCIAL CORP 1.2000 690,000 689,421 697,574 TRUIST FINANCIAL CORP 1.2670 400,000 400,000 399,551 TRUMAN CAPITAL MORTGA 1 A 144A 0.3493 126,056 101,791 125,130 TRUSTEES OF BOSTON COLLEGE 3.1290 600,000 599,984 634,315 TRUSTEES OF BOSTON UNIVERSITY 4.0610 625,000 625,038 766,555 TRUSTEES OF PRINCETON UNIVERSI 2.5160 109,000 109,000 107,834 TTX CO 144A 3.6000 355,000 364,710 387,608 TUCSON ELECTRIC POWER CO 1.5000 125,000 124,536 118,765 TUTOR PERINI CORP 144A 6.8750 2,131,000 2,136,263 2,192,266 TXU/TCEH 10/16 TRA EQUITY 0.0000 1,369,636 1,369,636 16,121 U.S.I. 8/17 INCREMENTAL TLB 0.0000 272,170 271,437 269,492 UBER TECHNOLOGIES INC 144A 6.2500 435,000 435,187 468,151 UBER TECHNOLOGIES INC 144A 7.5000 1,815,000 1,839,306 1,958,748 UBER TECHNOLOGIES INC 144A 8.0000 1,050,000 1,044,398 1,131,375 UFINET/ZACAPA 6/18 TLB 0.0000 329,125 327,485 329,701 UGIENERGY 7/19 TLB 0.0000 240,713 239,830 240,412 ULTIMATE SOFTWARE 1/21 INCREME 0.0000 412,928 406,734 413,167 ULTIMATE SOFTWARE 3/19 0.0000 206,850 206,484 206,871 UNIFRAX 11/18 (USD) COV-LITE 0.0000 200,325 200,175 197,236 UNIFRAX 11/18 2ND LIEN 0.0000 125,000 121,571 116,954 UNION ELECTRIC CO 2.6250 20,000 19,904 19,096 UNION ELECTRIC CO 2.9500 100,000 99,923 107,124 UNION PACIFIC CORP 3.2500 860,000 859,211 931,505 UNION PACIFIC CORP 3.5500 175,000 174,536 194,298 UNION PACIFIC CORP 4.0500 725,000 724,548 827,411 UNION PACIFIC CORP 3.8390 175,000 194,901 199,237 UNITED AIR LINES 4/21 TLB 0.0000 330,000 328,350 334,033 UNITED AIR LINES/UNITED MILEAG 0.0000 160,000 156,800 170,746 UNITED AIRLINES 2014-1 CLASS A 4.0000 813,496 733,205 857,628 UNITED AIRLINES 2016-2 CLASS A 2.8750 2,770,943 2,823,051 2,828,326 UNITED AIRLINES 2020-1 CLASS A 5.8750 761,320 762,036 844,747 UNITED AIRLINES INC 144A 4.3750 1,200,000 1,199,998 1,242,216 UNITED PARCEL SERVICE INC 5.3000 850,000 1,191,609 1,244,439 UNITED RENTALS 10/18 TLB 0.0000 1,250 1,250 1,255 UNITED RENTALS NORTH AMERICA I 3.8750 443,000 462,093 465,473 UNITED RENTALS NORTH AMERICA I 4.8750 400,000 404,483 424,200 UNITED RENTALS NORTH AMERICA I 5.8750 150,000 155,341 155,219 UNITED WHOLESALE MORTGAGE 144A 5.5000 335,000 335,003 334,923 UNITEDHEALTH GROUP INC 1.2500 40,000 39,876 40,370 UNITEDHEALTH GROUP INC 2.3000 385,000 384,966 394,273 UNITEDHEALTH GROUP INC 2.7500 95,000 92,346 96,207 UNITEDHEALTH GROUP INC 3.1250 565,000 636,797 582,839 UNITEDHEALTH GROUP INC 3.2500 565,000 564,130 602,724 UNITEDHEALTH GROUP INC 3.3500 390,000 389,921 402,415 UNITEDHEALTH GROUP INC 3.5000 1,800,000 1,783,470 2,011,663 UNITEDHEALTH GROUP INC 3.8750 290,000 369,858 343,939 UNITEDHEALTH GROUP INC 4.2500 340,000 335,023 415,930 UNITEDHEALTH GROUP INC 4.7500 210,000 232,115 275,277 UNITEDHEALTH GROUP INC 6.5000 1,045,000 1,162,474 1,561,779 UNIVAR SOLUTIONS USA INC/ 144A 5.1250 1,595,000 1,625,766 1,676,744 UNIVERSAL HEALTH SERVICES 144A 2.6500 1,185,000 1,190,276 1,191,553 UNIVERSAL SERVICES 4/21 INCREM 0.0000 244,949 244,337 245,562 UNIVERSITY OF CHICAGO/THE 2.5470 57,000 56,999 55,159 UNIVERSITY OF SOUTHERN CALIFOR 2.8050 107,000 106,998 108,590 UNIVERSITY OF SOUTHERN CALIFOR 2.9450 50,000 50,000 51,686 UNIVISION COMMUNICATIONS 144A 6.6250 4,070,000 4,301,365 4,410,049 UNIVISION COMMUNICATIONS 144A 9.5000 340,000 337,337 374,850 UPC FINANCING 4/21 AX TL 0.0000 840,000 831,600 834,120 UPSTART SECURITIZATIO 1 A 144A 2.3220 3,009,728 3,039,987 3,029,950 UPSTART SECURITIZATIO 2 A 144A 0.9100 379,212 379,201 379,504 UPSTART SECURITIZATIO 2 A 144A 2.8970 102,742 103,293 102,947 US AIRWAYS 2012-1 CLASS A PASS 5.9000 647,113 647,207 676,159 US AIRWAYS 2013-1 CLASS A PASS 3.9500 463,532 483,784 466,858 US AIRWAYS 2013-1 CLASS B PASS 5.3750 279,259 279,878 280,071 US FOODS 6/16 COV-LITE TLB 0.0000 428,117 427,897 423,656 US FOODS INC 144A 4.7500 2,020,000 2,020,032 2,060,400 US LBM 12/20 DELAYED TL 0.0000 45,128 44,677 44,780 US LBM 12/20 TLB 0.0000 203,077 201,046 201,511 USA COMPRESSION PARTNERS LP / 6.8750 1,882,000 1,919,435 1,993,422 UTAH ACQUISITION SUB INC 3.9500 100,000 101,928 110,154 VALERO ENERGY CORP 1.2000 1,750,000 1,749,035 1,765,140 VALERO ENERGY CORP 2.7000 225,000 224,848 233,266 VANTAGE DATA CENTER 1A A2 144A 3.1880 230,692 230,692 238,753

End of Month: 6/30/2021 Unaudited Holdings Report Page 34 of 57 Coupon Units Cost Market Value VANTAGE DATA CENTER 1A A2 144A 1.6450 470,000 470,000 471,249 VENTAS REALTY LP 2.6500 250,000 249,105 262,940 VENTAS REALTY LP 4.1250 1,500,000 1,494,184 1,676,139 VEREIT OPERATING PARTNERSHIP L 4.6250 1,200,000 1,186,249 1,358,646 VEREIT OPERATING PARTNERSHIP L 4.8750 100,000 102,760 115,237 VERISIGN INC 2.7000 430,000 428,769 436,850 VERISIGN INC 4.7500 418,000 440,909 443,603 VERISIGN INC 5.2500 439,000 492,180 498,568 VERISK ANALYTICS INC 5.5000 225,000 279,339 302,421 VERIZON COMMUNICATIONS INC 0.8000 250,000 250,000 254,604 VERIZON COMMUNICATIONS INC 0.8750 1,040,000 1,148,864 1,237,983 VERIZON COMMUNICATIONS INC 1.4500 445,000 444,170 448,784 VERIZON COMMUNICATIONS INC 1.5000 2,000,000 1,997,943 1,910,963 VERIZON COMMUNICATIONS INC 2.1000 300,000 299,868 306,275 VERIZON COMMUNICATIONS INC 2.5500 4,125,000 4,108,338 4,216,266 VERIZON COMMUNICATIONS INC 2.6500 1,225,000 1,196,741 1,178,839 VERIZON COMMUNICATIONS INC 2.8750 110,000 109,718 104,491 VERIZON COMMUNICATIONS INC 3.0000 200,000 198,262 186,678 VERIZON COMMUNICATIONS INC 3.1500 4,462,000 4,744,271 4,817,939 VERIZON COMMUNICATIONS INC 3.5500 260,000 257,685 277,775 VERIZON COMMUNICATIONS INC 3.7000 310,000 306,875 332,028 VERIZON COMMUNICATIONS INC 4.1250 2,074,000 2,523,771 2,449,255 VERIZON COMMUNICATIONS INC 4.2720 432,000 404,263 514,004 VERIZON COMMUNICATIONS INC 4.4000 115,000 114,175 136,989 VERIZON COMMUNICATIONS INC 4.5220 575,000 680,641 711,311 VERIZON COMMUNICATIONS INC 4.7500 370,000 417,863 466,771 VERIZON COMMUNICATIONS INC 4.8620 619,000 590,929 800,855 VERIZON COMMUNICATIONS INC 0.8500 200,000 199,982 197,810 VERIZON COMMUNICATIONS INC 4.0160 1,518,000 1,585,846 1,740,566 VERIZON COMMUNICATIONS INC 2.9870 813,000 886,655 764,251 VERSCEND/COTIVITI 2/21 TLB1 0.0000 125,278 125,278 125,479 VERUS SECURITIZATIO R1 A1 144A 0.8200 330,349 330,346 330,065 VERUS SECURITIZATIO R3 A1 144A 1.0200 239,209 239,208 238,961 VERUS SECURITIZATION 1 A1 144A 0.8150 159,257 159,254 159,102 VERUS SECURITIZATION 3 A1 144A 2.7840 147,826 147,825 149,682 VERUS SECURITIZATION 4 A1 144A 2.6420 149,531 149,531 152,031 VERUS SECURITIZATION 4 A1 144A 1.5020 146,779 146,777 147,620 VF CORP 2.0500 335,000 334,975 339,540 VF CORP 2.4000 300,000 299,599 314,588 VIACOMCBS INC 4.9500 2,020,000 1,983,744 2,434,743 VIATRIS INC 144A 1.6500 65,000 64,885 65,746 VIATRIS INC 144A 3.8500 900,000 987,917 957,133 VIATRIS INC 144A 4.0000 1,770,000 1,812,849 1,871,826 VICTORS MERGER CORP 144A 6.3750 95,000 95,000 95,713 VINE ENERGY HOLDINGS LLC 144A 6.7500 1,740,000 1,740,018 1,831,350 VIRGINIA ELECTRIC AND POWER CO 2.4500 1,115,000 1,097,467 1,027,238 VIRGINIA ELECTRIC AND POWER CO 3.3000 30,000 33,201 32,344 VIRGINIA ELECTRIC AND POWER CO 4.0000 945,000 944,785 1,111,184 VIRGINIA ELECTRIC AND POWER CO 4.6000 675,000 829,224 871,537 VIRGINIA ELECTRIC AND POWER CO 6.0000 320,000 311,481 444,767 VISA INC 2.0000 117,000 115,773 103,300 VISA INC 2.1500 440,000 439,641 449,571 VISA INC 2.7000 85,000 84,404 87,867 VISA INC 3.6500 345,000 422,001 404,013 VISA INC 4.3000 150,000 193,279 192,509 VISTRA OPERATIONS CO LLC 144A 5.0000 4,080,000 4,195,893 4,188,650 VIVINT/APX 2/20 COV-LITE TL 0.0000 253,571 249,653 253,929 VM CONSOLIDATED INC 144A 5.5000 2,250,000 2,250,042 2,289,375 VMWARE INC 2.9500 200,000 197,723 205,181 VMWARE INC 3.9000 1,590,000 1,587,273 1,767,035 VMWARE INC 4.5000 520,000 580,276 580,739 VMWARE INC 4.6500 1,590,000 1,742,978 1,824,806 VMWARE INC 4.7000 700,000 820,814 828,253 VOLKSWAGEN GROUP OF AMERI 144A 2.8500 400,000 424,553 422,384 VOLKSWAGEN GROUP OF AMERI 144A 3.3500 1,800,000 1,798,512 1,942,393 VORNADO REALTY LP 2.1500 1,377,000 1,375,151 1,395,497 VORNADO REALTY LP 3.5000 2,679,000 2,673,255 2,852,043 W R BERKLEY CORP 3.5500 95,000 94,612 101,020 WACHOVIA MORTGAGE LOAN T B 3A1 2.7956 2,382 2,382 2,441 WALGREENS BOOTS ALLIANCE INC 3.3000 200,000 199,967 201,234 WALMART INC 2.9500 235,000 234,901 248,942 WALMART INC 3.4000 2,245,000 2,247,013 2,378,347 WALMART INC 4.0500 300,000 392,517 376,801 WALT DISNEY CO/THE 1.7500 225,000 224,531 231,349 WALT DISNEY CO/THE 2.6500 3,900,000 3,897,711 4,093,413 WALT DISNEY CO/THE 2.7500 1,100,000 1,083,746 1,085,645 WAMU MORTGAGE PASS-T AR19 A1A1 0.6293 8,920 9,590 9,067 WAMU MORTGAGE PASS-TH AR10 1A2 3.0244 34,132 26,340 33,694 WAMU MORTGAGE PASS-TH AR18 1A1 2.5614 75,329 73,735 75,108 WAMU MORTGAGE PASS-TH AR18 2A3 2.6450 11,014 10,211 9,942 WAMU MORTGAGE PASS-TH AR2 2A1A 0.7093 41,164 44,599 41,008 WAMU MORTGAGE PASS-THR AR17 1A 1.3071 16,942 19,465 16,693 WAMU MORTGAGE PASS-THR HY1 1A1 2.9209 41,914 30,989 39,528 WAMU MORTGAGE PASS-THR HY7 4A1 3.0511 13,657 11,698 13,778 WAMU MORTGAGE PASS-THRO AR9 1A 1.1071 43,331 47,972 43,250

End of Month: 6/30/2021 Unaudited Holdings Report Page 35 of 57 Coupon Units Cost Market Value WAMU MORTGAGE PASS-THROU AR2 A 1.5560 53,612 41,822 54,732 WASH MULTIFAMILY ACQUISIT 144A 5.7500 3,255,000 3,352,049 3,398,546 WASHINGTON GAS LIGHT CO 3.6500 20,000 19,901 22,416 WASHINGTON MUTUAL MORT OA3 4A1 0.8771 1,109,539 1,067,664 980,658 WASHINGTON MUTUAL MORTG 5 2CB1 6.0000 396,809 303,630 345,153 WASHINGTON MUTUAL MORTG OA3 2A 0.8571 263,123 234,808 240,350 WASHINGTON MUTUAL MORTG OC1 A1 0.3293 158,745 145,480 161,279 WASHINGTON MUTURAL ASS HE5 2A1 0.1493 47,214 49,525 23,854 WATCO COS LLC / WATCO FIN 144A 6.5000 3,940,000 3,939,971 4,215,800 WATLOW 3/21 TLB 0.0000 210,000 208,950 210,437 WEBER-STEPHEN 10/20 COV-LITE T 0.0000 189,525 188,577 189,762 WEC ENERGY GROUP INC 0.8000 165,000 164,939 165,381 WEIGHT WATCHERS 3/21 TLB 0.0000 350,000 348,250 349,825 WEIGHT WATCHERS 4/21 COV-LITE 0.0000 350,000 348,250 350,875 WELLS FARGO & CO 3.0000 350,000 349,927 375,575 WELLS FARGO & CO 3.3000 300,000 298,760 323,438 WELLS FARGO & CO 3.5500 1,500,000 1,505,207 1,648,654 WELLS FARGO & CO 3.7500 900,000 899,096 967,904 WELLS FARGO & CO 4.1250 680,000 689,977 731,214 WELLS FARGO & CO 4.6500 1,035,000 1,037,641 1,275,163 WELLS FARGO & CO 5.6060 939,000 1,007,210 1,283,260 WELLS FARGO & CO 1.6540 340,000 340,000 347,272 WELLS FARGO & CO 3.5840 400,000 400,000 440,676 WELLS FARGO & CO 2.4060 790,000 789,855 826,554 WELLS FARGO & CO 2.1640 250,000 250,000 259,479 WELLS FARGO & CO 2.1880 2,150,000 2,171,961 2,232,116 WELLS FARGO & CO 3.0680 1,210,000 1,210,441 1,241,077 WELLS FARGO & CO 2.3930 7,920,000 7,920,000 8,213,796 WELLS FARGO & CO 0.8050 435,000 435,000 434,049 WELLS FARGO & CO 5.0130 500,000 684,167 684,920 WELLS FARGO & CO REGS 0.5000 2,300,000 2,455,582 2,769,793 WELLS FARGO & CO REGS 2.0000 690,000 775,525 886,829 WELLS FARGO BANK NA 3.5500 1,500,000 1,498,862 1,596,908 WELLS FARGO BANK NA 2.0820 700,000 700,000 702,334 WELLS FARGO COMMERCIA NXS3 ASB 3.3710 335,253 347,725 355,350 WELLS FARGO MORTGAGE B AR5 2A1 2.6339 82,212 80,829 81,436 WELLTOWER INC 3.6250 415,000 422,317 444,950 WELLTOWER INC 4.2500 1,060,000 1,051,636 1,215,099 WESTERN DIGITAL CORP 4.7500 1,500,000 1,500,004 1,666,875 WESTERN MIDSTREAM OPERATING LP 4.3500 525,000 528,834 554,710 WESTERN MIDSTREAM OPERATING LP 5.3000 1,090,000 945,702 1,182,852 WESTERN MIDSTREAM OPERATING LP 5.5000 245,000 245,616 266,656 WESTERN MIDSTREAM OPERATING LP 6.5000 1,060,000 909,045 1,227,305 WESTERN UNION CO/THE 2.8500 300,000 299,680 317,161 WESTINGHOUSE AIR BRAKE TECHNOL 3.2000 880,000 895,609 935,880 WESTINGHOUSE AIR BRAKE TECHNOL 3.4500 700,000 642,235 751,293 WESTINGHOUSE AIR BRAKE TECHNOL 4.4000 200,000 197,624 216,698 WESTINGHOUSE/BROOKFIELD WEC 1/ 0.0000 346,881 346,458 343,315 WESTLAKE AUTOMOBIL 2A A2A 144A 0.3200 1,215,000 1,214,888 1,215,124 WESTLAKE AUTOMOBILE 2A B 144A 0.6200 800,000 799,950 799,835 WESTLAKE AUTOMOBILE 2A C 144A 2.8400 2,825,000 2,884,876 2,864,471 WESTLAKE AUTOMOBILE 3A A2 144A 0.5600 1,316,992 1,319,690 1,319,363 WESTLAKE CHEMICAL CORP 4.3750 220,000 240,529 258,014 WESTLAKE CHEMICAL CORP 5.0000 105,000 124,116 132,769 WEYERHAEUSER CO 4.0000 3,905,000 3,983,701 4,449,773 WEYERHAEUSER CO 7.3750 4,421,000 5,251,502 6,379,664 WFRBS COMMERCIAL MORTGAG C13 B 3.5530 350,000 343,693 362,964 WHEELS SPV 2 LLC 1A A 144A 0.3636 4,618,425 4,618,425 4,623,498 WHITE CAP 10/20 COV-LITE TL 0.0000 228,850 226,562 229,136 WILLIAMS COS INC/THE 3.5000 1,250,000 1,353,045 1,364,294 WILLIAMS COS INC/THE 3.6000 2,300,000 2,301,724 2,338,602 WILLIAMS COS INC/THE 3.7500 205,000 221,784 227,747 WILLIAMS COS INC/THE 4.5500 1,525,000 1,567,365 1,680,109 WILLIAMS COS INC/THE 5.1000 925,000 1,017,933 1,149,482 WILLIAMS COS INC/THE 5.8000 100,000 124,157 131,487 WILLIAMS SCOTSMAN INTERNA 144A 4.6250 1,330,000 1,334,142 1,373,491 WILLIS NORTH AMERICA INC 2.9500 290,000 296,901 304,504 WILLIS NORTH AMERICA INC 3.6000 200,000 199,635 214,845 WILSONART INTERNATIONAL 3/21 T 0.0000 844,363 840,142 843,907 WINDSTREAM ESCROW LLC / W 144A 7.7500 1,340,000 1,339,954 1,380,200 WIRECO WORLD GROUP 9/16 0.0000 148,116 147,637 148,062 WISCONSIN POWER AND LIGHT CO 3.0000 200,000 199,521 215,944 WISCONSIN PUBLIC SERVICE CORP 3.3000 100,000 108,633 107,148 WOLVERINE WORLD WIDE INC 144A 6.3750 860,000 860,008 914,928 WP CAREY INC 4.0000 1,240,000 1,238,201 1,352,309 WP CAREY INC 4.2500 1,680,000 1,645,093 1,887,121 WRIGHT EXPRESS 4/21 COV-LITE T 0.0000 480,000 477,600 476,102 WRKCO INC 3.0000 300,000 300,437 317,608 WRKCO INC 4.6500 5,480,000 5,475,328 6,281,268 XCEL ENERGY INC 3.4000 500,000 542,734 548,068 XCEL ENERGY INC 3.5000 1,000,000 1,120,326 1,079,164 XEROX CORP 4.3750 220,000 211,601 229,755 XEROX HOLDINGS CORP 144A 5.0000 3,425,000 3,435,621 3,615,499 XILINX INC 2.3750 523,000 541,179 531,634 XPO LOGISTICS INC 144A 6.2500 1,060,000 1,060,715 1,127,575

