# EDGAR Filing Document

**Accession Number:** 0001748680
**File Stem:** 0001049169-25-001145
**Filing Date:** 2025-12
**Character Count:** 354010
**Document Hash:** b1546ed208efecd53770dfa4111ca134
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001049169-25-001145.hdr.sgml**: 20251230

**ACCESSION NUMBER**: 0001049169-25-001145

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251230

**DATE AS OF CHANGE**: 20251230

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** 1WS Credit Income Fund
- **CENTRAL INDEX KEY:** 0001748680

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23368
- **FILM NUMBER:** 251612094

**BUSINESS ADDRESS:**
- **STREET 1:** 299 PARK AVENUE, 25TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10171
- **BUSINESS PHONE:** 212-377-4810

**MAIL ADDRESS:**
- **STREET 1:** 299 PARK AVENUE, 25TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10171

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** 1WS CREDIT INCOME FUND

- **b. Investment Company Act file number:** 811-23368

- **c. CIK number of Registrant:** 0001748680

- **d. LEI of Registrant:** 549300B58HSKB8RHUQ19

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

  - **Street Address 1:** 299 PARK AVENUE 25TH FLOOR

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10171

  - **Telephone number:** 2129703154

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

- **a. Name of Series:** 1WS Credit Income Fund

- **c. LEI of Series:** 549300B58HSKB8RHUQ19

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-10-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1081720339.41

**Total Liabilities:** $299121873.78

**Net Assets:** $782598465.63

**Cash Not Reported:** $19240208.95

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 219.0363813 | **1-Year:** 6251.88458363 | **5-Year:** 6556.16242511 | **10-Year:** 1469.35902616 | **30-Year:** 0.00000000

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

- **3-Month:** 2887.67824986 | **1-Year:** 74509.78362374 | **5-Year:** 95127.14828444 | **10-Year:** 12755.05960802 | **30-Year:** 259.79320839

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 0.87%                | 0.31%                | 0.47%                |
| Class ID N/A | 0.79%                | 0.26%                | 0.43%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1039651.22              | $4364144.15                                |
| Month 2  | $587270.75               | $-5397660.16                               |
| Month 3  | $1151559.64              | $-6104092.04                               |