End of Month: 6/30/2021 Unaudited Holdings Report Page 36 of 57 Coupon Units Cost Market Value XYLEM INC/NY 1.9500 2,610,000 2,659,685 2,633,559 YALE UNIVERSITY 2.4020 21,000 21,000 20,378 YALE-NEW HAVEN HEALTH SERVICES 2.4960 35,000 35,000 32,150 YUM! BRANDS INC 144A 7.7500 10,000 10,000 10,875 ZAYO 2/20 (USD) COV-LITE TL 0.0000 473,414 472,668 468,126 ZELIS/REDCARD 2/21 COV-LITE TL 0.0000 592,515 587,754 590,441 ZIMMER BIOMET HOLDINGS INC 3.5500 3,760,000 3,899,724 4,098,363 ZOETIS INC 3.9000 255,000 254,638 289,925 ZOETIS INC 4.4500 200,000 201,652 254,677 ZOETIS INC 4.5000 1,240,000 1,238,563 1,405,180 ZOETIS INC 4.7000 760,000 835,005 977,051 ZUFFA 1/21 COV-LITE TLB 0.0000 351,750 345,455 351,145 Total of Domestic Corporate & Other Bonds 2,439,542,947 2,529,835,780

Positive Social Purpose Investments 3.52%

CCRC-2802 PICO (AHF) 5.8200 698,145 698,145 775,284 CCRC-BOYLE HOTEL (AHF) 5.8100 973,772 973,772 1,078,890 CCRC-CHARLESTON PLACE (AHF) 4.7300 447,814 447,814 497,221 CCRC-ENCANTO DEL MAR APA (AHF) 6.4400 805,424 813,252 1,008,769 CCRC-GRAND AND VENICE FA (AHF) 6.3500 619,650 630,512 701,741 CCRC-NORMANDIE TERRACE (AHF) 5.6900 2,865,235 2,865,235 3,122,791 CCRC-ORANGE TREE VILLAGE (AHF) 5.3900 370,104 370,104 442,741 CCRC-SIERRA VILLAGE (AHF) 5.7800 927,765 946,572 1,059,962 CCRC-ST. STEPHENS SENIOR (AHA) 6.4700 1,105,296 1,131,871 1,253,538 CCRC-VERMONT (AHF) 5.6800 1,571,241 1,571,241 1,708,442 CDT PRAIRIE COMMONS (AHF) 6.3400 2,300,984 2,300,984 2,543,047 CDT-ATLAS VILLAGE (AHA) 6.0500 1,266,773 1,266,773 1,473,878 CDT-BANYAN TRACE (AHF) 6.0500 515,489 515,489 577,822 CDT-BIRCHWOOD (AHF) 6.2200 573,733 573,733 638,352 CDT-BRADENTON VILLAGE (AHF) 7.5500 1,800,373 1,800,373 2,302,461 CDT-BROKENBURR (AHF) 6.1100 573,716 573,716 661,758 CDT-BROOKSTONE PARK (AHF) 6.1100 1,683,603 1,683,603 1,978,386 CDT-CEDAR PARK (AHF) 6.0300 1,034,674 1,034,674 1,198,111 CDT-CHRISTIANA VILLAGE (AHF) 6.0600 1,406,784 1,406,784 1,597,417 CDT-COLUMBIA PLACE (AHF) 6.3400 1,472,234 1,472,234 1,665,656 CDT-COLUMBUS PARK LOFTS (AHF) 5.0400 5,137,489 5,137,489 5,373,248 CDT-EDEN PLACE (AHA) 6.3900 731,811 731,811 788,050 CDT-EDGEWOOD APARTMENTS (AHF) 6.0400 678,174 678,174 761,990 CDT-FAIR HAVEN APTS (AHF) 4.9500 5,706,332 5,706,332 5,922,887 CDT-GARDEN COURT APTS (AHF) 4.7700 2,674,911 2,674,911 2,726,697 CDT-GEORGETOWN APT (AHF) 6.1900 1,174,461 1,174,461 1,354,506 CDT-GILCREASE HILLS ESTA (AHF) 6.1100 1,676,684 1,676,684 1,950,335 CDT-GLASTONBURY MANOR (AHF) 6.0900 1,604,034 1,604,034 1,827,236 CDT-HERITAGE PLACE (AHF) 6.1100 1,114,037 1,114,037 1,314,151 CDT-HERITAGE VILLAGE (AHF) 5.9300 607,923 607,923 688,035 CDT-HICKORY HOLLOW (AHF) 6.0500 209,295 209,295 232,715 CDT-JACOB'S HILL VILLAGE (AHA) 6.1100 3,427,602 3,427,602 3,925,324 CDT-JOHNSON PARK LOFTS (AHF) 6.0200 713,264 713,264 827,408 CDT-KATHLEEN CORNERS (AHF) 6.1100 924,009 924,009 1,012,030 CDT-KINGSWOOD VILLAGE (AHF) 6.6800 1,727,799 1,727,799 2,068,383 CDT-LYONS ESTATE (AHF) 6.0500 1,233,309 1,233,309 1,378,777 CDT-MADISON HEIGHTS II (AHF) 4.9500 1,304,914 1,304,914 1,354,449 CDT-MAGNOLIA PLACE II (AHF) 6.1100 1,104,738 1,104,738 1,273,907 CDT-MINTBROOK SR APTS (AHA) 4.7800 5,197,473 5,197,473 5,320,498 CDT-MISSION OAKS (AHF) 6.1200 352,052 352,052 372,509 CDT-MOUNTAIN SENIOR (AHA) 6.1500 422,033 422,033 460,514 CDT-MUSKOGEE (AHF) 6.0100 685,604 685,604 691,548 CDT-NORTH RED OAK APTS (AHF) 6.0500 1,389,578 1,389,578 1,561,678 CDT-NRLP XVIII (AHF) 6.3000 130,455 130,455 135,206 CDT-PARKSIDE TERRACE (AHF) 5.0400 1,585,349 1,585,349 1,651,966 CDT-PECAN GROVE (AHF) 6.0500 414,280 414,280 476,903 CDT-PERSHING COURT (AHF) 6.3300 825,375 825,375 931,015 CDT-PHOENIX (AHF) 6.2200 106,502 106,502 118,497 CDT-RIVER HILL (AHF) 6.4100 3,503,996 3,503,996 3,936,844 CDT-SAN DIEGO CREEK (AHF) 6.1400 733,332 733,332 859,136 CDT-SANTA FE COMMUNITY (AHF) 4.7200 2,557,448 2,557,448 2,607,471 CDT-SANTA RITA (AHA) 6.0500 917,754 917,754 1,017,615 CDT-SHADY GROVE (AHA) 6.1100 1,004,443 1,004,443 1,152,980 CDT-SHERMAN FOREST (AHF) 6.1100 316,221 316,221 361,400 CDT-SOCORRO PALMS APTS (AHF) 4.9500 4,054,031 4,054,031 4,207,841 CDT-STERLING PLACE (AHA) 4.8000 2,394,460 2,394,460 2,458,296 CDT-STONE HOLLOW (AHF) 6.0200 2,324,751 2,324,751 2,691,597 CDT-TOWNE PARK (AHA) 6.9300 760,386 760,386 846,523 CDT-TRENT CENTER EAST (AHA) 4.7700 6,499,944 6,499,944 6,650,288 CDT-VALLEY PARK (AHF) 6.1000 2,460,114 2,460,114 2,924,067 CDT-VERANDAS PUNTA GOR I(AHA) 4.9500 643,070 643,070 667,468 CDT-VILLAGE AT MORNINGST (AHA) 6.1100 1,801,494 1,801,494 2,095,516 CDT-VIRGIN ISLANDS CMTY (AHF) 6.4700 2,267,267 2,267,267 2,390,062 CDT-WESTERVILLE SENIOR (AHA) 6.0500 1,181,941 1,181,941 1,329,152 CDT-WESTVIEW RANCH APTS (AHF) 6.3500 966,585 966,585 1,114,077 CDT-WISDOM VLG CROSSING (AHF) 4.9500 2,993,826 2,993,826 3,107,441 CIC - 05-01 4.6700 10,062 10,062 10,062 CIC NON-RECOURSE COLLATERAL TR 4.4750 1,180 1,180 1,180

End of Month: 6/30/2021 Unaudited Holdings Report Page 37 of 57 Coupon Units Cost Market Value CIC NON-RECOURSE COLLATERAL TR 4.6770 3,544 3,544 3,544 CIC NON-RECOURSE COLLATERAL TR 5.0270 4,845 4,845 4,845 CIC NON-RECOURSE COLLATERAL TR 5.2100 4,243 4,243 4,243 CIC NON-RECOURSE COLLATERAL TR 5.3380 618 618 618 CIC NON-RECOURSE COLLATERAL TR 6.1960 835 835 835 CIC-05-02 4.5250 3,390 3,390 3,390 CIC-238 N. PINE (AHF) 5.8600 432,906 432,906 507,981 CIC-ROOSEVELT SQUARE I (AHF) 5.9300 1,520,605 1,520,605 1,649,385 CIC-WEST RIDGE SENIOR (AHA) 5.9200 656,845 656,845 656,937 CIN-A PLACE FOR US (AHA) 5.0500 917,968 917,968 955,256 CIN-ASHLEY SQUARE (AHA) 6.1300 217,033 217,033 254,223 CIN-BISHOP GARDENS (AHF) 4.9500 2,311,657 2,311,657 2,391,062 CIN-BRISTOL PLACE RESID (AHF) 5.4900 4,876,000 4,876,000 5,272,029 CIN-CLARK ESTES APTS (AHF) 5.2800 2,270,334 2,270,334 2,414,319 CIN-GREENHILL POINT (AHF) 4.5600 874,000 874,000 874,446 CIN-HOUSTON WHITTIER (AHF) 6.5600 302,005 302,005 365,694 CIN-KENDALL HOMES (AHF) 6.3100 376,410 376,410 443,361 CIN-LANDINGS AT BELLE (AHF) 4.8900 987,280 987,280 1,016,366 CIN-MAIN STREET APTS (AHF) 5.5700 3,750,840 3,750,840 4,086,690 CIN-MEADOWLANDS APTS (AHF) 6.4100 231,348 231,348 270,763 CIN-NEW PARKRIDGE HOMES (AHF) 5.0400 1,161,847 1,161,847 1,210,471 CIN-PABLO DAVIS ELDER CTR 5.4600 1,877,343 1,878,540 2,025,277 CIN-PARADISE POINT SRS(AHA) 4.9700 1,998,541 1,998,541 2,070,508 CIN-PARTNERSHIP PARK I (AHF) 6.1800 437,808 437,808 511,351 CIN-RIVERVIEW APTS (AHF) 6.7200 244,881 244,881 279,495 CIN-THIRTEEN31 PLACE APTS 4.1100 4,600,000 4,600,000 4,426,488 CIN-VILLAGE OF HILLSIDE (AHA) 4.9500 1,044,204 1,044,204 1,079,968 CIN-WEST ARBOR APTS (AHF) 4.9500 2,051,703 2,051,703 2,116,311 CPC - 850 LONGWOOD AVE (AHF) 4.5400 2,713,576 2,713,576 2,737,591 CPC - HANDS ACROSS LONG IS (AH 5.8500 2,940,841 2,940,841 2,999,276 CPC-150 LINDEN ST (AHF) 5.9800 323,247 323,247 374,440 CPC-233 LANDING ROAD (CF) 4.7200 17,758,438 17,758,438 18,123,907 CPC-260 WEST MAIN STREET (AHF) 4.4500 7,896,836 7,896,836 7,985,596 CPC-CONIFER VILLAGE (AHF) 6.4100 850,972 850,972 869,974 CPC-LAKEVIEW MACEDON (AHF) 4.4500 5,691,000 5,691,000 5,664,536 CPC-LOFTS ON MAIN (AHF) 4.5400 6,621,559 6,621,559 6,637,252 CPC-MONROE COMMONS (AHA) 7.5200 271,109 271,109 335,500 CPC-THE TRAILS AT MALONE (AHF) 4.5200 3,031,740 3,031,740 3,039,986 CPC-WATERS EDGE (AHA) 5.9200 666,691 666,691 772,641 CPC-WYNWOOD OAKS (AHA) 6.0000 1,069,243 1,069,243 1,072,365 CRF AFFORDABLE HOUSING NO 1 7.3750 257,575 257,575 298,476 CRF-BLANTON GREEN II (AHF) 6.5500 199,641 218,828 222,440 CRF-CANYON VIEW APTS. (AHA) 5.0925 140,800 129,663 156,455 CRF-ESCALANTE III (AHA) 4.9580 864,290 821,206 955,342 CRF-KAMUELA SENIOR (AHA) 6.1500 483,944 483,944 530,611 CRF-LEGION MANOR (AHA) 6.5500 190,825 211,320 213,021 CRF-MADISON GLEN APTS (AHF) 6.6250 2,838,913 2,860,327 3,182,989 CRF-MORNINGSIDE SENIOR (AHF) 6.1500 1,532,644 1,535,792 1,546,269 CRF-MYRTLE PLACE (AHF) 6.5500 153,005 173,960 171,107 CRF-PALMER GREEN (AHF) 6.5500 151,994 173,389 170,202 CRF-RIVER'S EDGE (AHF) 4.2700 786,370 786,370 766,145 CRF-RIVERVIEW GREEN (AHF) 6.5500 332,821 355,273 373,388 CRF-SHALLOTTE VILLAS (AHF) 6.5500 317,857 339,162 355,345 CRF-SHERYL L PARMLEE (AHA) 5.7500 367,526 367,526 441,954 CRF-WILLIAMS LANDING II (AHF) 6.2000 1,120,056 1,120,056 1,211,442 CRF-WILLOW RUN (AHF) 6.8000 118,339 133,561 147,655 GSC-ARBORPOINT APARTMENT (AHF) 5.0000 1,348,868 1,349,045 1,425,160 GSC-ASPENS AT SOUTHLAKE (AHF) 4.6200 1,104,142 1,104,158 1,130,796 GSC-HENDERSON VILLAGE (AHF) 4.8200 1,697,575 1,697,784 1,771,335 GSC-RIVERVIEW APTS (AHF) 4.7700 1,546,002 1,546,002 1,605,662 GSC-ST JOHN PLAZA APARTMENTS 5.0400 4,556,161 4,556,161 4,841,012 GSC-STFRANCIS & KING HILL(AH) 4.7700 2,891,627 2,891,627 3,003,243 GSC-SUTTERVIEW APTS (AHA) 4.6700 3,721,663 3,721,663 3,834,690 LIIF-FAC CENTER (CF) 6.2000 2,673,526 2,673,526 2,992,424 LIIF-FRIENDSHIP HOUSE AM (CF) 7.2300 1,336,874 1,336,874 1,577,992 LIIF-PROJECT HOSPITALITY (AHS) 6.2700 1,188,991 1,188,991 1,388,088 NHHFA-PARKHURST PLACE (AHF) 4.3200 4,160,737 4,160,737 4,046,192 Total of Positive Social Purpose Investments 222,518,675 237,084,098

4,294,588,976 4,392,721,819

29.41% Total of Domestic Fixed Income Securities International Fixed Income Securities International Securities ANGOLA ANGOLAN GOVERNMENT INTERN 144A 8.0000 5,350,000 5,378,075 5,483,108 ANGOLAN GOVERNMENT INTERN REGS 8.0000 2,485,000 1,333,013 2,546,827 ANGOLAN GOVERNMENT INTERN REGS 8.2500 1,805,000 1,301,648 1,882,290 ANGOLAN GOVERNMENT INTERN REGS 9.5000 430,000 336,577 470,321 ARGENTINA ARGENTINE BONOS DEL TESORO 15.5000 1,730,000 7,317 7,880

End of Month: 6/30/2021 Unaudited Holdings Report Page 38 of 57 Coupon Units Cost Market Value ARGENTINE REPUBLIC GOVERNMENT 0.5000 19,110,669 10,172,640 6,871,394 ARGENTINE REPUBLIC GOVERNMENT 1.0000 1,772,649 991,300 671,300 ARGENTINE REPUBLIC GOVERNMENT 1.1250 16,815,345 8,110,857 5,326,097 ARGENTINE REPUBLIC GOVERNMENT 1.5000 1,130,000 634,038 425,337 ARGENTINE REPUBLIC GOVERNMENT 2.5000 11,830,000 4,871,181 4,218,745 BONOS DEL TESORO NACIONAL EN P 36.1042 540,000 11,847 6,002 CIUDAD AUTONOMA DE BUENOS AIRE 39.1188 8,680,000 143,284 97,657 LETRAS DE LA NACION ARGENTINA 0.0000 15,160,000 175,233 175,393 PROVINCIA DE BUENOS AIRES 144A 37.8750 3,710,000 33,979 36,179 YPF SA 144A 8.5000 650,000 652,626 514,475 YPF SA REGS 8.5000 180,000 180,479 142,470 AUSTRALIA AUSTRALIA GOVERNMENT BOND REGS 0.2500 5,281,000 4,018,871 3,893,908 AUSTRALIA GOVERNMENT BOND REGS 1.0000 2,900,000 2,072,421 2,065,172 AUSTRALIA GOVERNMENT BOND REGS 2.7500 4,743,000 3,605,649 3,824,681 AUSTRALIA GOVERNMENT BOND REGS 3.0000 2,342,000 2,080,868 2,011,917 AUSTRALIA GOVERNMENT BOND REGS 3.2500 4,421,000 3,351,287 3,658,653 AUSTRALIA GOVERNMENT BOND REGS 5.7500 1,885,000 1,484,709 1,499,553 CCP_IRS. P AUD-BBR-BBSW 6M CME 1.7188 945,000 2,781 866 CCP_IRS. P AUD-BBR-BBSW 6M CME 0.5625 2,548,000 1,549 -37,554 CCP_IRS. P AUD-BBR-BBSW 6M CME 0.9688 4,401,000 1,147 -19,691 MACQUARIE GROUP LTD 144A 1.3400 155,000 155,000 153,698 PACIFIC NATIONAL FINANCE REGS 4.7500 2,200,000 2,129,451 2,398,686 SANTOS FINANCE LTD 144A 3.6490 1,700,000 1,703,054 1,740,025 SCENTRE GROUP TRUST 1 / S 144A 3.6250 345,000 343,259 377,093 SYDNEY AIRPORT FINANCE CO 144A 3.9000 2,300,000 2,301,338 2,420,612 WESTPAC BANKING CORP 2.0000 3,500,000 3,499,669 3,591,401 WESTPAC BANKING CORP 2.9630 40,000 40,000 39,300 WOODSIDE FINANCE LTD 144A 3.6500 200,000 200,391 213,532 WOODSIDE FINANCE LTD 144A 3.7000 1,690,000 1,689,663 1,814,435 AUSTRIA IOCHPE-MAXION AUSTRIA GMB 144A 5.0000 3,940,000 3,883,934 3,999,494 REPUBLIC OF AUSTRIA GOVER 144A 0.0000 1,255,000 1,506,730 1,488,069 REPUBLIC OF AUSTRIA GOVER 144A 0.7500 559,000 699,384 683,674 REPUBLIC OF AUSTRIA GOVER 144A 2.1000 126,000 164,042 246,131 REPUBLIC OF AUSTRIA GOVER 144A 2.4000 970,000 1,332,744 1,477,279 REPUBLIC OF AUSTRIA GOVER 144A 0.8500 106,000 117,143 114,497 BAHRAIN BAHRAIN GOVERNMENT INTERN REGS 6.1250 1,325,000 1,345,963 1,415,238 BAHRAIN GOVERNMENT INTERN REGS 6.7500 500,000 446,582 548,600 BELARUS REPUBLIC OF BELARUS INTER REGS 5.8750 1,250,000 1,201,633 1,153,375 REPUBLIC OF BELARUS INTER REGS 6.2000 500,000 485,940 433,700 REPUBLIC OF BELARUS INTER REGS 6.8750 2,225,000 2,218,579 2,207,022 REPUBLIC OF BELARUS INTER REGS 7.6250 2,455,000 2,514,269 2,386,653 REPUBLIC OF BELARUS MINIS 144A 5.8750 700,000 684,061 645,890 BELGIUM KINGDOM OF BELGIUM GOVERN 144A 0.0000 1,975,000 2,167,490 2,389,932 KINGDOM OF BELGIUM GOVERN 144A 0.9000 721,000 932,456 926,686 KINGDOM OF BELGIUM GOVERN 144A 1.0000 1,945,000 2,536,601 2,475,632 KINGDOM OF BELGIUM GOVERN 144A 1.7000 1,026,000 1,319,344 1,468,922 KINGDOM OF BELGIUM GOVERN 144A 4.2500 872,000 1,530,548 1,736,121 KINGDOM OF BELGIUM GOVERN 144A 5.0000 510,000 858,663 990,659 BERMUDA AIRCASTLE LTD 4.2500 360,000 365,099 390,934 AIRCASTLE LTD 144A 2.8500 750,000 737,656 753,707 ARCH CAPITAL GROUP LTD 3.6350 445,000 445,902 478,703 ATHENE HOLDING LTD 3.9500 160,000 158,971 171,182 BACARDI LTD 144A 2.7500 700,000 639,776 728,988 BERMUDA GOVERNMENT INTERN 144A 2.3750 200,000 199,788 199,500 FLY LEASING LTD 5.2500 200,000 165,428 201,500 GARDNER DENVER/INGERSOLL-RAND 0.0000 178,200 177,977 176,022 IHS MARKIT LTD 4.1250 285,000 284,944 304,209 IHS MARKIT LTD 4.7500 1,240,000 1,236,493 1,462,084 INVESTMENT ENERGY RESOURC 144A 6.2500 1,210,000 1,210,000 1,308,313 NABORS INDUSTRIES LTD 144A 7.2500 1,295,000 1,262,934 1,269,100 OOREDOO INTERNATIONAL FIN 144A 2.6250 240,000 237,465 242,813 RENAISSANCERE HOLDINGS LTD 3.6000 1,200,000 1,186,363 1,319,095 BOSNIA-HERZEGOVINIA REPUBLIC OF SRPSKA TREASU 144A 4.7500 2,800,000 3,338,272 3,320,503 BRAZIL BANCO BTG PACTUAL SA/CAYM 144A 4.5000 2,000,000 2,049,645 2,094,900 BANCO BTG PACTUAL SA/CAYM REGS 5.5000 2,050,000 2,050,875 2,160,208 BRAZIL NOTAS DO TESOURO NACION 10.0000 9,000,000 2,420,378 1,877,811 BRAZIL NOTAS DO TESOURO NACION 6.0000 34,549,000 21,303,177 26,660,959 BRAZILIAN GOVERNMENT INTERNATI 3.7500 7,362,000 7,284,552 7,262,613 ITAU UNIBANCO HOLDING SA/ 144A 3.2500 2,400,000 2,423,518 2,468,400 VALE SA 5.6250 1,009,000 1,318,994 1,261,260 BRITISH VIRGIN ISLANDS CONTEMPORARY RUIDING DEVE REGS 2.6250 2,400,000 2,423,003 2,393,560 HUARONG FINANCE 2017 CO L REGS 1.9789 300,000 224,188 246,000 HUARONG FINANCE 2019 CO L REGS 3.2500 400,000 316,397 295,000 HUARONG FINANCE 2019 CO L REGS 3.8750 705,000 590,572 479,400 HUARONG FINANCE 2019 CO L REGS 1.4001 400,000 312,101 278,000 HUARONG FINANCE 2019 CO L REGS 1.2751 910,000 730,153 677,950

End of Month: 6/30/2021 Unaudited Holdings Report Page 39 of 57 Coupon Units Cost Market Value HUARONG FINANCE II CO LTD REGS 4.6250 985,000 803,137 689,500 HUARONG FINANCE II CO LTD REGS 4.8750 400,000 292,679 280,000 HUARONG FINANCE II CO LTD REGS 5.5000 2,500,000 2,767,904 1,850,000 NEW METRO GLOBAL LTD REGS 4.5000 1,000,000 983,017 980,319 NEW METRO GLOBAL LTD REGS 4.8000 900,000 900,470 904,614 NEW METRO GLOBAL LTD REGS 6.8000 1,000,000 1,049,337 1,043,673 SHANGHAI PORT GROUP BVI D REGS 3.3750 1,000,000 1,078,558 1,081,761 SINOPEC GROUP OVERSEAS DE REGS 2.9500 500,000 507,568 525,252 STATE GRID OVERSEAS INVES REGS 2.1250 1,900,000 2,492,420 2,462,533 STATE GRID OVERSEAS INVES REGS 3.1250 700,000 711,140 730,599 CAMEROON REPUBLIC OF CAMEROON INTE REGS 9.5000 2,500,000 2,667,468 2,940,000 CANADA 1011778 BC ULC / NEW RED 144A 3.5000 265,000 264,990 261,688 1011778 BC ULC / NEW RED 144A 4.0000 135,000 135,002 130,613 1011778 BC ULC / NEW RED 144A 4.2500 368,000 368,013 372,048 1011778 BC ULC / NEW RED 144A 4.3750 350,000 355,100 354,813 AIR CANADA 2013-1 CLASS A 144A 4.1250 963,439 886,233 992,097 BANK OF MONTREAL 4.3380 1,525,000 1,645,475 1,637,928 BANK OF NOVA SCOTIA/THE 0.7000 740,000 739,834 740,835 BANK OF NOVA SCOTIA/THE 1.3500 770,000 769,409 769,955 BANK OF NOVA SCOTIA/THE 1.0500 630,000 629,310 623,300 BAUSCH HEALTH COS INC 144A 4.8750 1,450,000 1,450,443 1,484,075 BAUSCH HEALTH COS INC 144A 5.0000 1,137,000 1,110,237 1,077,916 BAUSCH HEALTH COS INC 144A 5.2500 85,000 84,012 79,050 BAUSCH HEALTH COS INC 144A 5.5000 300,000 300,008 307,800 BAUSCH HEALTH COS INC 144A 6.1250 4,210,000 4,234,063 4,315,250 BAUSCH HEALTH COS INC 144A 7.0000 325,000 343,997 334,750 BAUSCH HEALTH COS INC 144A 9.0000 10,000 9,911 10,723 BAYTEX ENERGY CORP 144A 8.7500 1,165,000 918,615 1,173,738 BELL TELEPHONE CO OF CANADA OR 0.7500 900,000 899,617 902,031 BOMBARDIER INC 144A 6.0000 200,000 196,811 200,250 BOMBARDIER INC 144A 6.1250 200,000 199,304 210,625 BOMBARDIER INC 144A 7.1250 1,665,000 1,670,496 1,743,255 BOMBARDIER INC 144A 7.5000 3,415,000 3,423,787 3,521,805 BROOKFIELD FINANCE INC 4.0000 100,000 100,560 108,061 BROOKFIELD FINANCE INC 4.8500 400,000 399,460 470,986 BURGER KING/RESTAURANT BRANDS 0.0000 182,953 182,653 180,295 CANADIAN IMPERIAL BANK OF COMM 0.9500 350,000 349,869 353,112 CANADIAN IMPERIAL BANK OF COMM 2.2500 360,000 359,976 375,959 CANADIAN IMPERIAL BANK OF COMM 3.1000 500,000 530,244 531,273 CANADIAN NATURAL RESOURCES LTD 2.0500 2,290,000 2,286,908 2,352,825 CANADIAN NATURAL RESOURCES LTD 3.8500 60,000 64,461 66,052 CANADIAN NATURAL RESOURCES LTD 4.9500 875,000 943,354 1,087,547 CANADIAN NATURAL RESOURCES LTD 6.2500 2,634,000 3,214,575 3,521,031 CASCADES INC/CASCADES USA 144A 5.1250 840,000 840,065 894,600 CASCADES INC/CASCADES USA 144A 5.3750 2,340,000 2,392,578 2,459,925 CCP_IRS. P CAD-BA-CDOR 3M CME 1.8750 2,858,000 2,382 -5,463 CCP_IRS. P CAD-BA-CDOR 3M CME 1.9000 3,400,000 118,353 33,039 CCP_IRS. P CAD-BA-CDOR 3M CME 2.0000 895,000 4,635 4,578 CCP_IRS. P CAD-BA-CDOR 3M CME 1.2350 8,400,000 73,051 -973 CCP_IRS. P CAD-BA-CDOR 3M CME 1.4688 4,162,000 3,812 -20,450 CCP_IRS. P CAD-BA-CDOR 3M CME 1.9625 11,800,000 0 120,440 CCP_IRS. R CAD-BA-CDOR 3M CME 0.0100 2,139,000 917 909 CENOVUS ENERGY INC 5.2500 1,400,000 1,596,532 1,676,144 CENOVUS ENERGY INC 5.3750 400,000 450,356 457,613 CI FINANCIAL CORP 4.1000 390,000 389,798 406,607 CPPIB CAPITAL INC REGS 0.2500 5,857,000 7,290,673 7,118,489 ELDORADO GOLD CORP 144A 9.5000 1,402,000 1,392,462 1,517,665 EMPIRE COMMUNITIES CORP 144A 7.0000 1,585,000 1,590,958 1,664,250 ENBRIDGE INC 2.5000 300,000 298,753 300,028 ENBRIDGE INC 2.9000 120,000 119,978 122,880 ENBRIDGE INC 3.4000 70,000 69,828 70,146 ENBRIDGE INC 4.0000 400,000 405,314 426,920 ENBRIDGE INC 4.5000 50,000 50,424 58,993 ENBRIDGE/GRIZZLY ACQUISITIONS 0.0000 197,959 197,659 196,144 FAIRFAX FINANCIAL HOLDING 2.7500 1,410,000 1,720,522 1,834,020 FIRST QUANTUM MINERALS LT 144A 6.5000 1,420,000 1,408,196 1,448,400 FIRST QUANTUM MINERALS LT 144A 7.2500 2,345,000 2,360,024 2,390,446 GFL ENVIRONMENTAL INC 144A 4.0000 1,060,000 1,054,190 1,047,121 GFL ENVIRONMENTAL INC 144A 4.7500 2,205,000 2,205,003 2,289,452 GOEASY LTD 144A 4.3750 1,500,000 1,500,001 1,537,500 GOEASY LTD 144A 5.3750 2,270,000 2,225,008 2,341,414 GOVERNMENT OF CANADA 0.2500 8,150,000 6,391,215 6,482,596 GOVERNMENT OF CANADA 0.5000 14,086,000 10,991,148 11,196,942 GOVERNMENT OF CANADA 1.5000 2,426,000 1,863,950 1,998,365 GOVERNMENT OF CANADA 2.0000 2,319,000 1,908,166 1,941,083 GOVERNMENT OF CANADA 2.2500 6,233,000 5,041,777 5,418,467 GOVERNMENT OF CANADA 2.5000 2,000,000 1,526,879 1,701,475 GOVERNMENT OF CANADA 3.5000 4,264,000 4,206,666 4,602,958 GOVERNMENT OF CANADA 5.0000 415,000 419,939 494,039 GOVERNMENT OF CANADA 5.7500 2,160,000 2,463,338 2,540,938 HUB INTERNATIONAL 4/18 (USD) 0.0000 393,863 393,316 389,290 INTELLIGENT PACKAGING LTD 144A 6.0000 2,175,000 2,272,896 2,262,000 INTERTAPE POLYMER GROUP I 144A 4.3750 1,070,000 1,070,001 1,085,028

End of Month: 6/30/2021 Unaudited Holdings Report Page 40 of 57 Coupon Units Cost Market Value MAGNA INTERNATIONAL INC 2.4500 1,121,000 1,145,089 1,145,507 MASONITE INTERNATIONAL CO 144A 5.3750 905,000 905,010 959,010 MASONITE INTERNATIONAL CO 144A 5.7500 620,000 620,023 641,700 MEG ENERGY CORP 144A 7.1250 865,000 802,057 921,506 MUSKRAT FALLS/LABRADOR 3.6300 1,495,000 1,421,528 1,378,947 ONTARIO TEACHERS' CADILLA 144A 3.1250 300,000 299,989 305,555 ONTARIO TEACHERS' FINANCE 144A 1.2500 6,142,000 6,111,647 5,867,152 ONTARIO TEACHERS' FINANCE 144A 2.0000 6,353,000 6,332,243 6,436,987 ONTARIO TEACHERS' FINANCE REGS 0.5000 2,941,000 3,545,637 3,595,015 POWER SOLUTIONS 2/21 (USD) 0.0000 370,670 368,682 366,964 PRECISION DRILLING CORP 144A 6.8750 1,010,000 1,002,497 1,040,300 PRECISION DRILLING CORP 144A 7.1250 995,000 984,818 1,024,850 PROV OF BRITISH COLUMBIA 3.2500 1,230,000 944,781 1,006,995 PROV OF ONTARIO 1.9500 1,400,000 1,066,649 1,156,993 PROV OF ONTARIO 2.6500 3,000,000 2,318,443 2,565,210 PROV OF ONTARIO 3.4500 1,985,000 1,655,077 1,852,480 PROV OF QUEBEC 3.0000 4,305,000 3,512,687 3,656,458 PROV OF QUEBEC 3.5000 1,719,000 1,499,495 1,630,412 PROVINCE OF ALBERTA CANADA 2.2000 1,125,000 1,124,854 1,148,663 PROVINCE OF MANITOBA CANADA 2.1250 745,000 744,692 757,002 PROVINCE OF ONTARIO CANAD REGS 0.2500 7,146,000 9,610,455 9,586,960 PROVINCE OF ONTARIO CANADA 2.5000 655,000 640,899 699,857 PROVINCE OF ONTARIO CANADA 3.2000 1,125,000 1,146,381 1,208,993 PROVINCE OF QUEBEC CANADA 2.5000 675,000 674,822 722,891 PROVINCE OF QUEBEC CANADA 2.7500 655,000 651,489 710,756 RITCHIE BROS AUCTIONEERS 144A 5.3750 1,510,000 1,530,152 1,554,356 ROYAL BANK OF CANADA 0.8750 720,000 719,487 710,144 ROYAL BANK OF CANADA 1.1500 1,365,000 1,361,230 1,372,290 SCHLUMBERGER FINANCE CANA 144A 2.6500 620,000 619,865 637,304 SCHLUMBERGER FINANCE CANADA LT 1.4000 155,000 154,843 156,703 SECURITIZED TERM AU 1A A3 144A 2.9860 0 0 0 THOMSON REUTERS CORP 3.3500 430,000 424,062 467,971 THOMSON REUTERS CORP 3.8500 369,000 372,292 400,073 TITAN ACQUISITION LTD / T 144A 7.7500 1,867,000 1,813,275 1,934,679 TORONTO-DOMINION BANK/THE 2.6500 900,000 899,923 952,626 TORONTO-DOMINION BANK/THE 0.5500 225,000 224,821 224,839 TRANSCANADA PIPELINES LTD 6.2000 145,000 193,252 198,705 TRANSCANADA TRUST 5.5000 1,000,000 1,000,008 1,090,000 VALEANT 11/18 INCREMENTAL TL 0.0000 386,250 382,591 383,172 VIDEOTRON LTD 5.0000 280,000 280,140 291,228 WASTE CONNECTIONS INC 3.0500 250,000 271,540 253,517 WASTE CONNECTIONS INC 4.2500 167,000 171,816 193,103 WEST FRASER TIMBER CO LTD 144A 4.3500 400,000 400,000 427,584 CAYMAN ISLANDS AIG CLO 1A E 144A 6.7838 500,000 500,000 495,600 ALIBABA GROUP HOLDING LTD 2.1250 988,000 986,466 971,223 ALIBABA GROUP HOLDING LTD 4.0000 296,000 321,015 332,133 AMBAC LSNI LLC 144A 6.0000 1,003,536 1,003,536 1,003,536 ATLAS SENIOR LOAN FU 9A A 144A 1.0043 190,863 190,876 190,863 AVOLON HOLDINGS FUNDING L 144A 2.8750 475,000 474,596 489,061 AVOLON HOLDINGS FUNDING L 144A 5.1250 1,750,000 1,859,788 1,891,934 AVOLON HOLDINGS FUNDING L 144A 5.5000 440,000 440,010 467,329 BABSON CLO LTD 2015 2A DR 144A 3.0843 500,000 496,537 495,450 BAIDU INC 1.7200 800,000 802,109 806,722 BAIN CAPITAL CREDIT 1A E 144A 6.6849 500,000 499,910 499,150 BARINGS CLO LTD 201 3A A1 144A 1.0843 500,000 500,000 499,550 BARINGS CLO LTD 2021 1A D 144A 2.9000 500,000 500,000 499,950 BATTALION CLO XIX L 19A D 144A 3.3761 500,000 500,000 500,450 BENEFIT STREET PA 10A CRR 144A 3.6343 250,000 249,998 249,600 BENEFIT STREET PART 22A E 144A 7.1343 250,000 250,000 250,125 BLUEMOUNTAIN CLO 1A A1R2 144A 1.3643 4,745,683 4,744,304 4,748,056 CARBONE CLO LTD 1A A1 144A 1.2743 5,310,000 5,306,455 5,307,032 CARLYLE GLOBAL MAR 1A AR3 144A 0.0100 300,000 300,000 300,000 CARLYLE US CLO 2020- 2A B 144A 2.6253 250,000 250,007 250,175 CARLYLE US CLO 2021- 2A E 144A 6.4216 500,000 499,906 500,400 CAYUGA PARK CLO LTD 1A D 144A 4.1339 250,000 249,925 250,175 CIFC FUNDING 2019-I 2A DR 144A 3.1339 250,000 250,000 250,000 COLUMBIA CENT CLO 29A D1 144A 4.2243 500,000 495,183 502,300 COLUMBIA CENT CLO 3 31A C 144A 2.3843 500,000 499,963 497,250 CSN INOVA VENTURES 144A 6.7500 2,615,000 2,636,385 2,892,190 DEWOLF PARK CLO LTD 1A A 144A 1.3361 4,533,511 4,562,909 4,534,175 DRYDEN 33 SENIOR 33A DR3 144A 3.7761 250,000 249,985 250,075 DRYDEN 42 SENIOR L 42A DR 144A 3.0561 500,000 496,830 494,200 ECAF I LTD 1A A1 144A 3.4730 775,594 775,602 745,990 ENN ENERGY HOLDINGS LTD 144A 2.6250 760,000 754,973 758,184 FALCON 2019-1 AEROSPA 1 A 144A 3.5970 212,260 212,253 210,419 GRUPO AVAL LTD REGS 4.7500 1,700,000 1,713,393 1,746,232 KAISA GROUP HOLDINGS LTD REGS 8.5000 800,000 790,064 797,200 KAISA GROUP HOLDINGS LTD REGS 9.7500 2,200,000 2,200,934 2,169,814 KAISA GROUP HOLDINGS LTD REGS 11.9500 1,200,000 1,246,499 1,230,600 KAISA GROUP HOLDINGS LTD REGS 11.2500 300,000 309,000 306,450 KKR CLO 11 LTD 11 AR 144A 1.3061 350,000 350,140 350,000 LCM XXIII LTD 23A CR 144A 3.4343 250,000 233,109 248,750 LCM XXIV LTD 24A AR 144A 1.1143 325,000 325,000 325,033 LIMA METRO LINE 2 FINANCE 144A 4.3500 450,000 449,998 465,300

End of Month: 6/30/2021 Unaudited Holdings Report Page 41 of 57 Coupon Units Cost Market Value MADISON PARK FUND 18A A1R 144A 1.3243 6,800,267 6,839,260 6,800,630 MADISON PARK FUNDI 11A DR 144A 3.3879 500,000 499,510 497,350 MADISON PARK FUNDIN 30A A 144A 0.8761 450,000 449,301 450,000 MADISON PARK FUNDIN 50A E 144A 6.0958 500,000 499,909 490,050 MAGNETITE VII LTD 7A A1R2 144A 0.9261 496,431 501,218 496,481 MAGNETITE VIII LTD 8A AR2 144A 1.1061 460,000 460,000 460,046 MAGNETITE XVIII LT 18A AR 144A 1.2359 1,750,000 2,126,827 1,750,415 MAGNETITE XXV LTD 25A E 144A 6.4753 435,000 435,000 435,479 MEITUAN 144A 3.0500 1,400,000 1,401,563 1,379,973 NEUBERGER BERMAN L 24A AR 144A 1.1539 370,000 369,991 369,320 NEUBERGER BERMAN L 25A AR 144A 1.0639 470,000 470,000 469,483 OCP CLO 2014-5 LTD 5A A1R 144A 1.2053 100,000 100,050 100,030 OCTAGON INVESTMENT 1A A1R 144A 1.1343 330,000 330,000 330,099 OCTAGON INVESTMENT P 2A D 144A 4.7261 500,000 500,000 500,350 ODEBRECHT DRILLING NORBE REGS 6.3500 9,957 9,946 9,857 ODEBRECHT DRILLING NORBE REGS 7.3500 484,357 276,575 247,027 ODEBRECHT OFFSHORE DRILLI 144A 7.7200 30,271 12,288 7,189 ODEBRECHT OFFSHORE DRILLI REGS 6.7200 167,573 164,265 165,478 ODEBRECHT OFFSHORE DRILLI REGS 7.7200 1,802,177 592,682 428,017 ODEBRECHT OIL & GAS FINAN 144A 0.0000 424,609 16,524 4,250 ODEBRECHT OIL & GAS FINAN REGS 0.0000 69,000 3,106 691 PALMER SQUARE LOAN 3A A1 144A 0.0100 420,000 420,000 420,000 PALMER SQUARE LOAN F 2A D 144A 5.1456 250,000 250,000 250,125 PARK AEROSPACE HOLDINGS L 144A 5.2500 710,000 710,011 742,953 PARK AEROSPACE HOLDINGS L 144A 5.5000 4,115,000 4,297,277 4,523,635 POWERLONG REAL ESTATE HOL REGS 5.9500 200,000 203,591 206,535 REESE PARK CLO LTD 1A C1 144A 2.5761 250,000 250,000 250,400 RISERVA CLO LTD 3A ERR 144A 6.6339 500,000 500,000 501,000 RR15 LTD 15A D 144A 6.3261 500,000 500,000 497,200 RUTAS 2 AND 7 FINANCE LTD 144A 0.0000 1,535,000 1,019,235 1,109,038 SEAGATE HDD CAYMAN 144A 4.1250 100,000 99,874 102,000 SEAGATE HDD CAYMAN 144A 4.0910 250,000 261,267 255,950 SHACKLETON 2014-VI- 6RA D 144A 3.1039 250,000 239,944 247,000 SOUND POINT CLO XIV 3A CR 144A 2.1879 250,000 249,999 249,200 SUNAC CHINA HOLDINGS LTD REGS 7.0000 200,000 200,246 196,261 SYMPHONY CLO XXIV L 24A E 144A 7.1379 320,000 319,985 320,352 TENCENT HOLDINGS LTD 144A 3.2900 600,000 606,252 584,104 TENCENT HOLDINGS LTD 144A 3.2400 2,100,000 2,141,877 2,055,785 TENCENT HOLDINGS LTD 144A 3.8400 200,000 199,930 215,324 TENCENT HOLDINGS LTD REGS 3.9750 1,400,000 1,509,049 1,561,222 TRANSOCEAN GUARDIAN LTD 144A 5.8750 1,406,500 1,399,875 1,367,821 TRANSOCEAN INC 6.8000 180,000 110,156 115,864 TRANSOCEAN PONTUS LTD 144A 6.1250 145,000 144,069 146,699 TREMAN PARK CLO LT 1A ARR 144A 1.2043 317,824 317,644 317,983 TRYON PARK CLO LT 1A A1SR 144A 1.0161 475,000 474,722 475,143 VALE OVERSEAS LTD 6.2500 2,110,000 2,400,270 2,538,330 VALE OVERSEAS LTD 6.8750 1,464,000 2,072,586 2,034,639 VENTURE 42 CLO LTD 42A D 144A 3.4311 500,000 500,000 496,800 VIBRANT CLO VI LTD 6A AR 144A 1.0845 350,000 349,999 350,070 VOYA CLO 2015-1 LT 1A A1R 144A 1.0339 236,000 235,807 236,000 VOYA CLO 2017-4 LTD 4A A1 144A 1.2561 6,573,591 6,472,412 6,574,832 XLIT LTD 4.4500 970,000 990,173 1,088,284 CHILE BONOS DE LA TESORERIA DE LA RE 5.0000 85,000,000 129,668 119,122 CHILE GOVERNMENT INTERNATIONAL 2.5500 200,000 210,944 204,400 CHILE GOVERNMENT INTERNATIONAL 3.1000 495,000 480,525 495,738 CHILE GOVERNMENT INTERNATIONAL 3.5000 3,765,000 3,997,390 3,941,117 CHILE GOVERNMENT INTERNATIONAL 3.8600 300,000 333,627 330,786 CORP NACIONAL DEL COBRE D 144A 2.2500 400,000 543,796 503,462 CORP NACIONAL DEL COBRE D REGS 3.1500 400,000 415,664 420,092 CORP NACIONAL DEL COBRE D REGS 3.7000 200,000 200,486 210,977 ENEL AMERICAS SA 4.0000 910,000 904,190 990,990 ENEL CHILE SA 4.8750 627,000 621,503 723,116 CHINA INDUSTRIAL & COMMERCIAL B REGS 0.8845 700,000 699,024 700,264 IRS P CNY-7D FIXING REPO RATE 2.8800 63,733,000 2,301 9,852,726 IRS P CNY-7D FIXING REPO RATE 2.8600 718,871,000 0 111,132,988 IRS_P CNY-7D FIXING REPO RATE 0.0100 -782,604,000 0 -121,118,944 COLOMBIA BANCOLOMBIA SA 3.0000 700,000 696,290 718,900 COLOMBIA GOVERNMENT INTERNATIO 3.2500 750,000 742,846 734,595 COLOMBIA GOVERNMENT INTERNATIO 4.1250 610,000 602,059 578,207 COLOMBIA GOVERNMENT INTERNATIO 4.5000 1,705,000 1,744,949 1,861,801 COLOMBIA GOVERNMENT INTERNATIO 5.0000 315,000 314,425 334,593 COLOMBIA GOVERNMENT INTERNATIO 5.6250 200,000 221,875 226,460 COLOMBIA GOVERNMENT INTERNATIO 7.3750 546,000 676,906 717,679 COLOMBIAN TES 5.7500 51,115,600,000 13,707,554 13,109,059 COLOMBIAN TES 6.0000 679,300,000 195,419 174,694 COLOMBIAN TES 7.0000 7,143,600,000 2,173,166 1,863,774 COLOMBIAN TES 7.2500 19,978,900,000 5,587,926 5,004,357 COLOMBIAN TES 7.5000 6,630,200,000 2,159,313 1,879,936 COLOMBIAN TES 7.7500 7,007,800,000 2,178,074 1,955,069 EMPRESAS PUBLICAS DE MEDE 144A 4.2500 1,221,000 1,219,376 1,208,790 EMPRESAS PUBLICAS DE MEDE 144A 4.3750 590,000 584,290 582,283 EMPRESAS PUBLICAS DE MEDE REGS 0.0022 2,187,000,000 600,769 553,497