**Designated Index Information**

- **Index Name:** 1WS Credit Income Fund - Bond Only

- **Index Identifier:** OWSCX - Bond Only

### Schedule of Portfolio Investments

| Name                                                    | Title                                                                                                          | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Vasco Finance                                           | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2, Series 2024-2, Class E                    | CUSIP: BCC3HJWV1<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    782399 | PA      | $922063.84    | 0.12%             | 2042-10-27      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Acm Auto Trust                                          | ACM Auto Trust 2025-1, Series 2025-1A, Class B                                                                 | CUSIP: 00161EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $746625.00    | 0.10%             | 2031-11-20      | Fixed         | 7.87%                 | Yes           |                  2 | On Loan: No      |
| E-carat                                                 | ECARAT DE SA Compartment, Series 2025-2, Class F                                                               | CUSIP: BCC3NZRZ5<br>LEI: 213800ETWMJRFLJ8U337 | Long             | ABS-O            | CORP              | LU        |   2100000 | PA      | $2422838.65   | 0.31%             | 2037-02-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Colt Funding Llc                                        | COLT Mortgage Loan Trust, Series 2022-2, Class B1                                                              | CUSIP: 19685EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1042000 | PA      | $881844.60    | 0.11%             | 2067-02-25      | Variable      | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2025-3, Class A                                                 | CUSIP: 92262RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2555187 | PA      | $2584826.77   | 0.33%             | 2055-06-25      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Chimera Investment Corp                                 | Chimera Investment Corp.                                                                                       | CUSIP: 16934Q406<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               | CORP              | US        |     25612 | NS      | $614944.12    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2025-1, Class A                                                 | CUSIP: 922955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7254717 | PA      | $7361360.95   | 0.94%             | 2032-07-25      | Variable      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Finsbury Square                                         | Finsbury Square PLC, Series 2025-1, Class E                                                                    | CUSIP: BCC3MH7H8<br>LEI: 635400QI3YH4EDHOX180 | Long             | ABS-MBS          | CORP              | GB        |   3035000 | PA      | $3992319.23   | 0.51%             | 2075-06-16      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class F                                          | CUSIP: 05493LAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1970500.00   | 0.25%             | 2038-09-15      | Floating      | 9.15%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP71PAB13<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1787648 | NS      | $-1787648.00  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class D                                | CUSIP: 46591JAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $914600.00    | 0.12%             | 2029-09-15      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1107000 | NS      | $-1107000.00  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1707096<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -1347992 | NS      | $-1771059.04  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP54GAJ94<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1773000 | NS      | $-1773000.00  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| Brignole Co                                             | Brignole Co., Series 2024-2024, Class D                                                                        | CUSIP: BCC3G6JR4<br>LEI: 8156008A00DBDEE08297 | Long             | ABS-O            | CORP              | IT        |      5984 | PA      | $6915.51      | 0.00%             | 2042-02-24      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP548AAE1<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1768375 | NS      | $-1768375.00  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6625670<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -260865 | NS      | $-342737.43   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust                            | GS Mortgage Securities Corp. Trust, Series 2021-ROSS, Class C                                                  | CUSIP: 36264YAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    567000 | PA      | $499073.40    | 0.06%             | 2026-05-15      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Eurosail Plc                                            | Eurosail 2006-4np PLC, Series 2006-4X, Class D1C                                                               | CUSIP: BCC0UB5C1<br>LEI: 21380013477BR2UW8M54 | Long             | ABS-MBS          | CORP              | GB        |    645564 | PA      | $797876.94    | 0.10%             | 2044-12-10      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust 2024-2, Series 2024-2A, Class F                                             | CUSIP: 89616PAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $135800.00    | 0.02%             | 2027-04-15      | Fixed         | 16.56%                | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP445AC78<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -6994387 | NS      | $-6994387.00  | -0.89%            |  |  |  | No            |                  2 | On Loan: No      |
| Jpmbb Commercial Mortgage Securities Trust              | JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class E                                           | CUSIP: 46640NAR9<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $715000.00    | 0.09%             | 2045-11-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Autonoria                                               | Autonoria Spain 2021 FT, Series 2021-SP, Class G                                                               | CUSIP: BCC30Y6B9<br>LEI: 959800PAVFGQ48YNAE06 | Long             | ABS-O            | CORP              | ES        |    147992 | PA      | $167008.06    | 0.02%             | 2039-01-31      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP07KAJ60<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -708000 | NS      | $-708000.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Hermitage Plc                                           | Hermitage 2024 PLC, Series 2024-1, Class E                                                                     | CUSIP: BCC3G92Q8<br>LEI: 635400OUUMGTAI2EJA52 | Long             | ABS-MBS          | CORP              | GB        |    215974 | PA      | $284523.80    | 0.04%             | 2033-04-21      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corporation                    | Triangle Re, Ltd., Series 2021-3, Class B1                                                                     | CUSIP: 89600HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    591600 | PA      | $605206.80    | 0.08%             | 2034-02-25      | Floating      | 9.13%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | RALI, Series 2007-QS9, Class A33                                                                               | CUSIP: 75116FBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3938954 | PA      | $3317387.00   | 0.42%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP75VAH69<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1446000 | NS      | $-1446000.00  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Vasco Finance                                           | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2, Series 2024-2, Class F                    | CUSIP: BCC3HJWW9<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    782399 | PA      | $917555.85    | 0.12%             | 2042-10-27      | Floating      | 10.37%                | No            |                  2 | On Loan: No      |
| Miravet Repack                                          | Miravet 2025-1 DAC, Series 2025-1X, Class C                                                                    | CUSIP: BCC3LRM07<br>LEI: 635400LFDEBKWXDYOS74 | Long             | ABS-MBS          | CORP              | IE        |   2109000 | PA      | $2384373.10   | 0.30%             | 2028-03-28      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Autonoria                                               | FCT Autonoria DE 2023, Series 2023-DE, Class G                                                                 | CUSIP: BCC38ZTS6<br>LEI: 549300XVWRQGZCNHXF23 | Long             | ABS-O            | CORP              | FR        |    191802 | PA      | $234770.71    | 0.03%             | 2043-01-26      | Floating      | 12.37%                | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2024-1, Class C                                                           | CUSIP: 91684NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1867000 | PA      | $1942986.90   | 0.25%             | 2034-11-20      | Fixed         | 8.68%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2023-R02, Class 1B2                                                | CUSIP: 20755AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1197000 | PA      | $1336809.60   | 0.17%             | 2043-01-25      | Floating      | 12.08%                | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2025-R1, Class E                                                                  | CUSIP: 69548DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    964236 | PA      | $967513.93    | 0.12%             | 2032-06-15      | Fixed         | 12.11%                | Yes           |                  2 | On Loan: No      |
| Together Asset Backed Securitisation                    | Together Asset Backed Securitisation 2024-2nd1 PLC, Series 2024-2ND1A, Class E                                 | CUSIP: BCC3D5F93<br>LEI: 635400IODF9CE3RX8L03 | Long             | ABS-MBS          | CORP              | GB        |   2009000 | PA      | $2735866.92   | 0.35%             | 2028-01-20      | Floating      | 8.70%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2022-R05, Class 2B2                                                | CUSIP: 20754DAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1323000 | PA      | $1428840.00   | 0.18%             | 2042-04-25      | Floating      | 11.18%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP173AL70<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1733000 | NS      | $-1733000.00  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9173AJ2<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -8036000 | NS      | $-8036000.00  | -1.03%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | New York Mortgage Trust, Inc., Series D                                                                        | CUSIP: 649604881<br>LEI: 549300JFGR0M7ULHWG48 | Long             | EP               | CORP              | US        |    141083 | NS      | $3058679.44   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP84FAE88<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1027000 | NS      | $-1027000.00  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Tvest Securitization, Series 2020-a                     | Experity Ventures SPV IV LLC, Series 2025-I, Class B                                                           | CUSIP: 30220RAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2812096.29   | 0.36%             | 2037-06-22      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP3600986<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -2273063 | NS      | $-2986463.41  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| Golden Bar Securitisation                               | Golden Bar Securitisation Srl, Series 2023-2, Class D                                                          | CUSIP: BCC3BVJ94<br>LEI: 549300GESLGUWWGJRM09 | Long             | ABS-O            | CORP              | IT        |   1139379 | PA      | $1359179.68   | 0.17%             | 2043-09-22      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| Nmef Funding Llc                                        | NMEF Funding LLC, Series 2025-B, Class E                                                                       | CUSIP: 62919WAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3543400.00   | 0.45%             | 2033-01-18      | Fixed         | 7.66%                 | Yes           |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C                                | CUSIP: 46591JAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135000 | PA      | $128398.50    | 0.02%             | 2029-09-15      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Auto Abs                                                | Auto ABS Spanish Loans FT, Series 2024-1, Class E                                                              | CUSIP: BCC3HCN87<br>LEI: 9598007LTXPL84RD7W58 | Long             | ABS-O            | CORP              | ES        |    376016 | PA      | $431308.70    | 0.06%             | 2038-09-28      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0250834<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -216125 | NS      | $-249051.62   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Asset-backed Certificates                   | CWABS Asset-Backed Certificates Trust, Series 2004-15, Class MV7                                               | CUSIP: 126673UT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    732568 | PA      | $600559.33    | 0.08%             | 2035-02-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Brignole Co                                             | Brignole Co., Series 2024-2024, Class E                                                                        | CUSIP: BCC3G6JS2<br>LEI: 8156008A00DBDEE08297 | Long             | ABS-O            | CORP              | IT        |    656842 | PA      | $781511.02    | 0.10%             | 2042-02-24      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A5                                                   | CUSIP: 75115CAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    485707 | PA      | $349611.67    | 0.04%             | 2036-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP072DAA9<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1161000 | NS      | $-1161000.00  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2025-3, Series 2025-3A, Class E                                       | CUSIP: 76091FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5182000 | PA      | $5249366.00   | 0.67%             | 2034-02-27      | Fixed         | 11.09%                | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2025-5, Class F                                                           | CUSIP: 69548XAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1169880.00   | 0.15%             | 2033-03-15      | Fixed         | 12.00%                | Yes           |                  2 | On Loan: No      |
| Treasury Bill                                           | United States Treasury Bill                                                                                    | CUSIP: 912797SS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9882000.00   | 1.26%             | 2026-02-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | Wilmot Plaza Mezz Loan, Class F                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.26%             | 2031-10-01      | Fixed         | 11.50%                | No            |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP688LAE3<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -710000 | NS      | $-710000.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Uropa Securities Plc                                    | Uropa Securities PLC, Series 2007-1, Class B1B                                                                 | CUSIP: BCC0Z8XK4<br>LEI: 213800IVU1GPPZBQ4446 | Long             | ABS-MBS          | CORP              | GB        |    514921 | PA      | $544416.38    | 0.07%             | 2040-10-10      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST8, Class CERT                                                        | CUSIP: 91683LAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2966000 | PA      | $435935.59    | 0.06%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2025-HE3, Class E                                                                          | CUSIP: 31684LAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $782550.00    | 0.10%             | 2055-05-25      | Variable      | 8.10%                 | Yes           |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | SWEDISH KRONA FUT Dec25                                                                                        | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |       -16 | NC      | $-3377600.00  | -0.43%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP967AC13<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -4987584 | NS      | $-4987584.00  | -0.64%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP85EAE14<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -685452 | NS      | $-685452.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP962AE57<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -623852 | NS      | $-623852.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Bbva Consumer Auto                                      | Bbva Consumer Auto Fondo De Titulizacion, Series 2022-1, Class E                                               | CUSIP: BCC36L7B0<br>LEI: 9598003A77F40Z8U8H86 | Long             | ABS-O            | CORP              | ES        |    299860 | PA      | $361853.75    | 0.05%             | 2036-02-17      | Floating      | 10.04%                | No            |                  2 | On Loan: No      |
| Eurosail Plc                                            | Eurosail-UK 2007-5np PLC, Series 2007-5X, Class B1C                                                            | CUSIP: BCC115Y32<br>LEI: 213800AQ88V7QQ6G1S18 | Long             | ABS-MBS          | CORP              | GB        |    389132 | PA      | $474041.49    | 0.06%             | 2045-09-13      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | Banco Invex, S.A., Series 2025-1, Tranche C                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | MX        |  54000000 | PA      | $2909216.29   | 0.37%             | 2049-12-31      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Deutsche Alt-a Securities Inc Mortgage Loan Trust       | Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class 2A2                                      | CUSIP: 25151XAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    904277 | PA      | $657499.95    | 0.08%             | 2047-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya Ai Debt Grantor Trust, Series 2025-6, Class E                                                           | CUSIP: 69549CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3718000 | PA      | $3708333.20   | 0.47%             | 2027-05-15      | Fixed         | 8.48%                 | Yes           |                  2 | On Loan: No      |