End of Month: 6/30/2021 Unaudited Holdings Report Page 42 of 57 Coupon Units Cost Market Value FINANCIERA DE DESARROLLO 144A 0.0020 806,000,000 418,808 219,177 OLEODUCTO CENTRAL SA 144A 4.0000 540,000 536,428 557,129 COSTA RICA COSTA RICA GOVERNMENT INT 144A 6.1250 1,490,000 1,424,404 1,579,415 COSTA RICA GOVERNMENT INT REGS 4.3750 520,000 471,775 537,420 COSTA RICA GOVERNMENT INT REGS 6.1250 2,412,000 2,141,844 2,556,744 COSTA RICA GOVERNMENT INT REGS 7.0000 1,970,000 1,736,833 2,034,045 COSTA RICA GOVERNMENT INT REGS 7.1580 200,000 164,262 208,502 COTE D'IVOIRE IVORY COAST GOVERNMENT IN 144A 4.8750 1,530,000 1,906,026 1,812,431 IVORY COAST GOVERNMENT IN 144A 5.8750 2,625,000 2,915,969 3,346,150 IVORY COAST GOVERNMENT IN REGS 5.7500 1,466,182 1,445,899 1,467,003 CROATIA CROATIA GOVERNMENT INTERN REGS 1.1250 1,175,000 1,457,277 1,431,473 CROATIA GOVERNMENT INTERN REGS 1.5000 2,215,000 2,830,215 2,734,571 CURACAO TEVA PHARMACEUTICAL FINANCE CO 2.9500 710,000 700,379 713,550 CZECH REPUBLIC CZECH REPUBLIC GOVERNMENT BOND 1.2000 68,000,000 3,048,044 2,985,949 CZECH REPUBLIC GOVERNMENT REGS 2.5000 29,830,000 1,424,976 1,452,601 DENMARK AP MOLLER - MAERSK A/S 144A 3.8750 200,000 200,444 219,602 DANSKE BANK A/S 144A 1.2260 250,000 250,000 252,606 DANSKE BANK A/S 144A 1.6210 6,414,000 6,414,000 6,420,004 DANSKE BANK A/S REGS 2.2500 2,150,000 3,034,381 3,047,115 DENMARK GOVERNMENT BOND 4.5000 2,700,000 638,465 757,320 DENMARK GOVERNMENT BOND 144A 0.0000 1,700,000 272,013 268,808 DENMARK GOVERNMENT BOND 144A 0.5000 5,201,000 883,644 870,805 NETS 11/17 (EUR) COV-LITE TLB 0.0000 238,125 282,190 281,723 DOMINICAN REPUBLIC DOMINICAN REPUBLIC INTERN 144A 4.5000 2,447,000 2,517,388 2,502,082 DOMINICAN REPUBLIC INTERN 144A 5.3000 1,770,000 1,770,000 1,765,593 DOMINICAN REPUBLIC INTERN 144A 5.5000 865,000 867,785 949,684 DOMINICAN REPUBLIC INTERN 144A 5.8750 1,641,000 1,574,398 1,635,257 DOMINICAN REPUBLIC INTERN 144A 6.4000 588,000 570,229 632,100 DOMINICAN REPUBLIC INTERN 144A 6.8500 325,000 340,626 367,770 DOMINICAN REPUBLIC INTERN 144A 6.8750 720,000 745,657 834,192 DOMINICAN REPUBLIC INTERN 144A 0.1709 58,400,000 1,122,881 1,158,086 DOMINICAN REPUBLIC INTERN REGS 5.5000 540,000 542,606 592,866 DOMINICAN REPUBLIC INTERN REGS 6.4000 954,000 754,732 1,028,126 DOMINICAN REPUBLIC INTERN REGS 6.5000 150,000 130,787 163,770 DOMINICAN REPUBLIC INTERN REGS 6.8500 3,265,000 3,497,300 3,694,674 DOMINICAN REPUBLIC INTERN REGS 6.8750 500,000 552,660 579,300 DOMINICAN REPUBLIC INTERN REGS 8.6250 500,000 389,372 612,950 EGYPT EGYPT GOVERNMENT BOND 13.9730 9,700,000 622,692 616,690 EGYPT GOVERNMENT BOND 14.2920 40,600,000 2,577,192 2,543,166 EGYPT GOVERNMENT INTERNAT 144A 4.7500 1,275,000 1,470,865 1,575,564 EGYPT GOVERNMENT INTERNAT 144A 5.6250 530,000 652,483 630,884 EGYPT GOVERNMENT INTERNAT 144A 5.7500 450,000 450,000 478,935 EGYPT GOVERNMENT INTERNAT 144A 6.1250 825,000 827,266 842,738 EGYPT GOVERNMENT INTERNAT 144A 7.5000 995,000 1,012,652 1,116,888 EGYPT GOVERNMENT INTERNAT 144A 7.6250 1,000,000 994,896 1,060,100 EGYPT GOVERNMENT INTERNAT 144A 8.5000 1,555,000 1,555,000 1,619,144 EGYPT GOVERNMENT INTERNAT 144A 8.1500 1,800,000 1,834,432 1,799,100 EGYPT GOVERNMENT INTERNAT 144A 6.5880 2,300,000 2,411,877 2,431,100 EGYPT GOVERNMENT INTERNAT REGS 5.6250 300,000 339,006 357,104 EGYPT GOVERNMENT INTERNAT REGS 6.3750 200,000 238,728 246,999 ETHIOPIA ETHIOPIA INTERNATIONAL BO REGS 6.6250 2,453,000 2,340,450 2,262,451 EURO CURRENCY GEOGRAPHIC CCP_IRS. R EUR-EURIBOR-ACT/365 0.0100 1,630,000 55 -4,477 CCP_IRS. R EUR-EURIBOR-REUTERS 0.0100 8,573,000 92,059 102,205 CCP_IRS. R EUR-EURIBOR-REUTERS -0.5200 33,300,000 177,172 222,007 IRS R 0% P EUR006M 0.0000 4,250,000 477,952 893,535 IRS R 0.175% P EUR006M 0.0000 -5,070,000 -183,274 -347,519 IRS R -0.175% P EUR006M 0.0000 -7,670,000 -284,501 -525,733 FINLAND FINLAND GOVERNMENT BOND 144A 0.0000 562,000 715,887 670,639 FINLAND GOVERNMENT BOND 144A 0.8750 965,000 1,203,801 1,213,810 FINLAND GOVERNMENT BOND 144A 0.1250 530,000 552,383 551,620 FRANCE ALTICE FRANCE SA/FRANCE 144A 2.5000 200,000 231,636 233,584 ALTICE FRANCE SA/FRANCE 144A 5.5000 200,000 205,762 207,540 ALTICE FRANCE SA/FRANCE 144A 8.1250 210,000 210,001 228,795 AXA SA REGS 5.1250 2,130,000 2,892,912 2,777,634 BANIJAY 2/20 (EUR) COV-LITE TL 0.0000 100,000 119,785 118,430 BANIJAY 2/20 (USD) COV-LT TLB 0.0000 124,375 124,064 123,856 BANQUE FEDERATIVE DU CRED 144A 2.3750 300,000 299,233 313,415 BANQUE FEDERATIVE DU CRED 144A 2.7000 1,760,000 1,759,801 1,805,280 BIOGROUP-LCD/CAB 1/21 TLB 0.0000 465,000 562,287 547,997 BNP PARIBAS SA 144A 7.3750 1,070,000 1,070,001 1,247,213 BNP PARIBAS SA 144A 2.9500 1,705,000 1,704,595 1,745,524 BNP PARIBAS SA 144A 2.8190 5,500,000 5,681,766 5,786,778 BNP PARIBAS SA 144A 2.2190 1,512,000 1,529,485 1,558,278

End of Month: 6/30/2021 Unaudited Holdings Report Page 43 of 57 Coupon Units Cost Market Value BNP PARIBAS SA 144A 1.9040 1,315,000 1,334,104 1,306,044 BNP PARIBAS SA 144A 1.3230 5,620,000 5,620,000 5,551,915 BNP PARIBAS SA 144A 1.6750 225,000 225,000 224,792 BNP PARIBAS SA REGS 1.2500 800,000 1,054,975 1,035,481 BPCE SA 144A 4.0000 1,050,000 1,046,774 1,125,501 BPCE SA 144A 1.6520 2,415,000 2,415,000 2,425,658 BPCE SA 144A 1.3701 1,000,000 1,000,000 1,009,033 CAISSE D'AMORTISSEMENT DE REGS 0.1250 3,800,000 4,372,037 4,571,502 CONSTELLIUM SE 144A 3.7500 250,000 250,008 247,500 CONSTELLIUM SE 144A 5.8750 1,760,000 1,772,288 1,812,272 CREDIT AGRICOLE SA 144A 1.2470 250,000 250,000 246,133 CREDIT AGRICOLE SA/LONDON REGS 1.3750 1,400,000 1,603,566 1,737,910 DANONE SA 144A 2.5890 600,000 585,738 625,484 DANONE SA 144A 2.0770 400,000 399,819 401,841 ELECTRICITE DE FRANCE SA 144A 3.6250 4,534,000 4,515,848 4,983,316 FRENCH REPUBLIC GOVERNMEN 144A 0.5000 1,740,000 2,058,014 1,970,478 FRENCH REPUBLIC GOVERNMEN 144A 1.2500 1,120,000 1,522,891 1,487,115 FRENCH REPUBLIC GOVERNMEN 144A 1.5000 726,000 1,107,660 1,000,221 FRENCH REPUBLIC GOVERNMEN 144A 1.7500 703,000 1,054,394 1,032,835 FRENCH REPUBLIC GOVERNMEN 144A 2.0000 201,000 340,662 306,734 FRENCH REPUBLIC GOVERNMEN 144A 4.0000 648,000 1,310,897 1,454,701 FRENCH REPUBLIC GOVERNMEN REGS 0.0000 22,903,000 27,696,076 27,497,189 FRENCH REPUBLIC GOVERNMEN REGS 4.5000 914,000 1,907,358 1,878,923 NUMERICABLE / YPSO / ALTICE 0.0000 454,938 454,312 450,729 RCI BANQUE SA REGS 1.2500 505,000 526,412 607,064 RCI BANQUE SA REGS 2.0000 1,900,000 2,177,454 2,371,093 SOCIETE GENERALE SA 144A 6.7500 400,000 382,062 452,752 GABON GABON GOVERNMENT INTERNAT 144A 6.6250 515,000 514,991 518,593 GABON GOVERNMENT INTERNAT REGS 6.3750 526,454 486,077 560,015 GABON GOVERNMENT INTERNAT REGS 6.9500 1,780,000 1,805,860 1,926,850 GEORGIA GEORGIA GOVERNMENT INTERN 144A 2.7500 1,800,000 1,789,969 1,827,288 GERMANY BIRKENSTOCK 4/21 (USD) TLB 0.0000 2,070,000 2,059,650 2,059,650 BUNDESOBLIGATION REGS 0.0000 15,347,000 17,784,592 18,619,462 BUNDESREPUBLIK DEUTSCHLAN REGS 0.0000 21,498,000 25,539,250 26,295,339 BUNDESREPUBLIK DEUTSCHLAN REGS 0.2500 3,114,000 3,543,931 3,860,195 BUNDESREPUBLIK DEUTSCHLAN REGS 1.2500 1,370,000 2,146,605 2,049,352 CERAMTEC 12/17 (EUR) COV-LITE 0.0000 241,781 287,921 280,828 DEUTSCHE BANK AG/NEW YORK NY 4.2500 7,510,000 7,507,892 7,591,434 DEUTSCHE BANK AG/NEW YORK NY 5.0000 2,300,000 2,299,889 2,362,916 DEUTSCHE BANK AG/NEW YORK NY 3.0350 470,000 470,000 477,919 DEUTSCHE BANK AG/NEW YORK NY 0.8980 850,000 850,000 846,130 DEUTSCHE BANK AG/NEW YORK NY 2.1290 645,000 645,000 654,486 DEUTSCHE BANK AG/NEW YORK NY 1.4470 200,000 200,000 201,202 DEUTSCHE BANK AG/NEW YORK NY 3.3000 400,000 399,913 414,388 DEUTSCHE TELEKOM AG REGS 1.7500 400,000 483,667 531,340 E.ON SE REGS 1.6250 1,225,000 1,510,251 1,590,330 KREDITANSTALT FUER WIEDER REGS 0.8750 2,270,000 2,737,999 2,910,583 KREDITANSTALT FUER WIEDERAUFBA 2.0000 2,135,000 2,262,072 2,238,646 KREDITANSTALT FUER WIEDERAUFBA 2.3750 2,600,000 2,660,700 2,682,635 KREDITANSTALT FUER WIEDERAUFBA 2.5000 2,850,000 2,849,352 2,892,079 KREDITANSTALT FUER WIEDERAUFBA 0.3750 2,615,000 3,010,999 3,200,507 STATE OF NORTH RHINE-WEST REGS 1.5500 1,525,000 1,730,273 2,234,449 THYSSENKRUPP ELEVATOR 7/20 (EU 0.0000 100,000 110,069 118,649 THYSSENKRUPP ELEVATOR 7/20 (US 0.0000 308,451 302,284 308,581 VANTAGE TOWERS AG REGS 0.7500 600,000 724,843 709,804 VANTAGE TOWERS AG REGS 0.3750 1,200,000 1,455,408 1,420,265 VOLKSWAGEN BANK GMBH REGS 1.2500 1,400,000 1,569,009 1,720,753 GHANA GHANA GOVERNMENT INTERNAT 144A 7.7500 1,200,000 1,201,578 1,225,500 GHANA GOVERNMENT INTERNAT 144A 8.1250 1,000,000 1,001,172 1,013,114 GHANA GOVERNMENT INTERNAT REGS 7.6250 300,000 270,219 303,184 GHANA TREASURY NOTE 17.6000 4,000,000 699,426 691,132 REPUBLIC OF GHANA GOVERNMENT B 16.5000 12,460,000 2,150,228 2,120,951 REPUBLIC OF GHANA GOVERNMENT B 18.8500 6,590,000 1,179,222 1,170,433 GUATEMALA GUATEMALA GOVERNMENT BOND 144A 6.1250 1,760,000 1,759,992 2,151,600 GUATEMALA GOVERNMENT BOND REGS 4.3750 270,000 267,206 294,030 GUERNSEY CI AMDOCS LTD 2.5380 975,000 977,920 974,888 DORIC NIMROD AIR ALPHA 20 144A 5.2500 319,753 322,891 321,155 HONDURAS HONDURAS GOVERNMENT INTER 144A 5.6250 1,060,000 1,106,135 1,109,290 HONDURAS GOVERNMENT INTER 144A 6.2500 1,602,000 1,628,797 1,748,583 HONDURAS GOVERNMENT INTER REGS 6.2500 4,465,000 4,740,840 4,873,548 HONDURAS GOVERNMENT INTER REGS 7.5000 725,000 749,632 774,953 HONG KONG AIA GROUP LTD 144A 3.2000 200,000 204,300 212,566 ICBCIL FINANCE CO LTD REGS 3.6250 800,000 865,610 860,352 VANKE REAL ESTATE HONG KO REGS 3.5000 700,000 721,327 723,757 HUNGARY CCP_IRS. P HUF-BUBOR-REUTERS 6 1.2500 3,184,100,000 64,999 -181,829 HUNGARY GOVERNMENT BOND 1.5000 400,000,000 1,344,066 1,357,000