| Shamrock Residential                                    | Shamrock Residential 2024-1 DAC, Series 2024-1A, Class E                                                       | CUSIP: BCC3JLXM3<br>LEI: 635400DULOLZBZ1GY715 | Long             | ABS-MBS          | CORP              | IE        |    712000 | PA      | $809889.01    | 0.10%             | 2028-01-24      | Floating      | 6.14%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                 | Saluds Grade Alternative Mortgage Trust, Series 2025-RRTL1, Class M1                                           | CUSIP: 79582NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1668000 | PA      | $1679342.40   | 0.21%             | 2040-10-25      | Variable      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust Series 2020-ST5, Series 2021-ST5, Class CERT                                        | CUSIP: 91679XAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5172000 | PA      | $548855.38    | 0.07%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2024-2, Series 2024-2A, Class E                                            | CUSIP: 30166DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1783000 | PA      | $1887662.10   | 0.24%             | 2031-10-15      | Fixed         | 7.98%                 | Yes           |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2025-PF1, Class A                                                                          | CUSIP: 316922AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1117708 | PA      | $1136932.72   | 0.15%             | 2055-06-25      | Variable      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 3.9657 06/20/30                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-59114.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust                  | National Collegiate Student Loan Trust, Series 2005-3, Class B                                                 | CUSIP: 63543TAJ7<br>LEI: 635400WAVVCUCCIGH375 | Long             | ABS-O            | CORP              | US        |   1965527 | PA      | $1629225.74   | 0.21%             | 2037-07-27      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Polaris                                                 | Polaris 2025-3 PLC, Series 2025-3X, Class X1                                                                   | CUSIP: BCC3Q9998<br>LEI: 2138004HHDTEKA2ZLF42 | Long             | ABS-MBS          | CORP              | GB        |   4166000 | PA      | $5480613.88   | 0.70%             | 2029-09-27      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0099495<br>LEI: N/A                  | Short            | RA               | CORP              | AU        |   -713230 | NS      | $-466630.64   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Point Securitization Trust                              | Point Securitization Trust, Series 2025-2, Class A2                                                            | CUSIP: 73071PAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2223000 | PA      | $2227001.40   | 0.28%             | 2028-10-25      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 5Yr T-Note Future                                                                                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      -525 | NC      | $-57335742.45 | -7.33%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.0074 06/20/29                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $478327.81    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Enstar Group Ltd                                        | Enstar Group, Ltd.                                                                                             | CUSIP: 29359U109<br>LEI: 213800AMAL5QFXVUCN04 | Long             | EP               | CORP              | BM        |     38335 | NS      | $920040.00    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust, Series 2017-ASHF, Class E                                                      | CUSIP: 61691KAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $556568.00    | 0.07%             | 2034-11-15      | Floating      | 7.48%                 | Yes           |                  2 | On Loan: No      |
| Upgrade Receivables Trust                               | Upgrade Receivables Trust 2024-1, Series 2024-1A, Class E                                                      | CUSIP: 91533NAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1322000 | PA      | $1339450.40   | 0.17%             | 2028-06-15      | Fixed         | 11.53%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP79QAG82<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1782400 | NS      | $-1782400.00  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust, Series 2025-3A, Class E                                                   | CUSIP: 30166XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2157000 | PA      | $2185688.10   | 0.28%             | 2030-02-15      | Fixed         | 7.52%                 | Yes           |                  2 | On Loan: No      |
| Finbe Usa Trust                                         | FinBe USA Trust 2025-1, Series 2025-1A, Class C                                                                | CUSIP: 317967AC1<br>LEI: 4469000001BR51E83192 | Long             | ABS-O            | CORP              | US        |   6185000 | PA      | $6306844.50   | 0.81%             | 2028-06-15      | Fixed         | 8.74%                 | Yes           |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2025-RPL1 DAC, Series 2025-RPL1X, Class E                                                              | CUSIP: BCC3L0D06<br>LEI: 635400SKSJELSOJMVK25 | Long             | ABS-MBS          | CORP              | IE        |   1798000 | PA      | $2044575.66   | 0.26%             | 2078-06-24      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Harbor Park Clo Ltd                                     | Harbor Park CLO, Ltd., Series 2025-1A, Class CR2                                                               | CUSIP: 41154XBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3755000 | PA      | $3755000.00   | 0.48%             | 2031-01-20      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7421431<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -475135 | NS      | $-624256.03   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Business Mortgage Finance Plc                           | Business Mortgage Finance 7 PLC, Series 2007-7X, Class M1                                                      | CUSIP: BCC11CF61<br>LEI: 6354003XKCGEIVFGHI58 | Long             | ABS-O            | CORP              | GB        |    398249 | PA      | $459875.42    | 0.06%             | 2041-02-15      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                 | Fremont Home Loan Trust, Series 2004-C, Class M3                                                               | CUSIP: 35729PEV8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       170 | PA      | $0.00         | 0.00%             | 2034-08-25      | Floating      | 5.83%                 | No            |                  3 | On Loan: No      |
| Miravet Repack                                          | Miravet 2025-1 DAC, Series 2025-1X, Class D                                                                    | CUSIP: BCC3LRM15<br>LEI: 635400LFDEBKWXDYOS74 | Long             | ABS-MBS          | CORP              | IE        |   1535000 | PA      | $1727819.57   | 0.22%             | 2028-03-28      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                              | Navient Private Education Refi Loan Trust 2021-B, Series 2021-BA, Class R                                      | CUSIP: 63942LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       649 | PA      | $177333.74    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP82NAC39<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1251000 | NS      | $-1251000.00  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | NYMT Loan Trust, Series 2025-CP1, Class M2A                                                                    | CUSIP: 67121VAD6<br>LEI: 254900JF85A0S614L988 | Long             | ABS-MBS          | CORP              | US        |   1326000 | PA      | $1207057.80   | 0.15%             | 2069-11-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP533NAE4<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -947147 | NS      | $-947147.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2024-1, Class F                                                                            | CUSIP: BCC3DT7X7<br>LEI: 635400SJNGQKQ4OKRU39 | Long             | ABS-MBS          | CORP              | GB        |    395000 | PA      | $538328.28    | 0.07%             | 2028-02-26      | Floating      | 9.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6130330<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |   -690000 | NS      | $-795121.41   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP951AA23<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2283000 | NS      | $-2283000.00  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP28GAN25<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1140000 | NS      | $-1140000.00  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP961AE25<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1504032 | NS      | $-1504032.00  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2025-3, Class D                                                           | CUSIP: 91684FAE8<br>LEI: 549300MM4LHW6AKJUZ51 | Long             | ABS-O            | CORP              | US        |   1369000 | PA      | $1373107.00   | 0.18%             | 2035-09-20      | Fixed         | 7.41%                 | Yes           |                  2 | On Loan: No      |
| Bl Consumer Issuance Platform Ii                        | Compartment BL Consumer Credit 2024, Series 2024-1, Class F                                                    | CUSIP: BCC3DNFS2<br>LEI: 549300BCEKCIKD7MN312 | Long             | ABS-O            | CORP              | LU        |    462000 | PA      | $542980.12    | 0.07%             | 2027-03-25      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Countrywide Alternative Loan Trust, Series 2005-64CB, Class 1A17                                               | CUSIP: 12668AA47<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |    114037 | PA      | $98881.47     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP62JAA60<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2361500 | NS      | $-2361500.00  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                 | United Auto Credit Securitization Trust, Series 2025-1, Class E                                                | CUSIP: 90945JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1185000 | PA      | $1198627.50   | 0.15%             | 2028-03-10      | Fixed         | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                  | Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A4                                             | CUSIP: 86361KAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1907568 | PA      | $1110013.82   | 0.14%             | 2036-09-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Now Trust                                               | NOW Trust, Series 2025-1, Class E                                                                              | CUSIP: BCC3L1ZX8<br>LEI: 984500B0D6BFDDCCDB63 | Long             | ABS-O            | CORP              | AU        |   1190000 | PA      | $779491.62    | 0.10%             | 2034-02-14      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust          | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM8, Class B2                                     | CUSIP: 61779QAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2118000 | PA      | $2079240.60   | 0.27%             | 2029-10-25      | Variable      | 6.99%                 | Yes           |                  2 | On Loan: No      |
| Acc Trust                                               | ACC Trust, Series 2022-1, Class C                                                                              | CUSIP: 00091HAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    892201 | PA      | $187183.82    | 0.02%             | 2025-10-20      | Fixed         | 3.24%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP78QAE35<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1685000 | NS      | $-1685000.00  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| Mfra Trust                                              | MFA , Series 2024-RTL3, Class A2                                                                               | CUSIP: 59319PAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    752000 | PA      | $762603.20    | 0.10%             | 2028-05-25      | Variable      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Icg Us Clo Ltd                                          | ICG US Clo 2021-1, Ltd., Series 2021-1A, Class E                                                               | CUSIP: 449289AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1075020.00   | 0.14%             | 2034-04-17      | Floating      | 10.47%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP58MAJ36<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -7802000 | NS      | $-7802000.00  | -1.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP571NAH9<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -300000 | NS      | $-300000.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Treasury Bill                                           | United States Treasury Bill                                                                                    | CUSIP: 912797QQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19978638.00  | 2.55%             | 2025-11-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citibank                                                | Receive SOFRRATE / Pay 3.63094% IRS 06/20/2032                                                                 | CUSIP: SWP363093<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-15980.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0185196<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -748756 | NS      | $-983752.93   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6210312<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -418000 | NS      | $-549189.22   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Colt Funding Llc                                        | COLT Mortgage Loan Trust, Series 2025-10, Class B1                                                             | CUSIP: 12675XAJ5<br>LEI: 213800STFGFKQEQSRE63 | Long             | ABS-MBS          | CORP              | US        |   1442000 | PA      | $1448921.60   | 0.19%             | 2070-10-25      | Variable      | 6.86%                 | Yes           |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2020-ST4, Class CERT                                                        | CUSIP: 91679VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $5565.43      | 0.00%             | 2026-11-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Castell                                                 | Castell PLC, Series 2023-2, Class F                                                                            | CUSIP: BCC3CJHB7<br>LEI: 213800CJ485JV1GHRE37 | Long             | ABS-MBS          | CORP              | GB        |    821000 | PA      | $1153098.98   | 0.15%             | 2055-11-25      | Floating      | 11.82%                | No            |                  2 | On Loan: No      |
| N/A                                                     | Jonas Catalog Holdings I, LLC, Term Loan                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   1960584 | PA      | $1960584.21   | 0.25%             | 2029-09-19      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| Achv Abs Trust                                          | ACHV ABS Trust, Series 2024-3AL, Class E                                                                       | CUSIP: 00092KAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    813647 | PA      | $801198.41    | 0.10%             | 2031-12-26      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP71VAH15<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -758400 | NS      | $-758400.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Adamas Trust Inc.                                       | NYMT 2024-BPL2 M                                                                                               | CUSIP: 67120TAC4<br>LEI: 549300JFGR0M7ULHWG48 | Long             | ABS-MBS          | CORP              | US        |   3750000 | PA      | $3840000.00   | 0.49%             | 2039-05-25      | Fixed         | 8.41%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6942903<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -2282001 | NS      | $-2629663.56  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP166BAG7<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -762000 | NS      | $-762000.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2020-A, Class R1                                                       | CUSIP: 83406T102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10720 | PA      | $134583.90    | 0.02%             | 2046-05-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust, Series 2016-C1, Class E                                                   | CUSIP: 17290YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1364000 | PA      | $1328126.80   | 0.17%             | 2049-05-10      | Variable      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP884AB18<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -532000 | NS      | $-532000.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Gsaa Home Equity Trust                                  | GSAA Home Equity Trust, Series 2007-8, Class A4                                                                | CUSIP: 38144RAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    547743 | PA      | $299670.11    | 0.04%             | 2037-08-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2025-3, Class E                                                           | CUSIP: 69547GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1499697 | PA      | $1545587.63   | 0.20%             | 2027-01-15      | Fixed         | 12.63%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5561318<br>LEI: N/A                  | Short            | RA               | CORP              | IT        |   -570827 | NS      | $-657792.42   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                | Madison Park Funding XLII, Ltd., Series 2025-13A, Class ER2                                                    | CUSIP: 55822UAA1<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |   3886000 | PA      | $3898823.80   | 0.50%             | 2030-11-21      | Floating      | 10.11%                | Yes           |                  2 | On Loan: No      |
| Smrt                                                    | SMRT, Series 2022-MINI, Class F                                                                                | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $988100.00    | 0.13%             | 2039-01-15      | Floating      | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 2YR NOTE (CBT) Dec25                                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        23 | NC      | $4789570.32   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2024-6, Class M3                                                | CUSIP: 92261BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    743861 | PA      | $746390.16    | 0.10%             | 2034-06-25      | Variable      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2023-3, Series 2023-3A, Class C                                       | CUSIP: 76090YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    549803 | PA      | $549748.45    | 0.07%             | 2032-01-26      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Chenango Park Clo, Ltd.                                 | Chenango Park CLO, Ltd., Series 2018-1A, Class D                                                               | CUSIP: 16410LAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    751000 | PA      | $748446.60    | 0.10%             | 2030-04-15      | Floating      | 9.97%                 | Yes           |                  2 | On Loan: No      |