End of Month: 6/30/2021 Unaudited Holdings Report Page 44 of 57 Coupon Units Cost Market Value HUNGARY GOVERNMENT BOND 3.2500 483,220,000 1,746,779 1,727,465 INDIA ADANI TRANSMISSION LTD 144A 4.2500 841,500 809,189 857,029 EXPORT-IMPORT BANK OF IND REGS 3.2500 1,100,000 1,110,097 1,117,498 EXPORT-IMPORT BANK OF INDIA 1.1660 1,000,000 996,925 1,003,971 HDFC BANK LTD REGS 0.1088 160,000,000 2,437,339 2,239,279 NATIONAL HIGHWAYS AUTHORI REGS 0.0981 430,000,000 6,686,956 5,866,035 POWER FINANCE CORP LTD REGS 3.3500 630,000 629,961 617,841 POWER FINANCE CORP LTD REGS 4.5000 302,000 313,922 323,110 POWER FINANCE CORP LTD REGS 5.2500 211,000 228,292 236,335 POWER FINANCE CORP LTD REGS 6.1500 487,000 556,493 575,425 RENEW POWER PVT LTD 144A 5.8750 1,200,000 1,253,415 1,279,802 INDONESIA INDOFOOD CBP SUKSES MAKMU REGS 4.7450 500,000 500,000 513,498 INDOFOOD CBP SUKSES MAKMU REGS 3.3980 1,202,000 1,204,915 1,219,230 INDONESIA ASAHAN ALUMINIU 144A 4.7500 800,000 821,953 881,944 INDONESIA ASAHAN ALUMINIU 144A 5.4500 410,000 401,544 476,371 INDONESIA ASAHAN ALUMINIU 144A 6.5300 450,000 441,138 551,250 INDONESIA ASAHAN ALUMINIU REGS 6.5300 200,000 233,561 245,000 INDONESIA GOVERNMENT INTE REGS 3.8500 650,000 673,857 724,010 INDONESIA GOVERNMENT INTE REGS 4.3500 675,000 683,416 763,872 INDONESIA GOVERNMENT INTE REGS 4.6250 350,000 349,008 404,759 INDONESIA GOVERNMENT INTERNATI 0.9000 1,900,000 2,372,428 2,275,742 INDONESIA GOVERNMENT INTERNATI 1.4000 2,300,000 2,642,789 2,775,286 INDONESIA GOVERNMENT INTERNATI 2.9500 330,000 329,756 342,057 INDONESIA GOVERNMENT INTERNATI 3.0500 350,000 346,614 346,988 INDONESIA GOVERNMENT INTERNATI 3.5000 300,000 291,010 327,424 INDONESIA GOVERNMENT INTERNATI 4.2000 665,000 651,940 756,604 INDONESIA TREASURY BOND 5.5000 10,813,000,000 732,968 748,265 INDONESIA TREASURY BOND 6.1250 69,233,000,000 4,852,061 4,769,948 INDONESIA TREASURY BOND 6.5000 8,557,000,000 610,050 605,809 INDONESIA TREASURY BOND 6.6250 49,204,000,000 3,174,231 3,375,452 INDONESIA TREASURY BOND 7.0000 79,816,000,000 5,757,550 5,829,912 INDONESIA TREASURY BOND 7.2500 13,433,000,000 960,922 989,760 INDONESIA TREASURY BOND 7.5000 5,049,000,000 301,305 359,526 INDONESIA TREASURY BOND 8.2500 140,758,000,000 10,883,613 10,809,513 INDONESIA TREASURY BOND 8.3750 33,345,000,000 2,608,238 2,552,199 INDONESIA TREASURY BOND 8.7500 111,556,000,000 6,480,349 8,861,686 INDONESIA TREASURY BOND 9.0000 34,325,000,000 2,898,079 2,740,101 PERTAMINA PERSERO PT 144A 3.1000 500,000 502,200 512,650 PERUSAHAAN PENERBIT SBSN 144A 2.8000 300,000 300,000 306,894 PERUSAHAAN PERSEROAN PERS 144A 3.8750 1,200,000 1,314,575 1,269,000 PERUSAHAAN PERSEROAN PERS 144A 4.0000 2,400,000 2,368,908 2,383,800 PERUSAHAAN PERSEROAN PERS REGS 3.3750 600,000 601,903 615,000 PERUSAHAAN PERSEROAN PERS REGS 4.3750 200,000 203,695 204,500 IRAQ IRAQ INTERNATIONAL BOND REGS 5.8000 835,625 682,233 808,292 IRELAND AERCAP IRELAND CAPITAL DAC / A 3.3000 150,000 149,871 155,568 AERCAP IRELAND CAPITAL DAC / A 4.1250 1,000,000 998,936 1,060,975 AERCAP IRELAND CAPITAL DAC / A 4.5000 470,000 467,878 503,969 AIB GROUP PLC 144A 4.2630 2,984,000 2,984,000 3,214,681 ALLEGION PLC 3.5000 265,000 270,956 288,009 ARDAGH PACKAGING FINANCE 144A 5.2500 600,000 603,847 618,250 GE CAPITAL INTERNATIONAL FUNDI 3.3730 535,000 525,294 583,754 GE CAPITAL INTERNATIONAL FUNDI 4.4180 993,000 938,054 1,190,092 IRELAND GOVERNMENT BOND 5.4000 485,000 717,750 701,138 IRELAND GOVERNMENT BOND REGS 0.0000 3,127,000 3,750,255 3,645,973 IRELAND GOVERNMENT BOND REGS 1.5000 270,000 398,295 371,668 IRELAND GOVERNMENT BOND REGS 1.7000 677,000 784,862 953,314 IRELAND GOVERNMENT BOND REGS 1.1000 570,000 682,222 738,143 JOHNSON CONTROLS INTERNATIONAL 4.9500 225,000 296,822 306,143 PERRIGO FINANCE UNLIMITED CO 3.1500 2,400,000 2,425,688 2,452,322 ISRAEL ISRAEL GOVERNMENT BOND - FIXED 1.0000 721,000 218,153 219,741 ISRAEL GOVERNMENT BOND - FIXED 2.0000 6,691,000 2,128,516 2,225,679 ISRAEL GOVERNMENT INTERNATIONA 2.7500 255,000 254,995 272,190 STATE OF ISRAEL 2.5000 600,000 605,801 628,548 STATE OF ISRAEL 3.3750 1,380,000 1,368,753 1,474,199 STATE OF ISRAEL REGS 3.8000 500,000 586,877 569,139 ITALY BANCA MONTE DEI PASCHI DI REGS 1.8750 400,000 473,224 470,186 INTESA SANPAOLO SPA 144A 3.1250 400,000 399,850 410,393 INTESA SANPAOLO SPA 144A 5.0170 4,950,000 5,312,950 5,386,406 INTESA SANPAOLO SPA 144A 5.7100 1,590,000 1,590,000 1,798,505 INTESA SANPAOLO SPA 144A 4.1980 2,526,000 2,526,000 2,588,544 ITALY BUONI POLIENNALI DE 144A 0.2500 1,025,000 1,211,768 1,203,121 ITALY BUONI POLIENNALI DE 144A 0.9500 6,219,000 7,562,439 7,336,812 ITALY BUONI POLIENNALI DE 144A 1.5000 803,000 961,607 924,757 ITALY BUONI POLIENNALI DE 144A 1.6500 385,000 438,081 492,827 ITALY BUONI POLIENNALI DE 144A 1.7000 817,000 953,827 937,946 ITALY BUONI POLIENNALI DE 144A 1.8000 159,000 187,087 196,863 ITALY BUONI POLIENNALI DE 144A 1.8500 1,943,000 2,237,275 2,476,789 ITALY BUONI POLIENNALI DE 144A 2.1500 482,000 570,557 558,601 ITALY BUONI POLIENNALI DE 144A 2.7000 155,000 166,064 220,402

End of Month: 6/30/2021 Unaudited Holdings Report Page 45 of 57 Coupon Units Cost Market Value ITALY BUONI POLIENNALI DE 144A 3.1000 536,000 805,510 804,058 ITALY BUONI POLIENNALI DE 144A 3.5000 2,442,000 3,268,187 3,595,639 ITALY BUONI POLIENNALI DE 144A 3.8500 890,000 1,600,506 1,537,106 ITALY BUONI POLIENNALI DE 144A 5.0000 405,000 630,988 762,212 ITALY BUONI POLIENNALI DE REGS 0.0000 7,125,000 8,523,893 8,411,428 ITALY BUONI POLIENNALI DE REGS 0.9500 4,540,000 5,272,033 5,503,710 ITALY BUONI POLIENNALI DE REGS 3.7500 3,200,000 4,354,229 4,266,963 REPUBLIC OF ITALY GOVERNMENT I 4.0000 210,000 202,917 230,350 TELECOM ITALIA SPA/MILANO 144A 5.3030 1,535,000 1,534,925 1,680,365 UNICREDIT SPA 144A 6.5720 3,200,000 3,258,238 3,298,759 UNICREDIT SPA 144A 1.9820 5,143,000 5,143,000 5,123,771 UNICREDIT SPA 144A 5.4590 5,725,000 5,764,221 6,242,206 UNICREDIT SPA REGS 6.7500 3,000,000 3,679,964 3,597,013 UNICREDIT SPA REGS 7.5000 800,000 1,151,640 1,124,565 JAPAN CCP_IRS R JP0006M P 1.00% -0.0492 1,226,500,000 0 -364,425 CCP_IRS. R JPY-LIBOR-BBA 6M CM 0.0100 272,823,000 469 -4,014 JAPAN BANK FOR INTERNATIONAL C 2.3750 1,130,000 1,144,290 1,155,047 JAPAN BANK FOR INTERNATIONAL C 2.8750 400,000 397,732 436,919 MITSUBISHI UFJ FINANCIAL GROUP 2.8010 2,000,000 2,000,000 2,117,788 MITSUBISHI UFJ FINANCIAL GROUP 2.6230 1,710,000 1,710,000 1,752,118 MITSUBISHI UFJ FINANCIAL GROUP 1.1790 1,270,000 1,270,000 1,272,503 MITSUBISHI UFJ FINANCIAL GROUP 0.9153 1,770,000 1,770,000 1,783,275 MIZUHO FINANCIAL GROUP INC 2.9530 295,000 295,000 300,277 MIZUHO FINANCIAL GROUP INC 2.8390 510,000 510,000 538,535 MIZUHO FINANCIAL GROUP INC 2.2260 700,000 699,992 724,234 MIZUHO FINANCIAL GROUP INC 0.7770 1,900,000 1,901,280 1,911,666 NIPPON LIFE INSURANCE CO 144A 3.4000 1,400,000 1,444,957 1,452,500 NISSAN MOTOR CO LTD 144A 3.0430 2,400,000 2,399,998 2,503,127 NOMURA HOLDINGS INC 2.6480 350,000 350,000 367,698 NTT FINANCE CORP 144A 0.5830 300,000 300,000 299,566 NTT FINANCE CORP 144A 1.1620 200,000 200,000 199,540 ORIX CORP 2.9000 175,000 174,943 179,548 SUMITOMO MITSUI FINANCIAL GROU 2.1300 6,800,000 7,079,902 6,836,815 SUMITOMO MITSUI FINANCIAL GROU 1.7100 2,400,000 2,400,000 2,335,885 SUMITOMO MITSUI FINANCIAL GROU 2.6960 400,000 400,000 422,851 SUMITOMO MITSUI FINANCIAL GROU 2.4480 700,000 700,000 734,251 SUMITOMO MITSUI FINANCIAL GROU 2.1420 700,000 700,000 682,657 SUMITOMO MITSUI FINANCIAL GROU 2.3480 200,000 200,000 208,898 SUMITOMO MITSUI FINANCIAL GROU 1.4740 1,880,000 1,895,112 1,898,472 SUMITOMO MITSUI TRUST BAN 144A 0.8500 280,000 279,842 280,428 TAKEDA PHARMACEUTICAL CO LTD 2.0500 1,105,000 1,103,011 1,096,251 TAKEDA PHARMACEUTICAL CO LTD 3.3750 2,300,000 2,407,215 2,360,478 TAKEDA PHARMACEUTICAL CO LTD 4.4000 800,000 799,844 868,444 JERSEY C I AA BOND CO LTD REGS 2.8750 1,900,000 2,656,049 2,635,805 AA BOND CO LTD REGS 4.8750 1,800,000 2,628,353 2,644,331 ADIENT GLOBAL HOLDINGS LT 144A 4.8750 400,000 375,482 411,692 ADIENT GLOBAL HOLDINGS LT REGS 3.5000 100,000 98,524 121,911 CPUK FINANCE LTD REGS 4.5000 1,500,000 2,115,462 2,098,181 GALAXY PIPELINE ASSETS BI 144A 2.1600 1,375,000 1,375,009 1,349,286 GALAXY PIPELINE ASSETS BI 144A 2.9400 400,000 400,004 397,044 HEATHROW FUNDING LTD REGS 1.5000 1,375,000 1,671,781 1,678,226 JORDAN JORDAN GOVERNMENT INTERNA 144A 4.9500 1,500,000 1,472,960 1,556,550 JORDAN GOVERNMENT INTERNA 144A 5.7500 1,405,000 1,400,818 1,508,099 JORDAN GOVERNMENT INTERNA 144A 5.8500 700,000 676,291 728,000 JORDAN GOVERNMENT INTERNA 144A 6.1250 500,000 502,585 541,250 JORDAN GOVERNMENT INTERNA REGS 4.9500 400,000 403,075 415,080 KAZAKHSTAN DEVELOPMENT BANK OF KAZAK 144A 0.0257 1,613,000,000 3,749,954 3,757,893 KAZAKHSTAN GOVERNMENT INT 144A 6.5000 950,000 941,971 1,387,950 KAZAKHSTAN GOVERNMENT INT REGS 6.5000 1,100,000 1,428,755 1,607,100 KAZMUNAYGAS NATIONAL CO J REGS 4.7500 1,124,000 1,115,178 1,281,888 KENYA REPUBLIC OF KENYA GOVERNM 144A 6.3000 1,430,000 1,435,621 1,426,425 REPUBLIC OF KENYA GOVERNM 144A 6.8750 2,390,000 2,426,916 2,626,419 REPUBLIC OF KENYA GOVERNM REGS 6.8750 2,120,000 2,147,803 2,329,710 REPUBLIC OF KENYA GOVERNM REGS 7.2500 1,200,000 1,162,409 1,325,640 REPUBLIC OF KENYA GOVERNM REGS 8.2500 200,000 223,485 220,000 REPUBLIC OF KENYA INFRASTRUCTU 10.9000 130,000,000 1,235,870 1,219,100 KUWAIT KUWAIT INTERNATIONAL GOVE REGS 3.5000 3,530,000 3,508,644 3,935,597 LIBERIA ROYAL CARIBBEAN CRUISES L 144A 11.5000 3,000,000 3,471,842 3,457,500 LUXEMBOURG ADP/CDK INTERNATIONAL 2/21 TLB 0.0000 175,000 211,278 207,230 ALTICE FRANCE HOLDING SA 144A 8.0000 200,000 249,361 255,870 ARD FINANCE SA 144A 6.5000 400,000 400,279 420,000 BECTON DICKINSON EURO FINANCE 1.2130 1,090,000 1,321,674 1,278,823 CONNECT FINCO SARL / CONN 144A 6.7500 1,115,000 1,114,985 1,179,113 CONSTELLATION OIL SERVICE 144A 10.0000 253,609 199,269 63,092 CORESTATE CAPITAL HOLDING REGS 3.5000 300,000 354,788 307,179 DANA FINANCING LUXEMBOURG 144A 5.7500 2,460,000 2,472,961 2,536,875 DH EUROPE FINANCE II SARL 2.2000 860,000 859,720 897,250

End of Month: 6/30/2021 Unaudited Holdings Report Page 46 of 57 Coupon Units Cost Market Value DH EUROPE FINANCE II SARL 3.4000 290,000 325,323 318,836 DH EUROPE FINANCE II SARL 0.4500 665,000 727,806 794,554 DH EUROPE FINANCE SARL 1.2000 650,000 734,889 811,936 ENDO PHARMACEUTICALS 3/21 TLB 0.0000 248,356 247,043 239,276 EUROPEAN FINANCIAL STABIL REGS 1.4500 1,400,000 1,797,587 1,939,466 FLY LEASING 11/19 TLB 0.0000 249,635 249,635 245,112 GAZPROM OAO VIA GAZ CAPIT REGS 5.1500 700,000 771,135 787,129 GAZPROM PJSC VIA GAZ CAPI REGS 6.5100 300,000 301,882 311,724 GUARA NORTE SARL 144A 5.1980 1,937,076 1,936,849 2,019,402 HIDROVIAS INTERNATIONAL F 144A 4.9500 1,153,000 1,156,178 1,171,592 ICON 6/21 (1100MM) COV-LITE TL 0.0000 28,921 28,777 28,962 ICON 6/21 COV-LITE TLB 0.0000 116,079 115,498 116,243 INTELSAT JACKSON 6/20 DIP TL 0.0000 1,479,682 1,238,242 1,488,012 INTELSAT JACKSON HOLDINGS 144A 8.0000 2,600,000 2,620,230 2,685,202 JAZZ PHARMACEUTICALS 5/21 USD 0.0000 350,000 348,250 350,984 MILLICOM INTERNATIONAL CE 144A 4.5000 450,000 450,000 465,750 NESTLE SKIN HEALTH/SUNSHINE/ 0.0000 737,350 736,366 739,606 REDE D'OR FINANCE SARL REGS 4.5000 2,095,000 2,072,286 2,147,375 REDE D'OR FINANCE SARL REGS 4.9500 205,000 209,095 218,327 RUMO LUXEMBOURG SARL 144A 5.2500 4,400,000 4,419,873 4,709,760 TELECOM ITALIA CAPITAL SA 7.2000 60,000 63,908 77,400 TRANE TECHNOLOGIES LUXEMBOURG 4.5000 920,000 1,111,212 1,155,350 MALAYSIA AXIATA SPV5 LABUAN LTD REGS 3.0640 643,000 643,000 614,677 MALAYSIA GOVERNMENT BOND 3.4180 2,905,000 800,565 712,252 MALAYSIA GOVERNMENT BOND 3.9550 7,352,000 1,954,702 1,869,159 MALAYSIA GOVERNMENT BOND 4.2540 2,000,000 503,213 502,026 MALAYSIA GOVERNMENT BOND 4.1270 9,299,000 2,290,969 2,360,190 MALAYSIA GOVERNMENT BOND 4.7620 1,000,000 277,582 258,770 MALAYSIA GOVERNMENT BOND 4.8930 34,256,000 9,416,498 8,949,709 MALAYSIA GOVERNMENT BOND 4.9210 8,400,000 2,350,594 2,162,751 MALAYSIA GOVERNMENT BOND 3.8280 19,194,000 4,861,853 4,603,675 MALAYSIA GOVERNMENT BOND 3.7330 1,350,000 330,160 339,524 MALAYSIA GOVERNMENT BOND 3.4780 4,300,000 1,041,992 1,071,007 MALAYSIA GOVERNMENT BOND 3.8990 6,380,000 1,560,862 1,619,083 MALAYSIA GOVERNMENT BOND 3.7570 2,380,000 581,485 538,947 MALAYSIA GOVERNMENT BOND 3.8850 6,200,000 1,640,402 1,569,326 MALAYSIA GOVERNMENT BOND 4.6420 22,335,000 6,211,908 5,840,849 MALAYSIA GOVERNMENT BOND 3.8440 1,654,000 426,795 404,611 MALAYSIA GOVERNMENT INVESTMENT 4.4440 1,800,000 508,338 458,657 MALAYSIA GOVERNMENT INVESTMENT 4.7860 4,125,000 1,061,289 1,082,786 MALAYSIA GOVERNMENT INVESTMENT 3.1510 4,900,000 1,239,193 1,205,305 MALAYSIA GOVERNMENT INVESTMENT 4.4670 3,000,000 776,677 735,884 MALAYSIA GOVERNMENT INVESTMENT 3.4220 1,400,000 355,811 344,686 PETRONAS CAPITAL LTD 144A 3.5000 700,000 703,091 766,758 MARSHALL ISLANDS SEADRILL PARTNERS 7/20 PIK RC 0.0000 225 225 243 MAURITIUS AZURE POWER SOLAR ENERGY 144A 5.6500 1,600,000 1,633,649 1,696,000 MEXICO ALPEK SAB DE CV 144A 3.2500 1,600,000 1,597,783 1,619,216 AMERICA MOVIL SAB DE CV 3.1250 750,000 750,525 770,491 BBVA BANCOMER SA/TEXAS 144A 5.8750 1,500,000 1,477,874 1,639,275 BBVA BANCOMER SA/TEXAS REGS 5.1250 2,500,000 2,378,912 2,608,250 BRASKEM IDESA SAPI 144A 7.4500 2,000,000 1,993,020 2,120,020 CEMEX SAB DE CV 144A 5.2000 2,254,000 2,271,431 2,478,498 CEMEX SAB DE CV 144A 7.3750 765,000 765,000 863,532 COCA-COLA FEMSA SAB DE CV 2.7500 450,000 445,963 468,486 COMETA ENERGIA SA DE CV REGS 6.3750 1,014,540 1,016,947 1,164,185 COMISION FEDERAL DE ELECT 144A 4.6770 1,508,000 1,508,000 1,455,235 COMISION FEDERAL DE ELECT 144A 3.3480 3,281,000 3,281,000 3,254,752 COMISION FEDERAL DE ELECTRICID 7.3500 29,590,000 1,872,480 1,413,505 CORP INMOBILIARIA VESTA S 144A 3.6250 860,000 849,735 873,975 GRUPO TELEVISA SAB 4.6250 200,000 216,822 222,170 GRUPO TELEVISA SAB 7.2500 2,000,000 167,145 73,067 INDUSTRIAS PENOLES SAB DE 144A 4.7500 585,000 585,000 629,606 MEXICAN BONOS 5.7500 25,160,000 1,118,518 1,228,576 MEXICAN BONOS 7.5000 295,215,900 15,450,469 15,452,556 MEXICAN BONOS 7.7500 126,148,700 5,822,312 6,554,373 MEXICAN BONOS 8.0000 43,018,600 2,318,889 2,275,888 MEXICAN BONOS 8.5000 245,630,000 12,733,333 13,571,611 MEXICAN BONOS 10.0000 90,958,300 5,991,816 5,183,164 MEXICAN UDIBONOS 4.0000 24,589,357 1,213,852 1,343,131 MEXICO CITY AIRPORT TRUST REGS 3.8750 500,000 426,809 527,085 MEXICO CITY AIRPORT TRUST REGS 4.2500 800,000 757,856 868,400 MEXICO CITY AIRPORT TRUST REGS 5.5000 1,897,000 1,841,626 1,918,849 MEXICO GENERADORA DE ENER 144A 5.5000 2,660,143 2,797,235 2,982,711 MEXICO GOVERNMENT INTERNATIONA 1.1250 4,900,000 6,034,259 5,699,631 MEXICO GOVERNMENT INTERNATIONA 3.2500 4,532,000 4,572,076 4,679,109 MEXICO GOVERNMENT INTERNATIONA 3.6000 1,130,000 1,214,305 1,241,759 MEXICO GOVERNMENT INTERNATIONA 3.7500 880,000 879,947 804,672 MEXICO GOVERNMENT INTERNATIONA 4.1500 230,000 229,535 259,893 MEXICO GOVERNMENT INTERNATIONA 4.3500 345,000 385,832 359,928 MEXICO GOVERNMENT INTERNATIONA 4.5000 1,130,000 1,178,738 1,214,392 MEXICO GOVERNMENT INTERNATIONA 4.6000 500,000 499,099 536,509