| Agl Clo Ltd.                                            | AGL CLO 11, Ltd., Series 2025-11A, Class ER                                                                    | CUSIP: 00851RAE0<br>LEI: 549300G9RL3BICT9HA62 | Long             | ABS-CBDO         | CORP              | KY        |   1493000 | PA      | $1485236.40   | 0.19%             | 2038-10-15      | Floating      | 10.26%                | Yes           |                  2 | On Loan: No      |
| Credit-based Asset Servicing And Securitization         | C-BASS , Series 2007-CB4, Class A1B                                                                            | CUSIP: 1248MEAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1655380 | PA      | $785146.56    | 0.10%             | 2037-04-25      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding Llc                             | Merchants Fleet Funding LLC, Series 2024-1A, Class E                                                           | CUSIP: 588926AK1<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1012600.00   | 0.13%             | 2028-01-20      | Fixed         | 9.35%                 | Yes           |                  2 | On Loan: No      |
| Citibank                                                | Receive SOFRRATE / Pay 3.59039% IRS 06/20/2027                                                                 | CUSIP: SWP359039<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-70059.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Miravet Repack                                          | Miravet 2025-1 DAC, Series 2025-1X, Class E                                                                    | CUSIP: BCC3LRM23<br>LEI: 635400LFDEBKWXDYOS74 | Long             | ABS-MBS          | CORP              | IE        |   1147000 | PA      | $1270329.41   | 0.16%             | 2028-03-28      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6256709<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -675681 | NS      | $-887743.36   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Rithm Capital Corp                                      | Rithm Capital Corp.                                                                                            | CUSIP: 64828T706<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EP               | CORP              | US        |     17000 | NS      | $418370.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9504541<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1083988 | NS      | $-1249133.43  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program LLC, Series 2019-A, Class R1                                                    | CUSIP: 78471H108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32016 | PA      | $165405.45    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2025-1, Series 2025-1A, Class E                                       | CUSIP: 76100AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    530000 | PA      | $503235.00    | 0.06%             | 2026-03-25      | Fixed         | 12.00%                | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc             | BBCMS, Series 2021-AGW Mortgage Trust, Class F                                                                 | CUSIP: 05493HAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1361000 | PA      | $1195910.70   | 0.15%             | 2036-06-15      | Floating      | 8.15%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2024-8, Class F                                                           | CUSIP: 69548PAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1307014 | PA      | $1274077.40   | 0.16%             | 2032-01-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2021-4, Class CERT                                                        | CUSIP: 91682NAD5<br>LEI: 549300MM4LHW6AKJUZ51 | Long             | ABS-O            | CORP              | US        |      6175 | PA      | $617089.39    | 0.08%             | 2031-09-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.20 04/04/28                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $7952.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Golden Bar Securitisation                               | Golden Bar Securitisation Srl, Series 2023-2, Class E                                                          | CUSIP: BCC3BVJB9<br>LEI: 549300GESLGUWWGJRM09 | Long             | ABS-O            | CORP              | IT        |   1324633 | PA      | $1612379.34   | 0.21%             | 2043-09-22      | Floating      | 10.53%                | No            |                  2 | On Loan: No      |
| N/A                                                     | RRRR Repo Funding Trust, Series 2025-1 Pass-Through Certificates                                               | CUSIP: 78108CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7698876 | PA      | $7698875.69   | 0.98%             | 2026-07-25      | Fixed         | 14.00%                | No            |                  3 | On Loan: No      |
| Enact Mortgage Insurance Corporation                    | Triangle Re, Ltd., Series 2023-1, Class M1B                                                                    | CUSIP: 89589AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1015000 | PA      | $1056716.50   | 0.14%             | 2033-11-25      | Floating      | 9.43%                 | Yes           |                  2 | On Loan: No      |
| Oportun Funding Llc                                     | Oportun Funding Trust, Series 2025-1, Class D                                                                  | CUSIP: 68377PAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $755250.00    | 0.10%             | 2032-08-16      | Fixed         | 8.27%                 | Yes           |                  2 | On Loan: No      |
| Brants Bridge                                           | Brants Bridge PLC, Series 2023-1, Class E                                                                      | CUSIP: BCC3B9NL1<br>LEI: 213800NJ1MKTCTWHO378 | Long             | ABS-MBS          | CORP              | GB        |    915000 | PA      | $1211789.96   | 0.15%             | 2026-09-14      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Finance Sa                           | Santander Consumer Finance SA/NOMA, Series 2023-1, Class B                                                     | CUSIP: BCC3CVMG3<br>LEI: 5493000LM0MZ4JPMGM90 | Long             | ABS-O            | CORP              | DK        |   6803616 | PA      | $1064977.79   | 0.14%             | 2033-10-31      | Floating      | 10.46%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP88XAA00<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -409000 | NS      | $-409000.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP48XAE13<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -753870 | NS      | $-753870.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust                            | GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class G                                                  | CUSIP: 36258BAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    773672 | PA      | $724621.31    | 0.09%             | 2036-12-15      | Floating      | 8.30%                 | Yes           |                  2 | On Loan: No      |
| Jw Commercial Mortgage Trust 2024-mrco                  | JW Trust, Series 2024-BERY, Class E                                                                            | CUSIP: 46676AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1503150.00   | 0.19%             | 2039-11-15      | Floating      | 7.57%                 | Yes           |                  2 | On Loan: No      |
| Stratton Mortgage Funding Plc                           | Stratton Mortgage Funding PLC, Series 2024-3, Class F                                                          | CUSIP: BCC3FZ9Z4<br>LEI: 635400HN3D5CAXKQB937 | Long             | ABS-MBS          | CORP              | GB        |    396000 | PA      | $519556.13    | 0.07%             | 2049-06-25      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -732000 | NS      | $-732000.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Oportun Funding Llc                                     | Oportun Funding Trust, Series 2024-3, Class D                                                                  | CUSIP: 68377NAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $822560.00    | 0.11%             | 2028-01-18      | Fixed         | 9.60%                 | Yes           |                  2 | On Loan: No      |
| Vasco Finance                                           | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 3, Series 2025-3, Class F                    | CUSIP: BCC3PG6G0<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |   4400000 | PA      | $5076930.88   | 0.65%             | 2043-10-27      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2025-3, Series 2025-3A, Class F                                       | CUSIP: 76091FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4769000.00   | 0.61%             | 2034-02-27      | Fixed         | 12.00%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP4151436<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -1471205 | NS      | $-1932942.42  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2025-2, Class E                                                           | CUSIP: 69548YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1809810 | PA      | $1843291.37   | 0.24%             | 2032-10-15      | Fixed         | 10.89%                | Yes           |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                  | Structured Asset Investment Loan Trust, Series 2005-8, Class M2                                                | CUSIP: 86358EXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1667919 | PA      | $1444084.59   | 0.18%             | 2035-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5904056<br>LEI: N/A                  | Short            | RA               | CORP              | ES        |  -2387816 | NS      | $-2751599.46  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP92RAB50<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1187951 | NS      | $-1187951.00  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                 | United Auto Credit Securitization Trust, Series 2024-1, Class E                                                | CUSIP: 90945DAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2554000 | PA      | $2648753.40   | 0.34%             | 2027-06-10      | Fixed         | 10.45%                | Yes           |                  2 | On Loan: No      |
| Cherry Securitization Trust                             | Cherry Securitization Trust 2025-1, Series 2025-1A, Class C                                                    | CUSIP: 16473RAC8<br>LEI: 213800F9SQ753JQHSW24 | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $772575.00    | 0.10%             | 2028-10-16      | Fixed         | 9.34%                 | Yes           |                  2 | On Loan: No      |
| Clavel Residential                                      | Clavel Residential 4 DAC, Series 2025-1X, Class D                                                              | CUSIP: BCC3PBDM0<br>LEI: 9845007E874EA66E5D44 | Long             | ABS-MBS          | CORP              | IE        |   2476000 | PA      | $2753926.29   | 0.35%             | 2066-10-28      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2022-1, Class E                                                                            | CUSIP: BCC34C524<br>LEI: 6354005CHPSGN94O7F86 | Long             | ABS-MBS          | CORP              | GB        |    553000 | PA      | $727866.75    | 0.09%             | 2059-10-23      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust, Series 2006-9, Class 1A5                                                                | CUSIP: 52521HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    659963 | PA      | $336383.18    | 0.04%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | NYMT Loan Trust, Series 2025-CP1, Class M1                                                                     | CUSIP: 67121VAC8<br>LEI: 254900JF85A0S614L988 | Long             | ABS-MBS          | CORP              | US        |    834000 | PA      | $773368.20    | 0.10%             | 2069-11-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Indymac Residential Asset Backed Trust                  | Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2005-D, Class M2                             | CUSIP: 456606JQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    459102 | PA      | $331793.02    | 0.04%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Pony                                                    | Pony SA Compartment German Auto Loans, Series 2023-1, Class F                                                  | CUSIP: BCC3CHVT6<br>LEI: 2221001FWHVHKUW4NQ77 | Long             | ABS-O            | CORP              | LU        |    899175 | PA      | $1092117.55   | 0.14%             | 2028-08-14      | Floating      | 9.11%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                          | Long Beach Mortgage Loan Trust, Series 2006-10, Class 2A4                                                      | CUSIP: 54251YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2472861 | PA      | $750018.88    | 0.10%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Kkr Financial Clo Ltd                                   | KKR CLO 28, Ltd., Series 2025-28A, Class AR2                                                                   | CUSIP: 48253WAW2<br>LEI: 549300OP87QBZ6KR1406 | Long             | ABS-CBDO         | CORP              | KY        |   4108000 | PA      | $4108000.00   | 0.52%             | 2035-02-09      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust 2021-DNA2, Series 2020-DNA2, Class B2                                            | CUSIP: 35565KBE7<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |   2575000 | PA      | $2876017.50   | 0.37%             | 2050-02-25      | Floating      | 9.10%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2022-4, Class E                                                             | CUSIP: 33843XAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1879000 | PA      | $1632475.20   | 0.21%             | 2030-01-15      | Fixed         | 12.66%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP401NAQ2<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -476000 | NS      | $-476000.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2025-4, Series 2025-4A, Class E                                       | CUSIP: 76089NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3035000 | PA      | $3106626.00   | 0.40%             | 2027-07-25      | Fixed         | 10.74%                | Yes           |                  2 | On Loan: No      |
| Rmac Securities Plc                                     | RMAC Securities No 1 PLC, Series 2006-NS4X, Class B1C                                                          | CUSIP: BCC0UJFT6<br>LEI: 213800C48M2JTBGZT736 | Long             | ABS-MBS          | CORP              | GB        |    391407 | PA      | $428305.84    | 0.05%             | 2044-06-12      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2022-ST2, Class CERT                                                        | CUSIP: 91680UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $137089.75    | 0.02%             | 2030-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Castell                                                 | Castell PLC, Series 2023-2, Class G                                                                            | CUSIP: BCC3CJHC5<br>LEI: 213800CJ485JV1GHRE37 | Long             | ABS-MBS          | CORP              | GB        |    407000 | PA      | $568692.67    | 0.07%             | 2055-11-25      | Floating      | 13.87%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RPUS12639<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -329000 | NS      | $-329000.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc.                     | Ameriquest Mortgage Securities Trust, Series 2006-R1, Class M4                                                 | CUSIP: 03072SX75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711158 | PA      | $883898.35    | 0.11%             | 2036-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Upstart Pass-through Trust                              | Upstart Pass-Through Trust, Series 2020-ST2, Class CERT                                                        | CUSIP: 91680BAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $11408.20     | 0.00%             | 2028-03-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| E-carat                                                 | ECARAT DE SA Compartment Lease, Series 2025-1, Class E                                                         | CUSIP: BCC3M8ZN4<br>LEI: 213800XVRRHAZW7DS467 | Long             | ABS-O            | CORP              | LU        |   7700000 | PA      | $8925445.27   | 1.14%             | 2034-05-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                | Octane Receivables Trust 2024-2, Series 2024-2A, Class E                                                       | CUSIP: 67578YAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $787125.00    | 0.10%             | 2032-07-20      | Fixed         | 9.04%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP59PAE97<br>LEI: N/A                  | Short            | RA               | CORP              | US        |    -82036 | NS      | $-82036.