End of Month: 6/30/2021 Unaudited Holdings Report Page 47 of 57 Coupon Units Cost Market Value MEXICO GOVERNMENT INTERNATIONA 4.7500 3,735,000 4,005,677 4,218,549 MEXICO GOVERNMENT INTERNATIONA 5.0000 680,000 630,440 771,888 MEXICO GOVERNMENT INTERNATIONA 5.7500 1,100,000 1,281,489 1,314,775 MEXICO GOVERNMENT INTERNATIONA 6.0500 282,000 323,455 353,459 MEXICO GOVERNMENT INTERNATIONA 6.7500 261,000 276,610 345,436 MEXICO GOVERNMENT INTERNATIONA 3.7710 930,000 897,361 864,703 MEXICO GOVERNMENT INTERNATIONA 2.6590 900,000 900,000 880,101 MEXICO GOVERNMENT INTERNATIONA 4.2800 9,758,000 9,751,683 10,242,387 PETROLEOS MEXICANOS 4.8750 120,000 107,998 125,940 PETROLEOS MEXICANOS 5.9500 2,000,000 1,943,000 1,943,000 PETROLEOS MEXICANOS 6.5000 4,900,000 4,886,530 5,171,950 PETROLEOS MEXICANOS 6.6250 2,700,000 2,610,971 2,607,525 PETROLEOS MEXICANOS 6.8750 1,470,000 1,196,965 1,606,563 PETROLEOS MEXICANOS 7.4700 97,464,400 4,712,084 4,384,336 PETROLEOS MEXICANOS 6.8400 340,000 346,229 350,370 PETROLEOS MEXICANOS 7.6900 1,320,000 1,232,802 1,270,500 PETROLEOS MEXICANOS 6.4900 320,000 264,563 338,000 PETROLEOS MEXICANOS 144A 6.8750 1,375,000 1,390,576 1,522,125 PETROLEOS MEXICANOS 144A 0.3620 43,250,000 2,327,413 2,067,802 PETROLEOS MEXICANOS REGS 0.3620 19,769,700 890,029 938,317 TRUST FIBRA UNO REGS 6.3900 1,000,000 1,058,071 1,170,010 TRUST FIBRA UNO REGS 6.9500 200,000 252,168 244,398 MONGOLIA DEVELOPMENT BANK OF MONGO REGS 7.2500 350,000 378,438 377,065 MONGOLIA GOVERNMENT INTER REGS 8.7500 350,000 403,375 402,506 MOZAMBIQUE MOZAMBIQUE INTERNATIONAL REGS 5.0000 3,165,000 2,957,507 2,677,179 NETHERLANDS ACTION 2/18 TL 0.0000 500,000 507,570 590,145 AKZONOBEL SPECIALTY CHEMICALS 0.0000 293,224 309,154 308,483 BOELS 6/20 TLB 0.0000 275,000 291,953 324,492 BRASKEM NETHERLANDS FINAN 144A 4.5000 4,604,000 4,575,540 4,797,000 COOPERATIEVE RABOBANK UA 4.6250 500,000 506,960 546,740 COOPERATIEVE RABOBANK UA 5.2500 250,000 248,985 334,928 CRH FUNDING BV REGS 1.6250 750,000 1,016,368 977,167 CRH FUNDING BV REGS 1.8750 1,550,000 1,734,988 1,923,251 DANFOSS FINANCE I BV REGS 0.3750 825,000 996,750 970,676 DEUTSCHE TELEKOM INTERNATIONAL 8.7500 1,369,000 2,100,243 2,051,361 DIAMOND BC BV 144A 5.6250 245,000 280,092 295,485 DIVERSEY 9/17 (USD) COV-LT TL 0.0000 606,355 586,418 602,693 EMBRAER NETHERLANDS FINANCE BV 5.4000 1,700,000 1,545,177 1,811,588 EMF-NL PRIME 2008 APRX A2 REGS 0.2520 824,691 845,597 940,298 ENEL FINANCE INTERNATIONA 144A 3.5000 4,930,000 5,238,497 5,397,871 ENEL FINANCE INTERNATIONA 144A 4.2500 350,000 349,876 377,036 EUROSAIL-NL 2007-2 NL2X A REGS 0.9520 392,540 461,895 467,635 ING GROEP NV 3.1500 760,000 759,766 776,326 ING GROEP NV 4.1000 840,000 839,912 905,871 ING GROEP NV 1.7260 200,000 200,000 201,708 ING GROEP NV REGS 0.2500 2,300,000 2,758,453 2,671,388 LEASEPLAN CORP NV 144A 2.8750 300,000 299,540 315,065 LUNDIN ENERGY FINANCE BV 144A 2.0000 200,000 199,655 200,320 LUNDIN ENERGY FINANCE BV 144A 3.1000 900,000 898,294 909,122 MONDELEZ INTERNATIONAL HO 144A 2.0000 2,350,000 2,358,246 2,359,921 MV24 CAPITAL BV 144A 6.7480 747,016 746,823 827,320 NE PROPERTY BV REGS 3.3750 1,000,000 1,217,026 1,316,799 NETHERLANDS GOVERNMENT BO 144A 0.0000 5,872,000 6,961,466 6,929,635 NXP BV / NXP FUNDING LLC 144A 2.7000 35,000 34,979 36,912 NXP BV / NXP FUNDING LLC 144A 3.8750 690,000 708,946 715,450 NXP BV / NXP FUNDING LLC 144A 4.6250 7,300,000 7,390,970 7,845,619 NXP BV / NXP FUNDING LLC 144A 4.8750 415,000 414,916 456,833 OCI NV 144A 4.6250 660,000 660,005 688,258 OCI NV 144A 5.2500 910,000 875,668 937,937 PETROBRAS GLOBAL FINANCE BV 5.6000 1,000,000 1,000,003 1,120,000 PETROBRAS GLOBAL FINANCE BV 6.7500 1,400,000 1,373,842 1,634,500 PETROBRAS GLOBAL FINANCE BV 6.8500 500,000 322,898 571,550 PETROBRAS GLOBAL FINANCE BV 8.7500 810,000 860,778 1,040,445 PETROBRAS GLOBAL FINANCE BV 5.0930 3,416,000 3,643,399 3,728,598 PROSUS NV 144A 2.0310 1,000,000 1,223,066 1,217,820 Q-PARK HOLDING I BV REGS 2.0000 4,200,000 4,780,552 4,737,718 REFRESCO 7/20 (EUR) COV-LITE T 0.0000 365,000 423,323 432,854 SENSATA TECHNOLOGIES BV 144A 5.0000 125,000 128,889 139,219 SENSATA TECHNOLOGIES BV 144A 5.6250 100,000 100,626 111,125 SHELL INTERNATIONAL FINANCE BV 2.3750 870,000 864,770 902,992 SIEMENS FINANCIERINGSMAAT 144A 1.2000 270,000 269,741 270,185 SIEMENS FINANCIERINGSMAAT REGS 0.0000 3,275,000 3,683,633 3,887,007 SYNGENTA FINANCE NV 3.1250 500,000 501,852 508,041 SYNGENTA FINANCE NV 144A 5.1820 2,080,000 2,058,397 2,377,021 SYNGENTA FINANCE NV 144A 4.4410 500,000 508,123 527,846 SYNGENTA FINANCE NV 144A 4.8920 1,400,000 1,506,686 1,551,307 TEVA PHARMACEUTICAL FINANCE NE 2.2000 526,000 523,993 525,790 TEVA PHARMACEUTICAL FINANCE NE 2.8000 375,000 372,185 373,684 TRIVIUM PACKAGING FINANCE REGS 3.7500 235,000 263,486 282,532 UPC FINANCING 4/21 AY TL 0.0000 282,500 335,218 333,050 VODAFONEZIGGO/LIBERTY GLOBAL 0.0000 280,000 280,000 276,889 VOLKSWAGEN FINANCIAL SERV REGS 1.8750 2,800,000 3,645,430 3,876,686

End of Month: 6/30/2021 Unaudited Holdings Report Page 48 of 57 Coupon Units Cost Market Value VOLKSWAGEN FINANCIAL SERV REGS 4.2500 1,800,000 2,794,718 2,810,983 VOLKSWAGEN INTERNATIONAL REGS 1.8750 4,000,000 5,166,642 5,148,250 VONOVIA FINANCE BV 144A 5.0000 2,560,000 2,587,826 2,772,035 VONOVIA FINANCE BV REGS 1.0000 1,400,000 1,754,474 1,704,589 VONOVIA FINANCE BV REGS 1.6250 1,200,000 1,580,079 1,483,461 WINTERSHALL DEA FINANCE B REGS 0.8400 1,400,000 1,561,718 1,691,018 WINTERSHALL DEA FINANCE B REGS 1.8230 1,700,000 2,119,879 2,087,938 ZIGGO BV 144A 5.5000 300,000 299,516 311,700 NEW ZEALAND BANK OF NEW ZEALAND 144A 1.0000 425,000 422,608 419,240 BANK OF NEW ZEALAND 144A 2.0000 250,000 248,988 258,506 CCP_IRS. P NZD-BBR-FRA 3M CME 0.6875 2,713,000 1,277 -54,371 CCP_IRS. P NZD-BBR-FRA 3M CME 2.0313 1,032,000 2,255 6,899 CCP_IRS. P NZD-BBR-FRA 3M CME 1.1563 4,739,000 0 -44,591 CCP_IRS. R NZD-BBR-FRA 3M CME 0.0100 4,674,000 0 -1,767 CHINA CONSTRUCTION BANK N REGS 0.8845 700,000 699,050 701,144 NEW ZEALAND GOVERNMENT BO REGS 2.7500 182,000 147,366 134,833 NEW ZEALAND GOVERNMENT BOND 3.0000 2,075,000 1,625,233 1,604,930 NIGERIA NIGERIA GOVERNMENT BOND 16.3900 267,680,000 823,038 686,697 NORWAY ADEVINTA 10/20 COV-LITE TLB 0.0000 100,000 99,000 99,969 AKER BP ASA 144A 3.0000 485,000 483,934 509,069 AKER BP ASA 144A 3.7500 3,400,000 3,400,812 3,668,889 CCP_IRS. P NOK-NIBOR-NIBR 6M C 1.5300 25,716,000 4,143 923 CCP_IRS. R NOK-NIBOR-NIBR 6M C 0.0100 46,860,000 1,180 24,014 EQUINOR ASA 2.3750 4,320,000 4,362,875 4,454,183 EQUINOR ASA 3.2500 150,000 149,518 159,237 NORWAY GOVERNMENT BOND 144A 1.2500 24,538,000 2,895,872 2,818,169 NORWAY GOVERNMENT BOND 144A 2.0000 5,470,000 659,460 651,804 YARA INTERNATIONAL ASA 144A 3.1480 800,000 800,000 855,808 OMAN OMAN GOVERNMENT INTERNATI 144A 4.8750 3,778,000 3,907,356 3,954,622 OMAN GOVERNMENT INTERNATI 144A 6.2500 4,500,000 4,574,869 4,829,985 PAKISTAN PAKISTAN GOVERNMENT INTER 144A 6.0000 2,800,000 2,800,000 2,835,000 PAKISTAN GOVERNMENT INTER 144A 8.2500 245,000 246,365 270,992 PAKISTAN GOVERNMENT INTER REGS 8.2500 1,700,000 1,786,874 1,853,204 THIRD PAKISTAN INTERNATIO REGS 5.5000 400,000 402,865 402,000 PANAMA AES PANAMA GENERATION HOL 144A 4.3750 1,435,000 1,434,925 1,499,797 CARNIVAL 6/20 (USD) TLB 0.0000 193,538 185,796 197,973 CARNIVAL CORP 144A 5.7500 5,738,000 5,738,131 6,010,555 CARNIVAL CORP 144A 7.6250 45,000 44,992 48,881 CARNIVAL CORP 144A 11.5000 325,000 334,388 365,755 PANAMA GOVERNMENT INTERNATIONA 3.1600 560,000 567,080 587,306 PANAMA GOVERNMENT INTERNATIONA 3.8750 800,000 778,740 878,368 PANAMA GOVERNMENT INTERNATIONA 4.3000 2,000,000 2,264,541 2,216,980 PANAMA GOVERNMENT INTERNATIONA 4.5000 2,625,000 2,796,357 2,973,524 PANAMA GOVERNMENT INTERNATIONA 7.1250 475,000 550,959 589,599 PANAMA GOVERNMENT INTERNATIONA 2.2520 490,000 492,579 470,160 PANAMA GOVERNMENT INTERNATIONA 3.8700 1,470,000 1,656,111 1,500,292 PANAMA NOTAS DEL TESORO 3.7500 3,545,000 3,660,765 3,821,156 PARAGUAY PARAGUAY GOVERNMENT INTER 144A 5.6000 1,525,000 1,574,340 1,791,875 PARAGUAY GOVERNMENT INTER 144A 2.7390 3,528,000 3,528,000 3,430,980 PARAGUAY GOVERNMENT INTER REGS 4.9500 850,000 991,206 977,500 PARAGUAY GOVERNMENT INTER REGS 5.0000 205,000 221,271 232,983 PERU BANCO DE CREDITO DEL PERU 144A 3.2500 1,415,000 1,414,134 1,400,850 INRETAIL CONSUMER 144A 3.2500 1,570,000 1,570,000 1,549,794 PERU GOVERNMENT BOND 5.3500 5,051,000 1,452,522 1,166,487 PERU GOVERNMENT BOND 5.4000 13,395,000 3,891,777 3,306,360 PERU GOVERNMENT BOND 6.1500 27,671,000 8,553,754 7,569,158 PERUVIAN GOVERNMENT INTER 144A 1.5674 5,950,000 1,975,871 1,737,575 PERUVIAN GOVERNMENT INTER REGS 1.5674 2,865,000 950,303 836,664 PERUVIAN GOVERNMENT INTERNATIO 3.5500 150,000 144,942 155,282 PERUVIAN GOVERNMENT INTERNATIO 6.5500 260,000 324,145 357,828 PERUVIAN GOVERNMENT INTERNATIO 8.7500 244,000 334,984 382,968 PERUVIAN GOVERNMENT INTERNATIO 2.7830 805,000 806,596 819,466 PERUVIAN GOVERNMENT INTERNATIO 2.7800 200,000 171,075 178,008 PHILIPPINES PHILIPPINE GOVERNMENT INTERNAT 2.9500 3,624,000 3,603,550 3,496,535 PHILIPPINE GOVERNMENT INTERNAT 3.9500 450,000 524,421 499,574 PHILIPPINE GOVERNMENT INTERNAT 6.3750 2,540,000 3,594,249 3,534,671 PHILIPPINE GOVERNMENT INTERNAT 1.6480 200,000 200,000 193,025 POLAND REPUBLIC OF POLAND GOVERNMENT 1.2500 3,533,000 897,495 898,456 REPUBLIC OF POLAND GOVERNMENT 2.5000 2,100,000 538,709 584,823 REPUBLIC OF POLAND GOVERNMENT 3.2500 3,695,000 957,646 1,056,690 REPUBLIC OF POLAND GOVERNMENT 5.7500 19,000,000 5,113,290 5,333,675 PORTUGAL PORTUGAL OBRIGACOES DO TE 144A 0.7000 1,505,000 1,640,335 1,876,578 PORTUGAL OBRIGACOES DO TE 144A 1.9500 924,000 1,248,979 1,258,257 PORTUGAL OBRIGACOES DO TE 144A 2.2000 1,145,000 1,399,170 1,407,901

End of Month: 6/30/2021 Unaudited Holdings Report Page 49 of 57 Coupon Units Cost Market Value PORTUGAL OBRIGACOES DO TE 144A 4.1000 300,000 418,829 532,827 QATAR QATAR GOVERNMENT INTERNAT 144A 3.7500 2,105,000 2,119,478 2,381,702 QATAR GOVERNMENT INTERNAT 144A 3.8750 215,000 214,439 228,223 QATAR GOVERNMENT INTERNAT 144A 4.0000 3,200,000 3,484,897 3,682,432 QATAR GOVERNMENT INTERNAT 144A 4.4000 1,535,000 1,730,860 1,868,322 QATAR GOVERNMENT INTERNAT REGS 3.3750 300,000 299,812 321,750 QATAR GOVERNMENT INTERNAT REGS 3.8750 4,130,000 4,118,665 4,384,012 QATAR GOVERNMENT INTERNAT REGS 4.0000 450,000 471,423 517,842 QATAR GOVERNMENT INTERNAT REGS 4.4000 4,000,000 4,941,053 4,868,592 QATAR GOVERNMENT INTERNAT REGS 4.6250 300,000 358,555 371,805 ROMANIA ROMANIA GOVERNMENT BOND 3.6500 14,750,000 3,790,018 3,687,314 ROMANIA GOVERNMENT BOND 4.0000 2,700,000 698,148 674,039 ROMANIA GOVERNMENT BOND 4.7500 8,500,000 2,257,695 2,197,262 ROMANIAN GOVERNMENT INTER 144A 1.3750 1,160,000 1,367,137 1,370,829 ROMANIAN GOVERNMENT INTER 144A 2.0000 3,700,000 4,301,484 4,378,714 ROMANIAN GOVERNMENT INTER 144A 2.6250 3,400,000 4,021,438 3,995,030 ROMANIAN GOVERNMENT INTER 144A 2.7500 175,000 207,538 205,990 ROMANIAN GOVERNMENT INTER 144A 3.3750 860,000 982,599 1,116,565 ROMANIAN GOVERNMENT INTER 144A 3.6240 700,000 816,507 959,336 ROMANIAN GOVERNMENT INTER REGS 1.3750 974,000 1,161,626 1,151,024 ROMANIAN GOVERNMENT INTER REGS 2.1240 2,000,000 2,304,423 2,445,859 RUSSIA RUSSIAN FEDERAL BOND - OFZ 6.1000 160,000,000 2,097,798 1,998,550 RUSSIAN FEDERAL BOND - OFZ 7.0000 496,400,000 7,658,105 6,831,010 RUSSIAN FEDERAL BOND - OFZ 7.1500 276,100,000 3,829,801 3,820,025 RUSSIAN FEDERAL BOND - OFZ 7.2500 206,025,000 2,812,832 2,858,961 RUSSIAN FEDERAL BOND - OFZ 7.5000 40,000 632 549 RUSSIAN FEDERAL BOND - OFZ 7.6500 390,000,000 5,891,769 5,555,119 RUSSIAN FEDERAL BOND - OFZ 8.5000 433,025,000 7,118,107 6,535,348 RUSSIAN FEDERAL BOND - OFZ 7.7000 128,475,000 1,731,414 1,854,225 RUSSIAN FEDERAL BOND - OFZ 8.1500 400,943,000 7,212,788 5,800,976 RUSSIAN FEDERAL INFLATION LINK 2.5000 122,492,780 1,858,915 1,650,726 RUSSIAN FOREIGN BOND - EU 144A 4.3750 2,000,000 2,060,402 2,252,540 RUSSIAN FOREIGN BOND - EU 144A 5.1000 1,200,000 1,200,070 1,426,512 RUSSIAN FOREIGN BOND - EU REGS 4.2500 800,000 798,124 893,008 RUSSIAN FOREIGN BOND - EU REGS 4.7500 1,400,000 1,516,013 1,590,750 RUSSIAN FOREIGN BOND - EU REGS 5.1000 1,800,000 2,155,321 2,139,768 RUSSIAN FOREIGN BOND - EU REGS 5.2500 3,800,000 3,890,823 4,773,058 SENEGAL SENEGAL GOVERNMENT INTERN 144A 4.7500 1,800,000 2,221,814 2,223,228 SENEGAL GOVERNMENT INTERN 144A 5.3750 1,600,000 1,961,825 1,868,030 SENEGAL GOVERNMENT INTERN REGS 4.7500 1,000,000 1,175,830 1,235,127 SERBIA SERBIA INTERNATIONAL BOND 144A 1.5000 914,000 1,027,154 1,091,810 SERBIA INTERNATIONAL BOND 144A 3.1250 2,280,000 2,445,761 3,006,765 SINGAPORE BOC AVIATION LTD 144A 2.7500 2,120,000 2,116,838 2,157,870 FLEX LTD 3.7500 145,000 156,387 158,577 FLEX LTD 5.0000 100,000 102,211 106,594 SINGAPORE GOVERNMENT BOND 2.7500 545,000 425,289 463,019 SINGAPORE GOVERNMENT BOND 3.0000 1,082,000 814,952 864,666 SINGAPORE GOVERNMENT BOND 3.5000 1,545,000 1,279,620 1,300,526 SLOVAKIA SLOVAKIA GOVERNMENT BOND REGS 3.3750 355,000 500,271 477,553 SLOVENIA SLOVENIA GOVERNMENT BOND REGS 3.1250 150,000 180,483 269,496 SOUTH AFRICA CCP_IRS. P ZAR-JIBAR-SAFEX 3M 4.8475 101,800,000 1,390 -275,049 GROWTHPOINT PROPERTIES IN REGS 5.8720 1,843,000 1,861,693 1,972,637 REPUBLIC OF SOUTH AFRICA GOVER 4.8500 6,203,000 6,267,115 6,660,471 REPUBLIC OF SOUTH AFRICA GOVER 4.8750 1,200,000 1,273,194 1,302,384 REPUBLIC OF SOUTH AFRICA GOVER 6.5000 274,185,000 17,135,106 12,896,272 REPUBLIC OF SOUTH AFRICA GOVER 7.0000 27,800,000 1,628,223 1,670,288 REPUBLIC OF SOUTH AFRICA GOVER 8.0000 244,250,000 14,313,546 16,221,097 REPUBLIC OF SOUTH AFRICA GOVER 8.7500 71,570,000 4,347,714 4,242,448 REPUBLIC OF SOUTH AFRICA GOVER 8.8750 70,600,000 4,175,526 4,488,025 REPUBLIC OF SOUTH AFRICA GOVER 10.5000 31,800,000 2,392,249 2,531,528 SOUTH KOREA KOREA TREASURY BOND 1.3750 1,026,080,000 834,364 863,636 KOREA TREASURY BOND 1.5000 2,393,380,000 1,977,047 1,855,771 KOREA TREASURY BOND 2.1250 1,894,050,000 1,659,899 1,682,017 KOREA TREASURY BOND 2.3750 4,136,900,000 3,774,511 3,756,126 KOREA TREASURY BOND 2.6250 335,000,000 337,484 321,746 KOREA TREASURY BOND 2.7500 1,289,080,000 1,276,539 1,255,353 KOREA TREASURY BOND 3.0000 985,880,000 916,870 914,250 KOREA TREASURY BOND 3.7500 2,022,990,000 2,100,283 2,092,728 SK TELECOM CO LTD 144A 3.7500 700,000 699,393 737,079 SPAIN AI CANDELARIA SPAIN SLU REGS 7.5000 1,061,000 1,115,741 1,184,341 BANCO BILBAO VIZCAYA ARGENTARI 0.8750 200,000 199,838 200,692 BANCO SANTANDER SA 3.1250 2,600,000 2,598,260 2,708,373 BANCO SANTANDER SA 3.5000 400,000 399,787 409,709 BANCO SANTANDER SA 2.7460 400,000 400,000 421,519