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Pixel                                                   | FCT Pixel 2021, Series 2021-1, Class G                                                                         | CUSIP: BCC334978<br>LEI: 549300YL2EZ0WMNNP528 | Long             | ABS-O            | CORP              | FR        |     47462 | PA      | $54999.07     | 0.01%             | 2038-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Landmark Mortgage Securities Plc                        | Landmark Mortgage Securities No 3 PLC, Series 2007-3, Class D                                                  | CUSIP: BCC283ZV5<br>LEI: 213800S8KWEEVI3XTK68 | Long             | ABS-MBS          | CORP              | GB        |    419293 | PA      | $559922.17    | 0.07%             | 2044-04-17      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0559838<br>LEI: N/A                  | Short            | RA               | CORP              | IT        |   -273235 | NS      | $-314862.32   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2020-B, Class R1                                                       | CUSIP: 83405F103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10000 | PA      | $206425.90    | 0.03%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Noria                                                   | FCT Noria 2021, Series 2021-1, Class F                                                                         | CUSIP: BCC31BYT8<br>LEI: 5493003C5ECZD3NDSV63 | Long             | ABS-O            | CORP              | FR        |    166956 | PA      | $193237.69    | 0.02%             | 2049-10-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2025-1, Class C                                                           | CUSIP: 91684PAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1028000 | PA      | $1077858.00   | 0.14%             | 2035-04-20      | Fixed         | 9.27%                 | Yes           |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                        | Soundview Home Loan Trust, Series 2005-OPT4, Class M2                                                          | CUSIP: 83611MJM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1775259 | PA      | $1649747.92   | 0.21%             | 2035-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | Residential Accredit Loans, Inc., Series 2006-Q05, Class 1A2                                                   | CUSIP: 75114HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    832454 | PA      | $860923.88    | 0.11%             | 2046-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Selection Trust, Series 2024-7, Class D                                                         | CUSIP: 69548MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    644529 | PA      | $664831.42    | 0.08%             | 2031-12-15      | Fixed         | 10.89%                | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust, Series 2025-HB1, Class M2                                                            | CUSIP: 034936AC8<br>LEI: 254900ZFKOWCY24MSQ94 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $780450.00    | 0.10%             | 2055-02-25      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2024-3, Class E                                                                   | CUSIP: 69547XAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5619350.00   | 0.72%             | 2031-10-15      | Fixed         | 11.50%                | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                                  | Marlette Funding Trust 2021-2, Series 2021-2A, Class R                                                         | CUSIP: 57108T107<br>LEI: 549300JRCMNFIBT50883 | Long             | ABS-O            | CORP              | US        |      1686 | PA      | $22186.14     | 0.00%             | 2031-09-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2025-HE1, Class A                                                                          | CUSIP: 30191LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1795957 | PA      | $1810683.63   | 0.23%             | 2055-01-25      | Variable      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Acm Auto Trust                                          | ACM Auto Trust 2024-2, Series 2024-2A, Class B                                                                 | CUSIP: 00461WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $493700.00    | 0.06%             | 2026-04-20      | Fixed         | 9.21%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP86FAA75<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1331000 | NS      | $-1331000.00  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Securities, LLC                             | MARKIT CDX HY S45 5Y 12/30 ICE                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $6384254.68   | 0.82%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | Cherry SPV VI LLC                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    474330 | PA      | $474329.56    | 0.06%             | 2028-01-27      | Fixed         | 14.50%                | No            |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP93HAN52<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1055728 | NS      | $-1055728.00  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Dilosk Rmbs                                             | Dilosk RMBS No 8 Sts DAC, Series 2024-STS, Class F                                                             | CUSIP: BCC3D8WH0<br>LEI: 635400TGDQ2OBCBXQK26 | Long             | ABS-MBS          | CORP              | IE        |    459000 | PA      | $559183.31    | 0.07%             | 2062-05-20      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Bpr Trust                                               | BPR Trust, Series 2021-WILL, Class E                                                                           | CUSIP: 05591VAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $501250.00    | 0.06%             | 2038-06-15      | Floating      | 10.90%                | Yes           |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                  | Natixis Commercial Mortgage Securities Trust, Series 2022-JERI, Class A                                        | CUSIP: 63875LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2084266 | PA      | $1915232.03   | 0.24%             | 2039-01-15      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | GBP Currency Future                                                                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |      -487 | NC      | $-39994875.00 | -5.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Brignole Cq                                             | Brignole CQ, Series 2024-2024, Class X                                                                         | CUSIP: BCC3HF8K0<br>LEI: 815600DF81C93A72F362 | Long             | ABS-O            | CORP              | IT        |    655649 | PA      | $757199.56    | 0.10%             | 2040-09-24      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | SWF Funding LLC, Loan Facility                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |     35599 | PA      | $35598.67     | 0.00%             | 2027-09-23      | Fixed         | 15.00%                | No            |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP90HAL06<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -5433000 | NS      | $-5433000.00  | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| Dilosk Rmbs                                             | Dilosk RMBS No 8 Sts DAC, Series 2024-STS, Class X                                                             | CUSIP: BCC3D8WK3<br>LEI: 635400TGDQ2OBCBXQK26 | Long             | ABS-MBS          | CORP              | IE        |    283415 | PA      | $329500.15    | 0.04%             | 2062-05-20      | Floating      | 10.03%                | No            |                  2 | On Loan: No      |
| Comm Mortgage Trust                                     | COMM 2014-CCRE18 Mortgage Trust, Series 2014-CR18, Class E                                                     | CUSIP: 12632QAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    867185 | PA      | $818015.28    | 0.10%             | 2047-07-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Popular Abs Mortgage Pass-through Trust                 | Popular ABS Mortgage Pass-Through Trust, Series 2005-D, Class M1                                               | CUSIP: 73316PHR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    371841 | PA      | $339007.66    | 0.04%             | 2036-01-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Selection Trust, Series 2020-3, Class CERT                                                      | CUSIP: 69546T102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510470 | PA      | $3100.23      | 0.00%             | 2027-05-17      | Variable      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Rmbs Miravet                                            | FT RMBS Miravet, Series 2023-1, Class E                                                                        | CUSIP: BCC38Q5D5<br>LEI: 959800CJJTJ863UQ4H59 | Long             | ABS-MBS          | CORP              | ES        |    600000 | PA      | $683804.41    | 0.09%             | 2066-11-26      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | NYMT Loan Trust, Series 2025-CP1, Class A2                                                                     | CUSIP: 67121VAB0<br>LEI: 254900JF85A0S614L988 | Long             | ABS-MBS          | CORP              | US        |   1048000 | PA      | $979880.00    | 0.13%             | 2069-11-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Securities, LLC                             | Markit CDX NA High Yield Index, Series 41                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $-432.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2021-B, Class R1                                                       | CUSIP: 83405N106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14625 | PA      | $363946.78    | 0.05%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP71PAA30<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -6282000 | NS      | $-6282000.00  | -0.80%            |  |  |  | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                    | LHOME Mortgage Trust, Series 2024-RTL5, Class M1                                                               | CUSIP: 50205WAC1<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $504350.00    | 0.06%             | 2039-09-25      | Variable      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| Smi Equity Release                                      | SMI Equity Release 2018-1 DAC, Series 2023-1, Class BRR                                                        | CUSIP: BCC394CQ6<br>LEI: 549300XI0B10EWKYLD45 | Long             | ABS-MBS          | CORP              | IE        |    500000 | PA      | $548806.63    | 0.07%             | 2045-06-20      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Harben Finance 2017-1 Plc                               | Harben Finance, Series 2022-1RA, Class G                                                                       | CUSIP: BCC34V1P5<br>LEI: 213800J7WLPUU61CJY65 | Long             | ABS-MBS          | CORP              | GB        |    391000 | PA      | $515924.25    | 0.07%             | 2026-09-28      | Floating      | 8.28%                 | Yes           |                  2 | On Loan: No      |
| Usasf Receivables Llc                                   | USASF Receivables LLC, Series 2021-1A, Class D                                                                 | CUSIP: 90355EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1125000 | PA      | $16875.00     | 0.00%             | 2027-03-15      | Fixed         | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Jpmbb Commercial Mortgage Securities Trust              | JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class F                                           | CUSIP: 46640NAT5<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |   1098000 | PA      | $176778.00    | 0.02%             | 2045-11-15      | Fixed         | 3.58%                 | Yes           |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2025-1, Class X                                                                            | CUSIP: BCC3KHV26<br>LEI: 635400MKPQQD5URNMC45 | Long             | ABS-MBS          | CORP              | GB        |   1590863 | PA      | $2105830.64   | 0.27%             | 2068-02-26      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| Point Securitization Trust                              | Point Securitization Trust, Series 2025-1, Class A1                                                            | CUSIP: 73072DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1439379 | PA      | $1451469.99   | 0.19%             | 2028-05-25      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Youni Italy                                             | Youni Italy Srl, Series 2025-1, Class X                                                                        | CUSIP: BCC3LDFR7<br>LEI: 8156007164AD3ED53B97 | Long             | ABS-O            | CORP              | IT        |    303576 | PA      | $352449.63    | 0.05%             | 2035-04-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7534521<br>LEI: N/A                  | Short            | RA               | CORP              | NL        |   -558308 | NS      | $-643366.15   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC, Series 2020-FACT, Class D                                                                                | CUSIP: 126395AL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1159000 | PA      | $1106149.60   | 0.14%             | 2037-10-15      | Floating      | 8.36%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2021-3, Class A                                                 | CUSIP: 92258RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    896836 | PA      | $772265.50    | 0.10%             | 2028-06-25      | Variable      | 1.96%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP589AAB5<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -545000 | NS      | $-545000.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP49CAA45<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2794000 | NS      | $-2794000.00  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| Safco Auto Receivables Trust                            | SAFCO Auto Receivables Trust 2024-1, Series 2024-1A, Class E                                                   | CUSIP: 78637EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $520500.00    | 0.07%             | 2030-01-18      | Fixed         | 10.85%                | Yes           |                  2 | On Loan: No      |
| Dowson                                                  | Dowson PLC, Series 2024-1, Class E                                                                             | CUSIP: BCC3HXVG4<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |    577000 | PA      | $760138.19    | 0.10%             | 2031-08-20      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| Ozlm Ltd                                                | OZLM XI, Ltd., Series 2017-11X, Class ER                                                                       | CUSIP: BCC2E69G3<br>LEI: 5493009CITK5BZZY6417 | Long             | ABS-CBDO         | CORP              | KY        |    169390 | PA      | $0.00         | 0.00%             | 2030-10-30      | Floating      | 13.02%                | No            |                  2 | On Loan: No      |
| Affirm Inc                                              | Affirm Asset Securitization Trust, Series 2024-A, Class 1E                                                     | CUSIP: 00834BAK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1503750.00   | 0.19%             | 2026-02-17      | Fixed         | 9.17%                 | Yes           |                  2 | On Loan: No      |
| Newgate Funding Plc                                     | Newgate Funding PLC, Series 2007-1X, Class DB                                                                  | CUSIP: BCC0W9FA7<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |    539307 | PA      | $522656.89    | 0.07%             | 2050-12-01      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2025-RPL1 DAC, Series 2025-RPL1X, Class F                                                              | CUSIP: BCC3L0D14<br>LEI: 635400SKSJELSOJMVK25 | Long             | ABS-MBS          | CORP              | IE        |    642792 | PA      | $728498.95    | 0.09%             | 2078-06-24      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Jefferies Credit Partners Bdc Clo Ltd                   | Jefferies Credit Partners BDC CLO I, Ltd., Series 2025-1X, Class A                                             | CUSIP: BCC3L8N08<br>LEI: 213800OX6VUS9GPHJN45 | Long             | ABS-CBDO         | CORP              | KY        |   7671000 | PA      | $7661027.70   | 0.98%             | 2037-04-25      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP400FVQ0<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |   -127047 | NS      | $-146402.59   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | AUD $ Currency Fut                                                                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |       -91 | NC      | $-5956860.00  | -0.76%            |  |  |  | No            |                  1 | On Loan: No      |
| Golden Bar Securitisation                               | Golden Bar Securitisation Srl, Series 2021-1, Class E                                                          | CUSIP: BCC329WP2<br>LEI: 549300GESLGUWWGJRM09 | Long             | ABS-O            | CORP              | IT        |    126598 | PA      | $143448.42    | 0.02%             | 2041-09-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2024-2, Class E                                                                   | CUSIP: 694961AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2451910 | PA      | $2521788.94   | 0.32%             | 2031-08-15      | Fixed         | 11.50%                | Yes           |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2024-R01, Class 1B2                                                | CUSIP: 20753UAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1875000 | PA      | $1995562.50   | 0.25%             | 2044-01-25      | Floating      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP115CAE7<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -225000 | NS      | $-225000.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Vasco Finance                                           | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2, Series 2024-2, Class D                    | CUSIP: BCC3HJWT6<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |   1130132 | PA      | $1316632.98   | 0.17%             | 2042-10-27      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP97DAC20<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -3310000 | NS      | $-3310000.00  | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| Vontive Mortgage Trust 2025-rtl1                        | Vontive Mortgage Trust, Series 2025-RTL1, Class A1                                                             | CUSIP: 928884AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1794000 | PA      | $1824139.20   | 0.23%             | 2027-03-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP8050872<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -522145 | NS      | $-601693.72   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Roc Securities Trust                                    | Roc Mortgage Trust, Series 2024-RTL1, Class M1                                                                 | CUSIP: 77118UAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1046500 | PA      | $1058534.75   | 0.14%             | 2027-04-25      | Variable      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                             | Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6X, Class F                                    | CUSIP: BCC3FHZW2<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |    556000 | PA      | $734591.30    | 0.09%             | 2027-01-20      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP400FVL1<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |   -158213 | NS      | $-182316.73   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Trust 2025-5, Series 2025-5A, Class CERT                                          | CUSIP: 76089LAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3097000 | PA      | $4814823.06   | 0.62%             | 2034-06-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Oak Hill Credit                                         | OHA Credit Funding 4, Ltd., Series 2019-4A, Class SUB                                                          | CUSIP: 67098EAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    820000 | PA      | $606800.00    | 0.08%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust, Series 2007-21CB, Class 2A3                                                            | CUSIP: 02151FAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    993082 | PA      | $260286.80    | 0.03%             | 2037-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Newday Funding                                          | NewDay Funding, Series 2022-3A, Class E                                                                        | CUSIP: BCC386606<br>LEI: 213800GBPRAJHSB5YK19 | Long             | ABS-O            | CORP              | GB        |   1165000 | PA      | $1537369.83   | 0.20%             | 2030-11-15      | Floating      | 13.47%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP092KAE4<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -563343 | NS      | $-563343.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7683291<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -302399 | NS      | $-348469.45   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP638GAA1<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -510000 | NS      | $-510000.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Molossus Btl                                            | Molossus Btl PLC, Series 2024-1, Class F                                                                       | CUSIP: BCC3F95Q6<br>LEI: 635400TPGD2VZXFZMM69 | Long             | ABS-MBS          | CORP              | GB        |    399000 | PA      | $530988.59    | 0.07%             | 2061-04-18      | Floating      | 8.90%                 | No            |                  2 | On Loan: No      |
| Conn Funding Ii, L.p                                    | Conn's Receivables Funding LLC, Series 2023-A, Class B                                                         | CUSIP: 20824CAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81110 | PA      | $81450.89     | 0.01%             | 2028-01-17      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2025-1, Series 2025-1A, Class E                                            | CUSIP: 30167MAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1558000 | PA      | $1600377.60   | 0.20%             | 2029-09-15      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| Figre Trust                                             | FIGRE Trust, Series 2025-HE2, Class A                                                                          | CUSIP: 31684KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21427919 | PA      | $21757908.49  | 2.78%             | 2055-03-25      | Variable      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP15QAA76<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2379611 | NS      | $-2379611.00  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| Molossus Btl                                            | Molossus Btl PLC, Series 2024-1, Class X                                                                       | CUSIP: BCC3F95S2<br>LEI: 635400TPGD2VZXFZMM69 | Long             | ABS-MBS          | CORP              | GB        |    185166 | PA      | $247391.55    | 0.03%             | 2061-04-18      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.35 04/05/27                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $244.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP64KS591<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1949363 | NS      | $-1949363.00  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2025-4, Class E                                                                   | CUSIP: 69548GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15000000 | PA      | $15403500.00  | 1.97%             | 2033-01-17      | Fixed         | 11.60%                | Yes           |                  2 | On Loan: No      |
| Atlas Funding                                           | Atlas Funding PLC, Series 2025-1, Class E                                                                      | CUSIP: BCC3LJ124<br>LEI: 635400YENQ7FY7ZJJS32 | Long             | ABS-MBS          | CORP              | GB        |    768000 | PA      | $1047783.67   | 0.13%             | 2030-02-20      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| Bbva Consumo Fta                                        | BBVA Consumo FTA, Series 2025-1, Class E                                                                       | CUSIP: BCC3M7TF0<br>LEI: 959800QSA097WJABWP90 | Long             | ABS-O            | CORP              | ES        |   1038005 | PA      | $1218871.93   | 0.16%             | 2038-08-21      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| Audax Senior Debt Clo, Llc                              | Audax Senior Debt Clo 8 LLC, Series 2025-8A, Class A1R                                                         | CUSIP: 05070WAX1<br>LEI: 254900IA8H0BF2UXPL13 | Long             | ABS-CBDO         | CORP              | US        |   6748000 | PA      | $6748000.00   | 0.86%             | 2038-01-20      | Floating      | 1.45%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP87WAG50<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -957000 | NS      | $-957000.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust          | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM8, Class B1                                     | CUSIP: 61779QAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2255000 | PA      | $2228391.00   | 0.28%             | 2029-10-25      | Variable      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP104QQ78<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -387000 | NS      | $-387000.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust, Series 2025-2A, Class E                                                    | CUSIP: 89617QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $73440.00     | 0.01%             | 2028-10-15      | Fixed         | 8.35%                 | Yes           |                  3 | On Loan: No      |
| Noria                                                   | Noria DE 2024, Series 2024-DE1, Class F                                                                        | CUSIP: BCC3GDS40<br>LEI: 9695003DRUTU793B4N34 | Long             | ABS-O            | CORP              | FR        |    430481 | PA      | $506432.53    | 0.06%             | 2043-02-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Miravet Repack                                          | Miravet 2025-1 DAC, Series 2025-1X, Class F                                                                    | CUSIP: BCC3LRM31<br>LEI: 635400LFDEBKWXDYOS74 | Long             | ABS-MBS          | CORP              | IE        |   1301000 | PA      | $1413752.37   | 0.18%             | 2028-03-28      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Harbor Park Clo Ltd                                     | Harbor Park CLO, Ltd., Series 2025-1A, Class ER2                                                               | CUSIP: 41154YAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2008000 | PA      | $1995148.80   | 0.25%             | 2031-01-20      | Floating      | 9.13%                 | Yes           |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2023-4, Series 2024-3A, Class D                                       | CUSIP: 76090GAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3160000 | PA      | $3159368.00   | 0.40%             | 2033-03-25      | Fixed         | 9.04%                 | Yes           |                  2 | On Loan: No      |
| Bbva Consumo Fta                                        | Bbva Consumer Auto FT, Series 2024-1, Class Z                                                                  | CUSIP: BCC3FJX00<br>LEI: 959800UREVUB5WK1YY20 | Long             | ABS-O            | CORP              | ES        |    517849 | PA      | $607067.03    | 0.08%             | 2037-04-21      | Floating      | 9.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP21VAD64<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -949975 | NS      | $-949975.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Hsi Asset Securitization Corporation Trust              | HSI Asset Securitization Corp. Trust, Series 2007-HE1, Class 1A1                                               | CUSIP: 40430FAA0<br>LEI: 2138004J9K5ER1VNP306 | Long             | ABS-MBS          | CORP              | US        |    943587 | PA      | $752321.73    | 0.10%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9503816<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -698045 | NS      | $-804392.07   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Jp Morgan Mortgage Acquisition Corp                     | JP Morgan Mortgage Acquisition Corp., Series 2006-FRE2, Class M3                                               | CUSIP: 46626LHD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    922849 | PA      | $718899.46    | 0.09%             | 2036-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit Clo, Limited                        | Bain Capital Credit CLO 2018-2, Series 2018-2A, Class F                                                        | CUSIP: 05682WAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1538000 | PA      | $1362668.00   | 0.17%             | 2031-07-19      | Floating      | 11.75%                | Yes           |                  2 | On Loan: No      |
| Eurosail Plc                                            | Eurosail 2006-2bl PLC, Series 2006-2X, Class D1C                                                               | CUSIP: BCC0T5HP4<br>LEI: 213800PBNX9J895VX562 | Long             | ABS-MBS          | CORP              | GB        |   1528000 | PA      | $1906180.61   | 0.24%             | 2044-12-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Mulcair Securities Dac                                  | Mulcair Securities, Series 2025-4, Class D                                                                     | CUSIP: BCC3LRLS7<br>LEI: 635400WTZS4ESHSIT120 | Long             | ABS-MBS          | CORP              | IE        |    722000 | PA      | $793059.17    | 0.10%             | 2028-07-24      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners Llc                    | PRET LLC, Series 2025-NPL3, Class A1                                                                           | CUSIP: 74143HAA3<br>LEI: 254900UGRYVHG7BY6M45 | Long             | ABS-MBS          | CORP              | US        |   2503071 | PA      | $2522094.65   | 0.32%             | 2028-04-25      | Variable      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-RPL 1 DAC, Series 2024-RPL1X, Class D                                                             | CUSIP: BCC3DXKX3<br>LEI: 6354003NQB1EMN3EGI88 | Long             | ABS-MBS          | CORP              | IE        |    557000 | PA      | $642629.11    | 0.08%             | 2065-01-26      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Comm Mortgage Trust                                     | COMM, Series 2021-2400 Mortgage Trust, Class B                                                                 | CUSIP: 20048FAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3304000 | PA      | $3283845.60   | 0.42%             | 2038-12-15      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners Clo Ltd                         | Benefit Street Partners CLO XXIII, Ltd., Series 2025-23A, Class ER                                             | CUSIP: 08186XAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $748275.00    | 0.10%             | 2034-04-25      | Floating      | 9.11%                 | Yes           |                  2 | On Loan: No      |
| Vecht Residential B.v.                                  | Vecht Residential B.V., Series 2023-1, Class X2                                                                | CUSIP: BCC39SSS2<br>LEI: 7245009Q7KC3X5MJBI22 | Long             | ABS-MBS          | CORP              | NL        |    635000 | PA      | $882115.18    | 0.11%             | 2028-05-22      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| Autonoria                                               | Autonoria Spain 2023 FT, Series 2023-SP, Class F                                                               | CUSIP: BCC3C1T23<br>LEI: 959800XCSR4Q127ENL67 | Long             | ABS-O            | CORP              | ES        |    541948 | PA      | $658361.80    | 0.08%             | 2041-09-30      | Floating      | 8.77%                 | No            |                  2 | On Loan: No      |
| Stratton Mortgage Funding Plc                           | Stratton Mortgage Funding 2024-2 PLC, Series 2024-2X, Class E                                                  | CUSIP: BCC3F2H62<br>LEI: 635400BEV82LZKPTAB28 | Long             | ABS-MBS          | CORP              | GB        |    400000 | PA      | $525750.14    | 0.07%             | 2050-06-28      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP93LAN64<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1539661 | NS      | $-1539661.00  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP24XAD75<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1557893 | NS      | $-1557893.00  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Plenti Pl-green Abs Trust                               | Plenti PL-Green ABS Trust, Series 2024-2, Class F                                                              | CUSIP: BCC3J0QF2<br>LEI: 984500EBC157B8440F27 | Long             | ABS-O            | CORP              | AU        |   1034061 | PA      | $678699.31    | 0.09%             | 2036-04-11      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2023-DNA1, Class B1                                                      | CUSIP: 35564KS59<br>LEI: 5493000IRILHAKSCHN59 | Long             | ABS-MBS          | USGSE             | US        |   2432000 | PA      | $2782451.20   | 0.36%             | 2043-03-25      | Floating      | 12.34%                | Yes           |                  2 | On Loan: No      |
| Merrion Square Residential                              | Merrion Square Residential 2024-1 DAC, Series 2024-1X, Class E                                                 | CUSIP: BCC3GCYP8<br>LEI: 635400PSAJTAIHKBHG80 | Long             | ABS-MBS          | CORP              | IE        |    811000 | PA      | $931378.26    | 0.12%             | 2027-06-24      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust                      | Prosper Marketplace Issuance Trust Series 2023-1, Series 2023-1A, Class D                                      | CUSIP: 74390NAG7<br>LEI: 549300WV6NCA12RVBP15 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $513150.00    | 0.07%             | 2029-07-16      | Fixed         | 11.24%                | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust, Series 2007-5, Class 6A1                                                                | CUSIP: 52521RBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3274330 | PA      | $1224926.95   | 0.16%             | 2036-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP84LAE11<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -597938 | NS      | $-597938.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                          | Long Beach Mortgage Loan Trust, Series 2006-10, Class 2A3                                                      | CUSIP: 54251YAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2855291 | PA      | $871434.73    | 0.11%             | 2036-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Euro FX Fut                                                                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |      -498 | NC      | $-71911200.00 | -9.19%            |  |  |  | No            |                  1 | On Loan: No      |
| E-mac Program B.v.                                      | E-MAC Program BV, Series 2007-NL3X, Class D                                                                    | CUSIP: BCC0YY222<br>LEI: 724500SKQP7E7072AD15 | Long             | ABS-MBS          | CORP              | NL        |    477158 | PA      | $455003.43    | 0.06%             | 2047-07-25      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| Sunbit Asset Securitization Trust                       | Sunbit Asset Securitization Trust, Series 2025-1, Class D                                                      | CUSIP: 86709SAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4140000 | PA      | $4197960.00   | 0.54%             | 2028-02-15      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class D                                          | CUSIP: 05493LAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    667000 | PA      | $607970.50    | 0.08%             | 2038-09-15      | Floating      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Gls Auto Receivables Trust                              | GLS Auto Receivables Issuer Trust 2025-1, Series 2025-1A, Class E                                              | CUSIP: 36271KAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2239160.00   | 0.29%             | 2032-03-15      | Fixed         | 7.19%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP4989918<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -891094 | NS      | $-1170763.69  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Atlas Funding                                           | Atlas Funding PLC, Series 2023-1, Class F                                                                      | CUSIP: BCC398M03<br>LEI: 635400GE1FMJVQH5B467 | Long             | ABS-MBS          | CORP              | GB        |    402000 | PA      | $555209.81    | 0.07%             | 2061-01-25      | Floating      | 13.70%                | No            |                  2 | On Loan: No      |
| Equify Abs, Llc                                         | Equify ABS 2024-1 LLC, Series 2024-1A, Class D                                                                 | CUSIP: 29445TAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $503700.00    | 0.06%             | 2028-05-15      | Fixed         | 7.77%                 | Yes           |                  2 | On Loan: No      |
| Consumo Santander                                       | FTA Santander Consumo 6, Series 2024-6, Class F                                                                | CUSIP: BCC3FP598<br>LEI: 9845003Q6DEF3R087B56 | Long             | ABS-O            | CORP              | ES        |   2272711 | PA      | $2653528.85   | 0.34%             | 2027-03-21      | Floating      | 10.13%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0711293<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -392706 | NS      | $-515956.71   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP042GAD6<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1592000 | NS      | $-1592000.00  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-Rpl 2 DAC, Series 2024-RPL2X, Class F                                                             | CUSIP: BCC3J9VR1<br>LEI: 635400B9FSRJAFAZIY56 | Long             | ABS-MBS          | CORP              | IE        |   2806000 | PA      | $3208272.49   | 0.41%             | 2063-01-24      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Newgate Funding Plc                                     | Newgate Funding PLC, Series 2007-2X, Class E                                                                   | CUSIP: BCC0Y5TF7<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |    419190 | PA      | $525748.78    | 0.07%             | 2050-12-15      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| Radnor Re Ltd                                           | Radnor Re, Ltd., Series 2024-1, Class B1                                                                       | CUSIP: 75049AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $156045.00    | 0.02%             | 2034-09-25      | Floating      | 9.33%                 | Yes           |                  2 | On Loan: No      |
| Scf Rahoituspalvelut Dac                                | SCF Rahoituspalvelut XIII DAC, Series 2024-13, Class E                                                         | CUSIP: BCC3FLNF3<br>LEI: 875500BJTX1DZ2QIPK23 | Long             | ABS-O            | CORP              | IE        |    500000 | PA      | $601526.63    | 0.08%             | 2029-02-25      | Floating      | 9.59%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust 2024-3, Series 2024-3A, Class F                                             | CUSIP: 89617AAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1320000 | PA      | $203280.00    | 0.03%             | 2032-11-15      | Fixed         | 13.51%                | Yes           |                  3 | On Loan: No      |