End of Month: 6/30/2021 Unaudited Holdings Report Page 50 of 57 Coupon Units Cost Market Value BANCO SANTANDER SA 3.8480 2,000,000 2,000,000 2,116,424 BANCO SANTANDER SA 0.7010 600,000 600,000 601,198 BANCO SANTANDER SA 2.7490 200,000 199,987 198,124 BANCO SANTANDER SA 1.8490 800,000 800,000 808,532 BOLUDA TOWAGE 9/19 COV-LITE TL 0.0000 100,000 109,208 118,226 MASMOVIL 12/19 TLB 0.0000 276,596 275,339 299,605 SPAIN GOVERNMENT BOND 0.0000 9,055,000 10,958,766 10,805,900 SPAIN GOVERNMENT BOND 144A 0.5000 5,145,000 6,122,559 6,109,436 SPAIN GOVERNMENT BOND 144A 1.5000 428,000 503,481 555,649 SPAIN GOVERNMENT BOND 144A 1.8500 1,070,000 1,467,900 1,449,226 SPAIN GOVERNMENT BOND 144A 2.7000 1,400,000 2,318,520 2,177,414 SPAIN GOVERNMENT BOND 144A 3.4500 170,000 258,857 310,009 SPAIN GOVERNMENT BOND 144A 4.7000 75,000 85,044 146,947 SPAIN GOVERNMENT BOND 144A 0.8500 1,030,000 1,222,207 1,202,099 ZODIAC/FLUIDRA 1/20 (EUR) 0.0000 153,853 189,677 182,492 ZODIAC/FLUIDRA 1/20 (USD) COV- 0.0000 92,549 92,381 92,201 SRI LANKA SRI LANKA GOVERNMENT INTE 144A 6.2000 1,890,000 1,807,722 1,157,266 SRI LANKA GOVERNMENT INTE REGS 5.7500 2,750,000 2,347,343 2,336,283 SRI LANKA GOVERNMENT INTE REGS 5.8750 450,000 453,532 378,000 SRI LANKA GOVERNMENT INTE REGS 6.1250 600,000 607,343 396,906 SRI LANKA GOVERNMENT INTE REGS 6.2500 3,200,000 3,158,149 3,120,000 SRI LANKA GOVERNMENT INTE REGS 6.7500 240,000 154,863 148,800 SRI LANKA GOVERNMENT INTE REGS 6.8500 600,000 611,232 399,000 SRI LANKA GOVERNMENT INTE REGS 7.5500 460,000 280,481 289,800 SUPRANATIONAL GEOGRAPHIC FOCUS AFRICAN DEVELOPMENT BANK 1.6250 355,000 361,056 360,992 ASIAN DEVELOPMENT BANK 1.6250 1,180,000 1,205,840 1,205,112 ASIAN DEVELOPMENT BANK 1.7500 1,205,000 1,227,095 1,227,475 ASIAN DEVELOPMENT BANK 1.8750 670,000 667,961 694,169 ASIAN DEVELOPMENT BANK 2.6250 1,942,000 2,055,512 2,050,538 ASIAN DEVELOPMENT BANK 2.7500 520,000 518,981 568,513 EUROPEAN BANK FOR RECONSTRUCTI 1.5000 500,000 518,766 514,252 EUROPEAN INVESTMENT BANK 0.6250 1,320,000 1,325,783 1,307,533 EUROPEAN INVESTMENT BANK 1.6250 1,445,000 1,442,025 1,492,965 EUROPEAN INVESTMENT BANK 2.3750 760,000 755,874 814,992 EUROPEAN INVESTMENT BANK 2.5000 1,930,000 2,004,763 2,003,770 EUROPEAN INVESTMENT BANK 3.2500 1,975,000 2,125,863 2,116,330 EUROPEAN INVESTMENT BANK 0.1250 2,670,000 2,823,077 3,236,963 EUROPEAN INVESTMENT BANK REGS 1.1250 1,400,000 1,725,329 1,846,681 EUROPEAN UNION REGS 0.0000 9,674,000 11,722,963 11,458,304 EUROPEAN UNION REGS 0.2000 4,550,000 5,324,355 5,259,848 INTER-AMERICAN DEVELOPMENT BAN 2.5000 1,705,000 1,764,212 1,764,557 INTER-AMERICAN DEVELOPMENT BAN 2.6250 2,395,000 2,533,783 2,526,726 INTERNATIONAL BANK FOR RECONST 0.5000 630,000 629,383 622,245 INTERNATIONAL BANK FOR RECONST 0.7500 2,935,000 2,925,317 2,805,406 INTERNATIONAL BANK FOR RECONST 1.6250 1,090,000 1,133,033 1,127,485 INTERNATIONAL BANK FOR RECONST 2.0000 860,000 868,792 868,910 INTERNATIONAL BANK FOR RECONST 2.5000 2,310,000 2,447,615 2,436,924 INTERNATIONAL BANK FOR RECONST 3.0000 1,000,000 1,060,234 1,058,286 INTERNATIONAL FINANCE CORP 2.8750 445,000 469,058 468,670 SWEDEN CCP_IRS. P SEK-STIBOR-SIDE 3M 0.3800 51,431,000 10,534 -12,181 CCP_IRS. R SEK-STIBOR-SIDE 3M 0.0100 19,114,000 0 -678 SWEDBANK AB 144A 0.6000 250,000 249,977 250,080 SWEDEN GOVERNMENT BOND 144A 0.1250 11,780,000 1,400,189 1,345,220 VERISURE HOLDING 1/21 TL 0.0000 1,270,000 1,531,908 1,500,882 VERISURE HOLDING 7/20 TLB 0.0000 315,000 353,967 372,374 SWITZERLAND CREDIT SUISSE AG 144A 6.5000 3,490,000 3,601,289 3,855,194 CREDIT SUISSE AG REGS 6.5000 750,000 774,363 828,480 CREDIT SUISSE AG/NEW YORK NY 3.0000 600,000 599,857 605,450 CREDIT SUISSE AG/NEW YORK NY 3.6250 2,560,000 2,554,665 2,781,244 CREDIT SUISSE AG/NEW YORK NY 0.4950 250,000 250,000 248,969 CREDIT SUISSE GROUP AG 3.7500 1,550,000 1,529,350 1,681,295 CREDIT SUISSE GROUP AG 3.8000 500,000 506,954 529,888 CREDIT SUISSE GROUP AG 144A 5.2500 200,000 212,103 211,500 CREDIT SUISSE GROUP AG 144A 3.5740 400,000 398,117 406,334 CREDIT SUISSE GROUP AG 144A 2.9970 2,830,000 2,816,507 2,922,444 CREDIT SUISSE GROUP AG 144A 4.2070 2,560,000 2,560,000 2,726,547 CREDIT SUISSE GROUP AG 144A 2.5930 330,000 330,000 343,324 CREDIT SUISSE GROUP AG 144A 3.0910 5,802,000 5,807,887 5,977,520 CREDIT SUISSE GROUP AG REGS 2.2500 1,200,000 1,744,302 1,700,387 SWISS CONFEDERATION GOVER REGS 0.0000 605,000 719,584 673,050 SWISS CONFEDERATION GOVER REGS 1.5000 620,000 747,700 876,646 SWISS CONFEDERATION GOVER REGS 3.2500 370,000 461,794 491,422 UBS AG REGS 5.1250 3,530,000 3,538,569 3,891,825 UBS AG/LONDON 144A 1.7500 2,410,000 2,408,715 2,436,987 UBS AG/STAMFORD CT 7.6250 2,610,000 2,664,156 2,807,800 UBS GROUP AG 144A 4.1250 250,000 258,199 278,907 UBS GROUP AG 144A 3.4910 1,440,000 1,439,975 1,478,950 UBS GROUP AG 144A 2.8590 250,000 250,000 256,549 UBS GROUP AG 144A 3.1260 1,870,000 2,569,235 2,004,111 UBS GROUP AG 144A 1.0080 230,000 230,000 231,656 UBS GROUP AG 144A 2.0950 585,000 585,000 573,085

End of Month: 6/30/2021 Unaudited Holdings Report Page 51 of 57 Coupon Units Cost Market Value UBS GROUP AG 144A 1.3701 2,300,000 2,299,871 2,321,683 UBS GROUP AG 144A 1.1059 2,830,000 2,830,000 2,854,934 UBS GROUP AG REGS 0.2500 1,700,000 2,050,215 1,994,011 THAILAND BANGKOK BANK PCL/HONG KON REGS 3.7330 1,144,000 1,124,088 1,186,568 GC TREASURY CENTER CO LTD 144A 2.9800 1,015,000 1,001,910 1,036,823 KASIKORNBANK PCL/HONG KON REGS 3.3430 656,000 667,453 671,465 THAILAND GOVERNMENT BOND 2.1250 182,290,000 5,785,432 6,043,853 THAILAND GOVERNMENT BOND 2.8750 36,000,000 1,442,061 1,179,155 THAILAND GOVERNMENT BOND 3.3000 9,082,000 374,261 319,168 THAILAND GOVERNMENT BOND 4.6750 22,405,000 816,008 959,919 THAILAND GOVERNMENT BOND 4.8750 55,865,000 2,139,540 2,184,497 TUNISIA BANQUE CENTRALE DE TUNISI 144A 6.7500 5,600,000 6,237,727 6,409,135 BANQUE CENTRALE DE TUNISI REGS 5.6250 1,235,000 1,396,040 1,365,258 BANQUE CENTRALE DE TUNISI REGS 5.7500 465,000 442,911 432,729 TURKEY TURKEY GOVERNMENT BOND 8.0000 6,850,000 1,060,993 589,396 TURKEY GOVERNMENT BOND 10.6000 1,875,000 251,584 169,101 TURKEY GOVERNMENT BOND 13.8000 17,400,000 2,456,534 1,979,544 TURKEY GOVERNMENT BOND 11.7000 3,400,000 452,920 301,353 TURKEY GOVERNMENT BOND 2.0000 4,582,910 1,017,410 514,341 TURKEY GOVERNMENT BOND 3.2000 1,602,787 266,960 189,825 TURKEY GOVERNMENT BOND 4.1000 20,411,552 3,047,810 2,478,755 TURKEY GOVERNMENT INTERNATIONA 4.2500 3,160,000 3,115,690 3,033,916 TURKEY GOVERNMENT INTERNATIONA 5.1250 385,000 338,638 373,758 TURKEY GOVERNMENT INTERNATIONA 5.8750 2,400,000 2,386,599 2,329,200 TURKEY GOVERNMENT INTERNATIONA 6.0000 1,250,000 1,053,349 1,129,550 TURKEY GOVERNMENT INTERNATIONA 6.3750 885,000 884,179 926,117 TURKEY GOVERNMENT INTERNATIONA 7.6250 450,000 506,564 492,615 UKRAINE UKRAINE GOVERNMENT BOND 10.0000 20,900,000 801,977 730,805 UKRAINE GOVERNMENT BOND 16.0000 30,000,000 1,167,482 1,107,919 UKRAINE GOVERNMENT BOND 15.8400 85,669,000 3,827,979 3,418,817 UKRAINE GOVERNMENT BOND 17.0000 35,122,000 1,416,913 1,350,612 UKRAINE GOVERNMENT BOND 14.9100 12,129,000 465,476 460,418 UKRAINE GOVERNMENT BOND 11.6700 1,683,000 72,889 60,586 UKRAINE GOVERNMENT BOND 15.9700 30,700,000 1,192,486 1,190,862 UKRAINE GOVERNMENT INTERN 144A 6.7500 1,749,000 2,111,293 2,261,849 UKRAINE GOVERNMENT INTERN 144A 7.2530 1,300,000 1,420,017 1,353,563 UKRAINE GOVERNMENT INTERN 144A 0.5906 2,900,000 114,183 115,731 UKRAINE GOVERNMENT INTERN REGS 4.3750 700,000 730,900 774,388 UKRAINE GOVERNMENT INTERN REGS 7.3750 600,000 514,087 630,557 UKRAINE GOVERNMENT INTERN REGS 7.7500 800,000 805,922 806,426 UKRAINE GOVERNMENT INTERN REGS 8.9940 2,080,000 2,046,049 2,303,600 UKRAINE GOVERNMENT INTERN REGS 1.2580 2,245,000 1,726,950 2,660,325 UNITED ARAB EMIRATES ABU DHABI GOVERNMENT INTE 144A 1.7000 440,000 438,751 424,512 ABU DHABI GOVERNMENT INTE 144A 3.8750 700,000 685,791 805,875 ABU DHABI GOVERNMENT INTE REGS 1.7000 1,000,000 967,667 964,800 ABU DHABI GOVERNMENT INTE REGS 2.7000 1,200,000 1,208,367 1,086,720 ABU DHABI GOVERNMENT INTE REGS 3.1250 1,725,000 1,776,112 1,885,065 ABU DHABI GOVERNMENT INTE REGS 3.8750 450,000 558,697 518,063 ABU DHABI NATIONAL ENERGY REGS 3.8750 400,000 413,526 433,500 DAE SUKUK DIFC LTD 144A 3.7500 600,000 596,754 634,452 UNITED KINGDOM ANGLO AMERICAN CAPITAL PL 144A 2.2500 3,935,000 3,913,349 3,978,579 ANGLO AMERICAN CAPITAL PL 144A 2.6250 475,000 483,049 476,797 ANGLO AMERICAN CAPITAL PL 144A 2.8750 970,000 967,635 991,601 ANTOFAGASTA PLC 144A 2.3750 1,290,000 1,285,736 1,242,915 ASTRAZENECA PLC 0.7000 4,150,000 4,135,571 4,040,557 ASTRAZENECA PLC 3.5000 150,000 153,346 159,321 BARCLAYS BANK PLC 7.6250 776,000 787,842 846,259 BARCLAYS PLC 4.6100 2,120,000 2,124,236 2,174,277 BARCLAYS PLC 4.3380 400,000 398,773 426,474 BARCLAYS PLC 4.9720 1,100,000 1,100,000 1,288,074 BARCLAYS PLC 2.8520 4,300,000 4,310,328 4,542,833 BARCLAYS PLC 3.5640 6,851,000 6,891,733 7,137,646 BARCLAYS PLC 1.0070 760,000 760,000 762,711 BARCLAYS PLC 3.8110 210,000 205,985 221,547 BARCLAYS PLC 2.6670 1,300,000 1,300,000 1,307,076 BARCLAYS PLC 1.7440 2,120,000 2,120,000 2,135,847 BARCLAYS PLC 1.5859 3,580,000 3,585,992 3,606,153 BELLIS ACQUISITION CO PLC 144A 3.2500 1,200,000 1,661,421 1,659,812 BELLIS ACQUISITION/ASDA 2/21 0.0000 175,000 212,284 206,734 BP CAPITAL MARKETS PLC REGS 1.1040 525,000 675,387 624,237 CCP_IRS. P GBP-SONIA-COMPOUND 0.6900 22,057,000 19,863 19,902 CCP_IRS. R GBP-SONIA-COMPOUND 0.0100 1,645,000 0 -708 CCP_OIS. R GBP-SONIA-COMPOUND 0.0100 2,804,000 0 -4,966 CCP_OIS. R STERLING OVERNIGHT 0.0100 4,800,000 1,999 -13,030 CCP_OIS. R STERLING OVERNIGHT 0.0495 13,800,000 0 72 CCP_ZCS. P GBP-SONIA-COMPOUND 0.3800 22,054,000 3,963 3,940 CINEWORLD 2/18 (USD) COV-LITE 0.0000 333,903 333,461 293,558 CINEWORLD 2/20 INCREMENTAL TL 0.0000 250,000 165,000 169,028 EURO GARAGES/EG GROUP 3/21 2ND 0.0000 220,000 260,500 260,702

End of Month: 6/30/2021 Unaudited Holdings Report Page 52 of 57 Coupon Units Cost Market Value FERGUSON FINANCE PLC 144A 3.2500 400,000 398,359 431,702 FORMULA ONE 1/18 (USD) 0.0000 390,881 391,161 388,501 FRESNILLO PLC 144A 4.2500 900,000 892,003 913,500 GAZPROM PJSC VIA GAZ FINA 144A 1.5000 5,100,000 6,186,555 6,041,195 GAZPROM PJSC VIA GAZ FINA 144A 3.2500 2,400,000 2,445,753 2,388,048 GLAXOSMITHKLINE CAPITAL PLC 0.5340 3,010,000 3,010,000 3,020,856 GREAT HALL MORTGAGE 2X AC REGS 0.2545 135,301 123,730 133,336 HSBC HOLDINGS PLC 3.6000 1,940,000 1,939,779 2,054,142 HSBC HOLDINGS PLC 4.3000 655,000 673,547 738,799 HSBC HOLDINGS PLC 4.9500 280,000 279,685 337,907 HSBC HOLDINGS PLC 4.0410 800,000 800,000 887,247 HSBC HOLDINGS PLC 3.0330 390,000 390,000 403,946 HSBC HOLDINGS PLC 4.5830 2,160,000 2,172,809 2,496,440 HSBC HOLDINGS PLC 3.8030 1,000,000 1,000,000 1,075,284 HSBC HOLDINGS PLC 2.6330 7,364,000 8,874,367 7,728,763 HSBC HOLDINGS PLC 2.8480 1,800,000 1,800,000 1,868,703 HSBC HOLDINGS PLC 2.3570 5,300,000 5,370,853 5,303,616 HSBC HOLDINGS PLC 1.6450 575,000 574,996 582,709 HSBC HOLDINGS PLC 0.9760 300,000 300,000 299,748 HSBC HOLDINGS PLC 2.8040 545,000 545,000 559,306 HSBC HOLDINGS PLC 1.1551 1,590,000 1,590,000 1,610,988 HSBC HOLDINGS PLC 1.7500 1,490,000 2,066,133 2,080,805 HYPERION INSURANCE 10/20 INCRE 0.0000 169,242 167,549 169,665 JAGUAR LAND ROVER AUTOMOT REGS 5.8750 936,000 1,196,080 1,219,284 LGC 1/20 (EUR) COV-LITE TL 0.0000 185,000 203,963 216,500 LLOYDS BANK PLC REGS 7.5000 1,600,000 1,266,089 1,250,591 LLOYDS BANK PLC REGS 7.5000 300,000 475,831 491,603 LLOYDS BANKING GROUP PLC 4.0500 1,940,000 1,939,753 2,079,858 LLOYDS BANKING GROUP PLC 3.5740 200,000 219,073 218,755 LLOYDS BANKING GROUP PLC 2.4380 950,000 950,000 990,684 LLOYDS BANKING GROUP PLC 0.6950 970,000 970,001 972,607 LLOYDS BANKING GROUP PLC 1.6270 11,348,000 11,348,102 11,353,862 MARB BONDCO PLC 144A 3.9500 2,252,000 2,252,000 2,171,378 MASMOVIL 6/20 NEW MONEY TLB2 0.0000 135,000 148,553 160,137 MISYS 6/17 (USD) COV-LITE TLB 0.0000 294,999 294,375 290,175 NATIONAL GRID GAS PLC REGS 1.6250 450,000 554,298 547,696 NATIONWIDE BUILDING SOCIE 144A 3.7660 8,480,000 8,480,000 8,905,181 NATIONWIDE BUILDING SOCIE 144A 3.6220 200,000 200,000 205,086 NATWEST GROUP PLC 3.8750 220,000 226,392 235,014 NATWEST GROUP PLC 4.8000 1,940,000 1,961,762 2,221,173 NATWEST GROUP PLC 2.3590 220,000 220,000 226,678 NATWEST GROUP PLC 3.0730 1,678,000 1,678,000 1,770,730 NATWEST GROUP PLC 3.0320 7,265,000 7,216,278 7,276,624 NATWEST GROUP PLC 1.6420 7,591,000 7,591,000 7,590,050 NATWEST GROUP PLC 1.6973 1,100,000 1,100,000 1,124,931 NATWEST GROUP PLC 5.0760 2,700,000 2,702,006 3,200,764 NATWEST MARKETS PLC 144A 0.8000 200,000 199,645 199,083 NATWEST MARKETS PLC 144A 3.6250 250,000 249,950 260,006 PINNACLE BIDCO PLC REGS 5.5000 2,300,000 2,810,026 2,795,759 R&R ICE CREAM/FRONERI 1/20 0.0000 423,500 446,291 456,531 ROLLS-ROYCE PLC 144A 3.6250 1,800,000 1,804,465 1,822,509 ROLLS-ROYCE PLC REGS 0.8750 200,000 236,025 233,451 ROLLS-ROYCE PLC REGS 5.7500 300,000 454,688 453,591 ROYALTY PHARMA PLC 144A 0.7500 1,675,000 1,666,450 1,679,706 ROYALTY PHARMA PLC 144A 2.2000 1,200,000 1,218,713 1,176,558 ROYALTY PHARMA PLC 144A 3.3000 300,000 306,437 302,096 SANTANDER UK GROUP HOLDIN 144A 4.7500 1,755,000 1,703,036 1,969,249 SANTANDER UK GROUP HOLDIN REGS 7.3750 300,000 385,515 437,216 SANTANDER UK GROUP HOLDINGS PL 2.8750 1,532,000 1,531,917 1,535,537 SANTANDER UK GROUP HOLDINGS PL 4.7960 3,090,000 3,090,000 3,378,574 SANTANDER UK GROUP HOLDINGS PL 2.8960 1,820,000 1,820,000 1,875,299 SANTANDER UK GROUP HOLDINGS PL 1.0890 3,050,000 3,050,000 3,059,752 SANTANDER UK GROUP HOLDINGS PL 1.6730 5,785,000 5,785,000 5,776,151 SOCIETY OF LLOYD'S REGS 4.7500 880,000 1,189,001 1,346,181 STANDARD CHARTERED PLC 144A 2.7440 420,000 420,000 421,746 STANDARD CHARTERED PLC 144A 0.9910 200,000 200,000 199,371 STANDARD CHARTERED PLC 144A 2.6780 12,567,000 12,567,000 12,608,606 TESCO PLC 6.1250 100,000 137,761 143,203 TESCO PROPERTY FINANCE 3 REGS 5.7440 417,654 587,413 771,790 TRINITY ACQUISITION PLC 3.5000 325,000 324,983 326,227 UNITED KINGDOM GILT REGS 0.5000 1,572,000 1,820,651 1,715,910 UNITED KINGDOM GILT REGS 0.6250 1,230,000 1,572,325 1,443,803 UNITED KINGDOM GILT REGS 2.5000 1,233,000 2,044,045 2,502,393 UNITED KINGDOM GILT REGS 3.5000 1,442,000 2,528,748 2,917,916 UNITED KINGDOM GILT REGS 3.7500 284,000 524,102 648,093 UNITED KINGDOM GILT REGS 4.2500 3,440,000 7,436,959 7,598,156 UNITED KINGDOM GILT REGS 0.8750 5,808,000 8,221,203 8,162,107 UNITED KINGDOM GILT REGS 1.6250 930,000 1,215,306 1,383,940 UNITED KINGDOM GILT REGS 4.2500 3,061,000 5,467,259 5,893,475 UNITED KINGDOM GILT REGS 4.7500 323,000 570,472 609,925 UNITED KINGDOM GILT REGS 0.7500 4,857,500 6,233,729 6,804,339 UNITED KINGDOM GILT REGS 1.0000 810,000 1,063,775 1,145,315 UNITED KINGDOM GILT REGS 2.7500 1,849,000 2,538,312 2,761,490 VIRGIN MEDIA SECURED FINA 144A 4.5000 240,000 240,017 241,800 VIRGIN MEDIA SECURED FINA 144A 5.5000 2,910,000 2,944,203 3,128,250

End of Month: 6/30/2021 Unaudited Holdings Report Page 53 of 57 Coupon Units Cost Market Value VIRGIN MEDIA/O2 9/20 (EUR) COV 0.0000 315,000 370,182 372,666 VODAFONE GROUP PLC 4.3750 2,000,000 2,322,864 2,332,220 VODAFONE GROUP PLC REGS 1.6250 925,000 1,088,515 1,196,276 VODAFONE GROUP PLC REGS 2.2000 900,000 1,070,414 1,179,380 WEIR GROUP PLC/THE 144A 2.2000 1,900,000 1,895,737 1,907,763 URUGUAY URUGUAY GOVERNMENT INTERNATION 4.3750 500,000 500,246 574,195 URUGUAY GOVERNMENT INTERNATION 5.1000 340,000 353,617 444,866 URUGUAY GOVERNMENT INTERNATION 4.9750 2,520,000 3,213,106 3,248,280 URUGUAY GOVERNMENT INTERNATION 0.1885 44,200,000 1,003,952 1,037,026 VENEZUELA VENEZUELA GOVERNMENT INTE REGS 6.0000 2,230,000 1,683,789 215,195 VENEZUELA GOVERNMENT INTE REGS 7.0000 402,000 105,289 40,877 VENEZUELA GOVERNMENT INTE REGS 7.6500 300,000 100,060 30,000 VENEZUELA GOVERNMENT INTE REGS 7.7500 3,211,000 892,219 329,128 VENEZUELA GOVERNMENT INTE REGS 8.2500 1,397,000 261,099 143,891 VENEZUELA GOVERNMENT INTE REGS 9.0000 3,253,000 1,162,162 323,674 VENEZUELA GOVERNMENT INTE REGS 9.2500 1,279,000 312,589 131,098 VENEZUELA GOVERNMENT INTE REGS 11.7500 150,000 47,180 15,600 VENEZUELA GOVERNMENT INTE REGS 11.9500 251,000 73,080 25,979 VENEZUELA GOVERNMENT INTE REGS 12.7500 200,000 84,823 20,000 VENEZUELA GOVERNMENT INTERNATI 9.2500 1,793,000 162,794 186,472 Total of International Fixed Income Securities 1,286,009,660 1,979,567,917

0.00%

Futures Contracts & Derivatives AUSTRALIAN 10YR BOND FUT (SFE) 0.0000 61 0 3,305 AUSTRALIAN 3YR BOND FUR (SFE) 0.0000 20 0 -5,622 CAN 5YR BOND FUTURE (MSE) 0.0000 7 0 -1,187 FRENCH REPUBLIC GOV 144A BOND 0.7500 -2,832,000 -3,256,081 -3,208,009 FRENCH REPUBLIC GOV 144A FWD 0.7500 0 17,712 0 EURO-BOBL FUTURE (EUX) 0.0000 -89 0 -9,462 EURO-BTP FUTURE (EUX) 0.0000 2 0 3,027 EURO-BUND FUTURE (EUX) 0.0000 -113 0 -126,281 EURO-BUXL 30Y BND FUTURE (EUX) 0.0000 -10 0 -17,018 EURO-OAT FUTURE (EUX) 0.0000 3 0 -937 EURO-SCHATZ FUTURE (EUX) 0.0000 98 0 -2,573 LONG GILT FUTURE (ICF) 0.0000 -212 0 -160,857 90DAY EURO$ FUTURE (CME) 0.0000 -235 0 6,456 US 10YR NOTE FUTURE (CBT) 0.0000 -422 0 -188,405 US 10YR ULTRA FUTURE (CBT) 0.0000 -1,059 0 -1,227,537 US 2YR NOTE FUTURE (CBT) 0.0000 508 0 -172,316 US 5YR NOTE FUTURE (CBT) 0.0000 2,170 0 -424,184 US LONG BOND FUTURE (CBT) 0.0000 130 0 535,084 US TREAS BD PRIN STRIP FWD 0.0000 8,140,000 4,318,884 4,318,884 US ULTRA BOND (CBT) 0.0000 255 0 809,173 Total Futures Contracts & Derivatives 131,541

0.02% Credit Default Swaps CCP_CDS. SP UL AT&T INC. CME 1.0000 6,200,000 99,231 113,441 CCP_CDS. SP UL BERKSHIRE HATHA 1.0000 3,100,000 55,293 41,050 CCP_CDS. SP UL FORD MOTOR COMP 5.0000 700,000 49,534 41,298 CCP_CDS. SP UL GE CME 1.0000 2,600,000 22,733 36,267 CCP_CDS. SP UL METLIFE INC. C 1.0000 5,400,000 76,851 62,080 CCP_CDS. SP UL THE SHERWIN-WIL 1.0000 3,200,000 48,501 40,070 CCP_CDX. SP UL CDX.EM.35 CME 1.0000 10,500,000 0 -273,998 CCP_CDX. SP UL CDX.NA.HY.35_V1 5.0000 2,700,000 246,005 273,478 CCP_CDX. SP UL CDX.NA.HY.36_V1 5.0000 11,600,000 1,051,641 1,183,641 CCP_CDX. SP UL CDX-EMS34V1-5Y 1.0000 14,100,000 0 -489,044 CDS SP UL CHINA PETROCHEMICAL 1.0000 1,800,000 31,750 39,273 CDX SP UL CMBX.NA.AAA.10 0.5000 1,000,000 0 10,384 CDX SP UL CMBX.NA.AAA.10_1 0.5000 100,000 0 1,038 CDX SP UL CMBX.NA.AAA.9_1 0.5000 899,877 1,306 9,773 Total Credit Default Swaps 1,682,846 1,088,753

0.22% Convertible Securities JOYY INC 0.7500 60,000 60,139 60,450 NIO INC 144A 0.5000 45,000 36,762 42,255 APTIV PLC 0.0000 631 92,500 111,782 TEEKAY CORP 5.0000 66,000 66,000 63,580 MAXEON SOLAR TECHNOLOGIES 144A 6.5000 58,000 66,946 82,012 CELLNEX TELECOM SA REGS 1.5000 200,000 289,602 437,265 2020 CASH MANDATORY EXCHA 144A 0.0000 250 255,989 315,020 ADVANCED MICRO DEVICES INC 2.1250 12,000 20,535 140,690 ALARM.COM HOLDINGS INC 144A 0.0000 235,000 233,943 215,495 AMERICAN ELECTRIC POWER CO INC 0.0000 1,550 78,478 79,298

End of Month: 6/30/2021 Unaudited Holdings Report Page 54 of 57 Coupon Units Cost Market Value APELLIS PHARMACEUTICALS INC 3.5000 29,000 45,341 53,469 BANDWIDTH INC 0.2500 95,000 131,122 154,090 BANK OF AMERICA CORP 0.0000 60 57,602 84,960 BECTON DICKINSON AND CO 0.0000 3,900 201,990 208,689 BLOOMIN' BRANDS INC 5.0000 55,000 105,069 133,341 BOFA FINANCE LLC 0.2500 145,000 145,000 153,773 BOOKING HOLDINGS INC 0.7500 215,000 276,949 304,010 CARDLYTICS INC 144A 1.0000 53,000 61,790 87,450 CERIDIAN HCM HOLDING INC 144A 0.2500 69,000 69,000 68,957 CHART INDUSTRIES INC 144A 1.0000 70,000 70,000 177,144 COHERUS BIOSCIENCES INC 1.5000 60,000 60,322 61,325 CRACKER BARREL OLD COUNTR 144A 0.6250 140,000 140,000 140,525 DANAHER CORP 0.0000 97 97,979 174,816 DEXCOM INC 0.2500 135,000 137,399 140,991 DEXCOM INC 0.7500 90,000 198,763 233,888 DOMINION ENERGY INC 0.0000 900 91,935 87,417 ENPHASE ENERGY INC 144A 0.0000 140,000 139,355 135,677 ENVESTNET INC 1.7500 100,000 119,750 122,438 ETSY INC 0.1250 100,000 176,625 239,600 ETSY INC 144A 0.2500 80,000 81,500 88,160 EURONET WORLDWIDE INC 0.7500 120,000 133,763 136,650 EXACT SCIENCES CORP 0.3750 120,000 119,571 158,775 FORD MOTOR CO 144A 0.0000 661,000 665,140 730,818 FORTIVE CORP 0.0000 67 62,728 65,837 FTI CONSULTING INC 2.0000 150,000 160,358 214,050 GREENBRIER COS INC/THE 2.8750 155,000 167,639 165,664 GUIDEWIRE SOFTWARE INC 1.2500 200,000 201,383 233,875 HANNON ARMSTRONG SUSTAINABLE I 0.0000 80,000 91,147 98,400 HEALTH CATALYST INC 2.5000 25,000 25,871 47,922 HUBSPOT INC 0.3750 65,000 68,073 140,660 II-VI INC 0.0000 258 55,236 77,532 INSULET CORP 0.3750 210,000 239,312 285,469 INTEGRA LIFESCIENCES HOLDINGS 0.5000 109,000 109,204 120,325 INTERNATIONAL FLAVORS & FRAGRA 0.0000 1,250 67,345 63,300 IRONWOOD PHARMACEUTICALS INC 2.2500 160,000 194,558 173,100 JETBLUE AIRWAYS CORP 144A 0.5000 150,000 150,760 149,475 JOHN BEAN TECHNOLOGIES CO 144A 0.2500 84,000 88,146 89,124 JPMORGAN CHASE BANK NA 144A 0.1250 255,000 287,819 285,116 KKR & CO INC 0.0000 633 31,650 48,779 LIBERTY MEDIA CORP-LIBERTY FOR 1.0000 85,000 88,195 115,558 LUMENTUM HOLDINGS INC 0.2500 92,000 98,059 134,033 MICROCHIP TECHNOLOGY INC 1.6250 124,000 162,517 408,816 MIDDLEBY CORP/THE 144A 1.0000 417,000 434,622 600,272 NABORS INDUSTRIES INC 0.7500 140,000 132,028 124,530 NEXTERA ENERGY PARTNERS L 144A 0.0000 125,000 125,247 134,500 NRG ENERGY INC 2.7500 80,000 80,244 92,960 NUVASIVE INC 0.3750 435,000 416,313 428,747 OAK STREET HEALTH INC 144A 0.0000 70,000 70,000 71,525 OKTA INC 0.1250 90,000 102,415 129,555 PALO ALTO NETWORKS INC 0.3750 215,000 257,823 292,400 PDC ENERGY INC 1.1250 100,000 104,981 99,128 PEBBLEBROOK HOTEL TRUST 1.7500 175,000 180,033 198,450 PIONEER NATURAL RESOURCES CO 0.2500 250,000 289,013 400,125 PRA GROUP INC 3.5000 130,000 138,608 139,588 PROGRESS SOFTWARE CORP 144A 1.0000 70,000 70,000 70,740 RAPID7 INC 2.2500 65,000 77,813 107,859 REDFIN CORP 1.7500 45,000 44,723 95,796 REDWOOD TRUST INC 4.7500 80,000 79,288 80,000 REPAY HOLDINGS CORP 144A 0.0000 135,000 139,583 133,650 RINGCENTRAL INC 0.0000 269,000 299,535 297,077 SAILPOINT TECHNOLOGIES HOLDING 0.1250 35,000 35,000 65,485 SAREPTA THERAPEUTICS INC 1.5000 45,000 71,888 59,316 SERVICENOW INC 0.0000 45,000 57,074 183,152 SHAKE SHACK INC 144A 0.0000 195,000 182,168 184,666 SNAP INC 144A 0.0000 158,000 157,266 168,902 SOLAREDGE TECHNOLOGIES IN 144A 0.0000 70,000 81,130 87,675 SOUTHERN CO/THE 0.0000 1,719 81,453 87,033 SOUTHWEST AIRLINES CO 1.2500 136,000 175,925 205,955 SPLUNK INC 1.1250 250,000 260,103 243,594 SQUARE INC 0.3750 22,000 22,440 233,407 SUNEDISON INC 144A 2.3750 175,000 176,215 875 SUNEDISON INC 144A 2.7500 21,000 21,000 105 SUNEDISON INC 144A 3.3750 105,000 105,000 11 SUNPOWER CORP 4.0000 59,000 77,835 83,267 TEAM INC 5.0000 135,000 135,561 129,938 TERADYNE INC 1.2500 20,000 27,475 84,725 UBER TECHNOLOGIES INC 144A 0.0000 275,000 287,508 278,850 WELLS FARGO & CO 0.0000 55 52,297 83,834 WESTERN DIGITAL CORP 1.5000 246,000 243,803 262,759 WORKDAY INC 0.2500 185,000 237,661 305,824 ZSCALER INC 144A 0.1250 95,000 108,831 150,765 ZYNGA INC 0.2500 100,000 115,188 137,630 ROYAL CARIBBEAN CRUISES L 144A 4.2500 130,000 137,218 177,135 Total of Convertible Bonds 12,769,167 15,053,643

End of Month: 6/30/2021 Unaudited Holdings Report Page 55 of 57 Coupon Units Cost Market Value 0.62% Alternatives LONE STAR FUND IX (US) L.P 0.0000 26,632,146 26,683,278 26,632,146 BLACKSTONE REAL ESTATE DEBT IV 0.0000 15,388,086 14,983,123 15,388,086 Total of Alternatives 26,683,278 42,020,232

4.33% Cash Equivalent Securities Master Notes/Money Markets AMERICAN HONDA FN DISC 0.0000 9,900,000 9,895,587 9,895,587 BNY MELLON CASH RESERVE 0.0100 3,687,527 3,687,527 3,687,527 CASH COLL WITH STATE STREET 0.0000 340,000 340,000 340,000 CASH COLLATERAL GOLDMAN SACHS 0.0000 350,000 350,000 350,000 CASH COLLATERAL HELD AT HSBC 0.0000 250,000 250,000 250,000 CASH COLLATERAL HELD AT JP 0.0000 -20,000 -20,000 -20,000 CASH COLLATERAL HELD AT MORGAN 0.0000 -100,000 -100,000 -100,000 CASH COLLATERAL ICE CCP WELLS 0.0100 161,000 161,000 161,000 CASH COLLATERAL LCH CCP WELLS 0.0100 55,000 55,000 55,000 CASH COLLATERAL WITH UBS 0.0000 -110,000 -110,000 -110,000 CASH HELD AT CITIBANK 0.0000 -280,000 -280,000 -280,000 CITIGROUP GLOBAL REV REPO 0.0400 73,100,000 73,100,000 73,100,000 DREYFUS GOVT CAS MGMT INST 289 0.0300 8,120,495 8,120,495 8,120,495 FUTURES CASH COLLATERAL HELD 0.0000 1,027,000 1,027,000 1,027,000 GOLDMAN CAP MKT (GLM) CASH COL 1.5500 -560,000 -560,000 -560,000 J P MORGAN CHASE REV REPO 0.0300 79,800,000 79,800,000 79,800,000 NOMURA FIN. CASH COLLATERAL 0.0100 20,000 20,000 20,000 OTC COLLATERAL WITH HSBC 0.0000 -260,000 -260,000 -260,000 SWAP COLLATERAL HELD AT 0.0000 -970,000 -970,000 -970,000 SWAP COLLATERAL WITH BANK OF 0.0000 -471 -471 -471 SWAP COLLATERAL WITH BARCLAYS 0.0000 -96 -96 -96 SWAP COLLATERAL WITH BNP 0.0000 -90,000 -90,000 -90,000 SWAP COLLATERAL WITH CITIBANK 0.0000 -120,000 -120,000 -120,000 SWAP COLLATERAL WITH DEUTSCHE 0.0000 -10,000 -10,000 -10,000 SWAP COLLATERAL WITH JP MORGAN 0.0000 -60,000 -60,000 -60,000 SWAP COLLATERAL WITH MORGAN 0.0000 530,000 530,000 530,000 SWAP/ISDA CITI CASH COLLATERAL 1.5500 -130,000 -130,000 -130,000 SWAP/ISDA DB CASH COLLATERAL 1.5500 -90,000 -90,000 -90,000 SWAP/ISDA JPM CASH COLLATERAL 1.5500 30,000 30,000 30,000 SWAP/ISDA MORGAN STANLEY (MYC) 1.5500 -120,000 -120,000 -120,000 SWAP/ISDA STANDARD CHARTERED C 0.0100 -900,000 -900,000 -900,000 TBA CASH COLL MSC 1.5500 -200,000 -200,000 -200,000 U S TREASURY BILL 0.0000 45,581,200 45,575,355 45,575,355 UMC CASH SWEEP ACCOUNT 0.0000 157,333,240 157,333,240 157,333,240 WELLS FARGO SECURITIES LLC CAS 0.0100 22,000 22,000 22,000 EGYPT TREASURY BILLS 0.0000 88,500,000 5,357,978 5,364,951 Others (Payables, Receivables, Etc.) -99,201,173 -90,185,929 Total of Cash Equivalent Securities 282,433,442 291,455,658

0.11% Preferred Securities CREDIT SUISSE GROUP AG 144A 7.2500 2,400,000 2,711,045 2,713,200 CREDIT SUISSE GROUP AG 144A 7.5000 3,270,000 3,302,588 3,556,125 CREDIT SUISSE GROUP AG REGS 6.2500 300,000 305,264 328,500 AGFC CAPITAL TRUST I 144A 1.8761 700,000 464,289 459,002 CITIGROUP CAPITAL XIII 0.0000 1,900 50,429 53,010 GMAC CAPITAL TRUST I 0.0000 819 21,096 20,729 ULTRA PETROLEUM CORP PVE 0.0000 569 421,849 18,919 Total of Preferred Securities 7,276,559 7,149,485

0.03% Domestic Equities AFG INC COM 0.0000 4,003 135,141 88,066 DEVON ENERGY CORP 0.0000 896 22,882 26,154 EQUINIX INC 0.0000 52 10,093 41,735 FRONTIER COMMUNICATIONS PARENT 0.0000 4,902 132,082 129,413 HESS CORP 0.0000 572 27,447 49,947 ILLUMINA INC 0.0000 56 45,651 26,500 INCYTE CORP 0.0000 379 25,444 31,885 LENNAR CORP 0.0000 618 27,070 61,398 PHI GROUP INC/DE 0.0000 65,026 1,513,608 1,039,766 PHI GROUP INC-DEL 0.0000 20,583 178,600 374,816 SEMPRA ENERGY 0.0000 298 37,960 39,479 STEARNS HOLDINGS LLC 0.0000 72,860 0 104,918 WORKDAY INC 0.0000 369 65,168 88,095 ZILLOW GROUP INC 0.0000 241 13,537 29,455 Total of Domestic Equities 2,234,684 2,131,628

End of Month: 6/30/2021 Unaudited Holdings Report Page 56 of 57 Coupon Units Cost Market Value 5,913,678,611 6,731,320,676 Total of FIXED INCOME FUND

End of Month: 6/30/2021 Unaudited Holdings Report Page 57 of 57