| Purchasing Power Funding                                | Purchasing Power Funding LLC, Series 2024-A, Class E                                                           | CUSIP: 745935AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502150.00    | 0.06%             | 2028-08-15      | Fixed         | 10.18%                | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC, Series 2020-FACT, Class B                                                                                | CUSIP: 126395AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $978700.00    | 0.13%             | 2037-10-15      | Floating      | 6.65%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP493HAQ8<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -827073 | NS      | $-827073.00   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Prp Advisors, Llc                                       | PRPM LLC, Series 2025-2, Class A1                                                                              | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1234322 | PA      | $1236914.00   | 0.16%             | 2030-05-25      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Smrt                                                    | SMRT, Series 2022-MINI, Class E                                                                                | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5740000 | PA      | $5713596.00   | 0.73%             | 2039-01-15      | Floating      | 6.73%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP64YAA82<br>LEI: N/A                  | Short            | RA               | CORP              | US        |     -1000 | NS      | $-1000.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cfst Mortgage Trust                                     | CFST Mortgage Trust, Series 2025-RTL1, Class A1                                                                | CUSIP: 12532GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    847000 | PA      | $848270.50    | 0.11%             | 2028-04-25      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP966AC06<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1489500 | NS      | $-1489500.00  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | Matthew R. Stubbs, LLC, Tranche B Facility Interest                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5000000.00   | 0.64%             | 2026-03-23      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Argent Securities Inc.                                  | Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-W5, Class M1                       | CUSIP: 040104QQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1355377 | PA      | $1412845.13   | 0.18%             | 2036-01-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Reach Financial Llc                                     | Reach ABS Trust 2025-2, Series 2025-2A, Class D                                                                | CUSIP: 75525QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1015900.00   | 0.13%             | 2029-06-15      | Fixed         | 7.31%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP4960AE5<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1768550 | NS      | $-1768550.00  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| Wellfleet Clo Ltd                                       | Wellfleet CLO 2021-4, Ltd., Series 2025-4A, Class A1R                                                          | CUSIP: 94951GAC0<br>LEI: 254900EH90TKUEDWUZ75 | Long             | ABS-CBDO         | CORP              | KY        |   7325000 | PA      | $7325000.00   | 0.94%             | 2038-10-25      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates       | First Franklin Mortgage Loan Trust, Series 2006-FFH1, Class M2                                                 | CUSIP: 32027NZN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    552686 | PA      | $534723.95    | 0.07%             | 2036-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP3261253<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -476798 | NS      | $-549438.11   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Elstree Funding                                         | Elstree Funding No 5 PLC, Series 2024-5, Class F                                                               | CUSIP: BCC3HVPH3<br>LEI: 635400TQHOGQECGSLM58 | Long             | ABS-MBS          | CORP              | GB        |    403998 | PA      | $544964.32    | 0.07%             | 2028-03-21      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| Satus Plc                                               | Satus PLC, Series 2024-1, Class D                                                                              | CUSIP: BCC3FH0J9<br>LEI: 213800P7IESQH1HBW693 | Long             | ABS-O            | CORP              | GB        |    739000 | PA      | $959672.17    | 0.12%             | 2027-04-19      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Cardiff Automobile Receivables Securitisation           | Cardiff Auto Receivables Securitisation PLC, Series 2024-1, Class E                                            | CUSIP: BCC3GPMG2<br>LEI: 6354006GQBBANLIO8R45 | Long             | ABS-O            | CORP              | GB        |   1976000 | PA      | $2624205.84   | 0.34%             | 2031-08-20      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                  | GreenSky Home Improvement Issuer Trust 2025-2, Series 2025-2A, Class E                                         | CUSIP: 39571VAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1017100.00   | 0.13%             | 2060-06-25      | Fixed         | 7.79%                 | Yes           |                  2 | On Loan: No      |
| Radnor Re Ltd                                           | Radnor Re, Ltd., Series 2024-1, Class M1B                                                                      | CUSIP: 75049AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1761725.00   | 0.23%             | 2034-09-25      | Floating      | 7.08%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9894381<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -977032 | NS      | $-1283673.31  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0556131<br>LEI: N/A                  | Short            | RA               | CORP              | IT        |   -426464 | NS      | $-491435.74   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BNY Mellon U.S. Treasury Fund                           | BNY Mellon U.S. Treasury Fund, Institutional Class                                                             | CUSIP: G1206E136<br>LEI: N/A                  | Long             | STIV             | RF                | IE        |  12898496 | NS      | $12898496.27  | 1.65%             |  |  |  | No            |                  1 | On Loan: No      |
| Treasury Bill                                           | United States Treasury Bill                                                                                    | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $39867020.00  | 5.09%             | 2025-12-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Upgrade Receivables Trust                               | Upgrade Receivables Trust 2024-1, Series 2024-1A, Class D                                                      | CUSIP: 91533NAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3020000 | PA      | $3080400.00   | 0.39%             | 2028-03-15      | Fixed         | 8.90%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2020-HQA4, Class B2                                                      | CUSIP: 35565RBE2<br>LEI: 5493000IT4TAVS1FNX06 | Long             | ABS-MBS          | USGSE             | US        |    477000 | PA      | $627016.50    | 0.08%             | 2050-09-25      | Floating      | 13.70%                | Yes           |                  2 | On Loan: No      |
| Vasco Finance                                           | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 3, Series 2025-3, Class D                    | CUSIP: BCC3PG6D7<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |   2000000 | PA      | $2307695.85   | 0.29%             | 2043-10-27      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1075069<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -347857 | NS      | $-457031.86   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Metro Finance Trust                                     | Trustee for Metro Finance , Series 2023-1, Class E                                                             | CUSIP: BCC3983L8<br>LEI: 984500D1F362E8C1FF34 | Long             | ABS-O            | CORP              | AU        |    425112 | PA      | $283358.18    | 0.04%             | 2029-02-18      | Floating      | 10.46%                | No            |                  2 | On Loan: No      |
| Metro Finance Trust                                     | Trustee for Metro Finance , Series 2023-1, Class F                                                             | CUSIP: BCC3983M6<br>LEI: 984500D1F362E8C1FF34 | Long             | ABS-O            | CORP              | AU        |    275748 | PA      | $184629.79    | 0.02%             | 2029-02-18      | Floating      | 12.21%                | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2022-1, Class C                                                           | CUSIP: 91679WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $302050.00    | 0.04%             | 2032-03-20      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | PT        |  -1400385 | NS      | $-1613733.48  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Bain Capital Credit Clo, Limited                        | Bain Capital Credit CLO 2020-4, Ltd., Series 2025-4A, Class ERR                                                | CUSIP: 05684HAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2751000 | PA      | $2751000.00   | 0.35%             | 2036-10-20      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2020-HQA3, Class B2                                                      | CUSIP: 35565MBE3<br>LEI: 5493000ITAM9GTFUKP51 | Long             | ABS-MBS          | USGSE             | US        |   1806000 | PA      | $2405592.00   | 0.31%             | 2050-07-25      | Floating      | 14.30%                | Yes           |                  2 | On Loan: No      |
| Castell                                                 | Castell PLC, Series 2023-1, Class G                                                                            | CUSIP: BCC39KFB0<br>LEI: 6354004KMSEMXJM3QR12 | Long             | ABS-MBS          | CORP              | GB        |   1014000 | PA      | $1401653.61   | 0.18%             | 2055-05-25      | Floating      | 14.47%                | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust, Series 2018-2, Class B4                                                             | CUSIP: 89175VAH6<br>LEI: 549300ZHISOOIT5VZP03 | Long             | ABS-MBS          | CORP              | US        |   3285550 | PA      | $2289042.69   | 0.29%             | 2058-03-25      | Variable      | 3.70%                 | Yes           |                  2 | On Loan: No      |
| Eurohome Uk Mortgages Plc                               | Eurohome UK Mortgages 2007 -1 PLC, Series 2007-1, Class B2                                                     | CUSIP: BCC0WBEC9<br>LEI: 2138009XX8M6MTY8SG15 | Long             | ABS-MBS          | CORP              | GB        |    430000 | PA      | $552978.37    | 0.07%             | 2044-06-15      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Fta Santander Consumo                                   | FTA Santander Consumo 4, Series 2021-4, Class E                                                                | CUSIP: BCC2QM3E6<br>LEI: 98450072AC11A1C80548 | Long             | ABS-O            | CORP              | ES        |    578439 | PA      | $664031.65    | 0.08%             | 2032-09-18      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ARCHWEST 2025-RTL1                                      | Archwest Mortgage Trust, Series 2025-RTL1, Class M1                                                            | CUSIP: 039966AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1986000 | PA      | $2000299.20   | 0.26%             | 2028-03-25      | Variable      | 6.81%                 | Yes           |                  2 | On Loan: No      |
| Bpr Trust                                               | BPR Trust, Series 2021-WILL, Class C                                                                           | CUSIP: 05591VAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $501250.00    | 0.06%             | 2038-06-15      | Floating      | 8.15%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP3618055<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -575530 | NS      | $-756159.98   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Auto Abs                                                | Auto ABS Spanish Loans Fondo Titulizacion, Series 2022-1, Class D                                              | CUSIP: BCC368QN2<br>LEI: 959800LZRYPFFESLNU74 | Long             | ABS-O            | CORP              | ES        |    193956 | PA      | $226276.05    | 0.03%             | 2032-02-28      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Autonoria                                               | Autonoria Spain 2025 FT, Series 2025-SP, Class G                                                               | CUSIP: BCC3MHXT3<br>LEI: 9598003381JB7Z32LH47 | Long             | ABS-O            | CORP              | ES        |    800000 | PA      | $925567.42    | 0.12%             | 2043-04-30      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Finance Ireland Rmbs                                    | Finance Ireland RMBS NO 7 DAC, Series 2024-7, Class X                                                          | CUSIP: BCC3G65N8<br>LEI: 635400IU9RIO17FMKE17 | Long             | ABS-MBS          | CORP              | IE        |     45029 | PA      | $51966.99     | 0.01%             | 2063-12-24      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Cfg Investments Limited                                 | CFG Investments, Ltd., Series 2025-1, Class B                                                                  | CUSIP: 12528GAN2<br>LEI: 549300C3OD89QRWQ1Y92 | Long             | ABS-O            | CORP              | KY        |   1982000 | PA      | $2029568.00   | 0.26%             | 2029-07-25      | Fixed         | 9.16%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | VCP Tyler Pref, LLC                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2267737 | PA      | $2267737.05   | 0.29%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP75XAJ54<br>LEI: N/A                  | Short            | RA               | CORP              | US        |     -1000 | NS      | $-1000.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Treasury Bill                                           | United States Treasury Bill                                                                                    | CUSIP: 912797QR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19963454.00  | 2.55%             | 2025-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Merrion Square Residential                              | Merrion Square Residential 2024-1 DAC, Series 2024-1X, Class D                                                 | CUSIP: BCC3GCYN3<br>LEI: 635400PSAJTAIHKBHG80 | Long             | ABS-MBS          | CORP              | IE        |    475000 | PA      | $545833.56    | 0.07%             | 2027-06-24      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2022-3, Series 2022-3A, Class E                                            | CUSIP: 30166YAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1396000 | PA      | $1436065.20   | 0.18%             | 2027-02-16      | Fixed         | 9.09%                 | Yes           |                  2 | On Loan: No      |
| Taberna Prefered Funding Ltd                            | Taberna Preferred Funding II, Ltd., Series 2005-2A, Class B                                                    | CUSIP: 87330UAE1<br>LEI: 8Z9UQTNXEECO8ECQHB85 | Long             | ABS-CBDO         | CORP              | KY        |    529000 | PA      | $79350.00     | 0.01%             | 2035-11-05      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                 | Lendingpoint Asset Securitization Trust, Series 2022-B, Class C                                                | CUSIP: 52606WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    517000 | PA      | $161821.00    | 0.02%             | 2029-10-15      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| ARCHWEST 2025-RTL1                                      | Archwest Mortgage Trust, Series 2025-RTL1, Class A2                                                            | CUSIP: 039966AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1430000 | PA      | $1433003.00   | 0.18%             | 2028-03-25      | None          | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Goodleap Home Improvement Solutions Trust               | GoodLeap Home Improvement Solutions Trust 2024-1, Series 2024-1A, Class C                                      | CUSIP: 381935AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    844202 | PA      | $865560.05    | 0.11%             | 2033-04-20      | Fixed         | 8.94%                 | Yes           |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2023-2, Class F                                                                            | CUSIP: BCC3C2600<br>LEI: 6354009LRHDVGD1A8T64 | Long             | ABS-MBS          | CORP              | GB        |    403000 | PA      | $559979.61    | 0.07%             | 2027-02-27      | Floating      | 12.72%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5598393<br>LEI: N/A                  | Short            | RA               | CORP              | IT        |   -527166 | NS      | $-607479.67   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0055613<br>LEI: N/A                  | Short            | RA               | CORP              | IT        |   -427806 | NS      | $-492982.19   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Securities, LLC                             | MARKIT CDX HY S44 5Y 6/30 ICE                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1140514.12  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-RPL 1 DAC, Series 2024-RPL1X, Class E                                                             | CUSIP: BCC3DXKY1<br>LEI: 6354003NQB1EMN3EGI88 | Long             | ABS-MBS          | CORP              | IE        |    557000 | PA      | $647507.24    | 0.08%             | 2065-01-26      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP21VAB09<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -855714 | NS      | $-855714.00   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5665556<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |  -3004216 | NS      | $-3461907.92  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| Asset-backed European Securitisation Transaction        | Asset-Backed European Securitisation Transaction Twenty-Three Sarl, Series 2024-23, Class M                    | CUSIP: BCC3HDZG4<br>LEI: 213800WQKYRCMTF4FR47 | Long             | ABS-O            | CORP              | LU        |    915293 | PA      | $1080578.93   | 0.14%             | 2034-03-21      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-thru Trust                          | Upgrade Master Pass-Thru Trust, Series 2025-P1, Class CERT                                                     | CUSIP: 91533LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1393122.90   | 0.18%             | 2030-01-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Prestige Auto Receivables Trust                         | Prestige Auto Receivables Trust 2025-1, Series 2025-1A, Class E                                                | CUSIP: 74113UAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    888000 | PA      | $904161.60    | 0.12%             | 2029-05-15      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| Domivest B.v.                                           | Domi BV, Series 2024-1, Class X                                                                                | CUSIP: BCC3FWSK3<br>LEI: 724500Z3J4FCZQWYOM57 | Long             | ABS-MBS          | CORP              | NL        |    235812 | PA      | $273749.33    | 0.03%             | 2029-09-17      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7717760<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |  -1460494 | NS      | $-1683000.07  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| 20 Tsq Groundco Llc                                     | 20 Times Square Trust, Series 2018-20TS, Class E                                                               | CUSIP: 90137LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1881000.00   | 0.24%             | 2035-05-15      | Variable      | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                  | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class E                                                 | CUSIP: 39571XAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $519250.00    | 0.07%             | 2059-10-27      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                          | Carrington Mortgage Loan Trust, Series 2007-FRE1, Class M1                                                     | CUSIP: 144527AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    743883 | PA      | $599867.09    | 0.08%             | 2037-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Treasury Bill                                           | United States Treasury Bill                                                                                    | CUSIP: 912797NL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47500000 | PA      | $47372771.25  | 6.05%             | 2025-11-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Symphony Clo Ltd                                        | Symphony CLO XXXII, Ltd., Series 2025-32A, Class ER                                                            | CUSIP: 87168QAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   3429000 | PA      | $3391623.90   | 0.43%             | 2035-10-23      | Floating      | 10.07%                | Yes           |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2025-RPL1 DAC, Series 2025-RPL1X, Class D                                                              | CUSIP: BCC3L0CZ0<br>LEI: 635400SKSJELSOJMVK25 | Long             | ABS-MBS          | CORP              | IE        |   1942000 | PA      | $2217275.11   | 0.28%             | 2078-06-24      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Autonoria                                               | Autonoria Spain 2022 FT, Series 2022-SP, Class G                                                               | CUSIP: BCC37L1S8<br>LEI: 959800TU6P30TL2EN703 | Long             | ABS-O            | CORP              | ES        |   1365287 | PA      | $1666269.22   | 0.21%             | 2040-01-31      | Floating      | 13.87%                | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2021-1, Class R                                                             | CUSIP: 33843WAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2740 | PA      | $106635.35    | 0.01%             | 2028-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Vasco Finance                                           | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 3, Series 2025-3, Class X                    | CUSIP: BCC3PG6J4<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |   2000000 | PA      | $2307695.85   | 0.29%             | 2043-10-27      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2024-P4, Class R                                                        | CUSIP: 14076LAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2000 | PA      | $866939.42    | 0.11%             | 2030-06-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | PT        |   -770273 | NS      | $-887623.99   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP89NAA19<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2443296 | NS      | $-2443296.00  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust, Series 2007-21CB, Class 2A4                                                            | CUSIP: 02151FAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    917923 | PA      | $94087.15     | 0.01%             | 2037-09-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                  | Argent Securities Trust, Series 2006-W2, Class A2B                                                             | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1167019 | PA      | $640460.00    | 0.08%             | 2036-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP57JAQ58<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -637000 | NS      | $-637000.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP32GAA40<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -719943 | NS      | $-719943.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -567101 | NS      | $-567101.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2022-4, Series 2022-4A, Class E                                            | CUSIP: 30166BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4603000 | PA      | $4701043.90   | 0.60%             | 2030-03-15      | Fixed         | 8.23%                 | Yes           |                  2 | On Loan: No      |
| Tci-flatiron Clo Ltd                                    | TCI-Flatiron Clo 2018-1, Ltd., Series 2025-1A, Class ER2                                                       | CUSIP: 87232DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3519000 | PA      | $3505979.70   | 0.45%             | 2035-07-29      | Floating      | 8.99%                 | Yes           |                  2 | On Loan: No      |
| Nationstar Home Equity Loan Trust                       | Nationstar Home Equity Loan Trust, Series 2007-B, Class M2                                                     | CUSIP: 63860LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1275876 | PA      | $1308410.64   | 0.17%             | 2037-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2023-1, Class C                                                           | CUSIP: 91679AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    984068 | PA      | $999616.42    | 0.13%             | 2033-02-20      | Fixed         | 11.10%                | Yes           |                  2 | On Loan: No      |
| Tagus Stc/ulisses Finance                               | TAGUS - Sociedade de Titularizacao de Creditos SA/Ulisses Finance No. 2, Series 2021-2, Class F                | CUSIP: BCC32DHS4<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    141423 | PA      | $159937.52    | 0.02%             | 2038-09-20      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP64KUL15<br>LEI: N/A                  | Short            | RA               | CORP              | US        |     -1000 | NS      | $-1000.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Point Of Sale Holdings Grantor Trust             | Pagaya Point of Sale Holdings Grantor Trust, Series 2025-1, Class E                                            | CUSIP: 694951AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3105300.00   | 0.40%             | 2033-01-20      | Fixed         | 11.28%                | Yes           |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                         | Stream Innovations 2025-1 Issuer Trust, Series 2025-1A, Class D                                                | CUSIP: 86324XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2348382 | PA      | $2413197.55   | 0.31%             | 2045-09-15      | Fixed         | 8.40%                 | Yes           |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust VII, Series 2022-3A, Class C                                          | CUSIP: 76088TAC5<br>LEI: 25490061L75FP42VHT14 | Long             | ABS-O            | CORP              | US        |   2046336 | PA      | $2128393.66   | 0.27%             | 2030-11-25      | Fixed         | 10.04%                | Yes           |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | New York Mortgage Trust, Inc., Series E                                                                        | CUSIP: 649604873<br>LEI: 549300JFGR0M7ULHWG48 | Long             | EP               | CORP              | US        |     37020 | NS      | $931053.00    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Tagus Sociedade De Titularizacao De Creditos            | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 1, Series 2023-1, Class E                    | CUSIP: BCC3BYVN3<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    606461 | PA      | $733169.61    | 0.09%             | 2029-07-27      | Floating      | 10.36%                | No            |                  2 | On Loan: No      |
| Wells Fargo Securities, LLC                             | Markit CDX NA High Yield Index, Series 43                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $-109.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bbva Consumo Fta                                        | Bbva Consumer Auto FT, Series 2024-1, Class E                                                                  | CUSIP: BCC3FJWZ4<br>LEI: 959800UREVUB5WK1YY20 | Long             | ABS-O            | CORP              | ES        |   1322542 | PA      | $1595965.10   | 0.20%             | 2037-04-21      | Floating      | 10.21%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1815855<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -352288 | NS      | $-462853.52   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP48XAA90<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2357127 | NS      | $-2357127.00  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP19WAF68<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2633000 | NS      | $-2633000.00  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| Nyack Park Clo, Ltd.                                    | NYACK Park CLO, Ltd., Series 2025-1A, Class CR                                                                 | CUSIP: 67080PAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | NUSS              | KY        |    885000 | PA      | $887212.50    | 0.11%             | 2038-10-20      | Floating      | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Baml Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class E                                   | CUSIP: 61765TAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2660000 | PA      | $2451988.00   | 0.31%             | 2048-10-15      | Variable      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Navient Student Loan Trust                              | Navient Private Education Refi Loan Trust 2021-B, Series 2021-BA, Class R                                      | CUSIP: 63942LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1865 | PA      | $509595.41    | 0.07%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2025-P1, Class R                                                        | CUSIP: 14689MAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1400 | PA      | $781614.68    | 0.10%             | 2033-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Dominion Mortgage Trust                                 | Dominion Mortgage Trust, Series 2025-RTL1, Class A2                                                            | CUSIP: 25746DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $758775.00    | 0.10%             | 2027-09-25      | Fixed         | 8.02%                 | Yes           |                  2 | On Loan: No      |
| Sabadell Consumo Fdt                                    | SABADELL CONSUMO 2 FDT, Series 2022-2, Class E                                                                 | CUSIP: BCC33R605<br>LEI: 959800PUDN333GSZAY65 | Long             | ABS-O            | CORP              | ES        |    604812 | PA      | $726854.40    | 0.09%             | 2034-12-24      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP71XAH70<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -332248 | NS      | $-332248.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP79QAH65<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1559300 | NS      | $-1559300.00  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Rckt Trust                                              | RCKT Trust 2025-PL1, Series 2025-1A, Class R1                                                                  | CUSIP: 74939RAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    328000 | PA      | $4544603.35   | 0.58%             | 2034-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2024-3, Class D                                                                   | CUSIP: 69547XAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    508784 | PA      | $514380.28    | 0.07%             | 2026-03-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2024-N3, Class E                                                        | CUSIP: 14687WAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1248750.00   | 0.16%             | 2029-09-10      | Fixed         | 7.66%                 | Yes           |                  2 | On Loan: No      |
| Zip Master Trust                                        | Zip Master Trust, Series 2025-1, Class E                                                                       | CUSIP: BCC3MN3W6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |   1140000 | PA      | $748604.49    | 0.10%             | 2028-07-10      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust           | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2017-FL11, Class E                              | CUSIP: 46648PAN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | ABS-MBS          | CORP              | US        |    124980 | PA      | $123742.57    | 0.02%             | 2032-10-15      | Floating      | 8.21%                 | Yes           |                  2 | On Loan: No      |
| Oportun Funding Llc                                     | Oportun Issuance Trust, Series 2025-B, Class E                                                                 | CUSIP: 68378QAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2252475.00   | 0.29%             | 2033-05-09      | Fixed         | 9.40%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Asset-backed Certificates                   | CWABS Asset-Backed Certificates Trust 2006-11, Series 2006-12, Class M1                                        | CUSIP: 12667AAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    687576 | PA      | $635045.06    | 0.08%             | 2036-12-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Indymac Residential Asset Backed Trust                  | Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2006-A, Class M1                             | CUSIP: 456606KJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    785663 | PA      | $655007.45    | 0.08%             | 2036-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2020-ST5, Class CERT                                                        | CUSIP: 91680WAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $154998.60    | 0.02%             | 2026-12-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Morgan Stanley                                          | Markit CMBX BBB- Index, Series 15                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1066450.00  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Lansdowne Mortgage Securities Plc                       | Lansdowne Mortgage Securities No 1 PLC, Series 2006-1, Class M2                                                | CUSIP: BCC0PP486<br>LEI: 549300M5JCJD5NA85U45 | Long             | ABS-MBS          | CORP              | IE        |    500000 | PA      | $407528.53    | 0.05%             | 2045-06-15      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                            | Eagle RE, Ltd., Series 2023-1, Class M2                                                                        | CUSIP: 26982EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1383500 | PA      | $1462359.50   | 0.19%             | 2033-09-26      | Floating      | 9.38%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP91FAB22<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -3195450 | NS      | $-3195450.00  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| Adamas Trust Inc                                        | Adamas Trust, Inc.                                                                                             | CUSIP: 649604865<br>LEI: 549300JFGR0M7ULHWG48 | Long             | EP               | CORP              | US        |     50000 | NS      | $1111000.00   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9458723<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1484851 | NS      | $-1711067.86  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                 | United Auto Credit Securitization Trust, Series 2022-1, Class E                                                | CUSIP: 90944DAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1199768 | PA      | $1184410.63   | 0.15%             | 2028-11-10      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP90CAC01<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -565875 | NS      | $-565875.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1946724<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -381248 | NS      | $-439331.08   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Blackrock Liquidity Funds T-fund                        | BlackRock Liquidity Funds T-Fund, Class Institutional                                                          | CUSIP: 09248U718<br>LEI: 5493002L9DNZ83RX7V61 | Long             | STIV             | RF                | US        |  52677702 | NS      | $52677701.51  | 6.73%             |  |  |  | No            |                  1 | On Loan: No      |
| Home Re Ltd                                             | Home RE, Ltd., Series 2023-1, Class M1B                                                                        | CUSIP: 43731BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    546940 | PA      | $560832.76    | 0.07%             | 2033-10-25      | Floating      | 8.78%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Home Equity Loan Trust                   | Morgan Stanley Home Equity Loan Trust, Series 2006-2, Class M2                                                 | CUSIP: 61744CYR1<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-MBS          | CORP              | US        |    846256 | PA      | $820529.66    | 0.10%             | 2036-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.0822 06/20/28                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-618361.71   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Gs Mortgage-backed Securities Trust                     | GS Mortgage-Backed Securities Trust, Series 2025-NQM5, Class B1                                                | CUSIP: 36273GAE8<br>LEI: 254900MQ3DUBXKU1DC81 | Long             | ABS-MBS          | CORP              | US        |   1057000 | PA      | $1064927.50   | 0.14%             | 2065-07-25      | Variable      | 6.74%                 | Yes           |                  2 | On Loan: No      |
| Rithm Capital Corp                                      | Rithm Capital Corp.                                                                                            | CUSIP: 64828T508<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EP               | CORP              | US        |    248544 | NS      | $6086842.56   | 0.78%             |  |  |  | No            |                  1 | On Loan: No      |
| Point Securitization Trust                              | Point Securitization Trust, Series 2025-2, Class A1                                                            | CUSIP: 73071PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7410000 | PA      | $7393698.00   | 0.94%             | 2028-10-25      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2023-4, Series 2023-4A, Class C                                       | CUSIP: 76088XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    549236 | PA      | $548742.05    | 0.07%             | 2027-01-25      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-Rpl 2 DAC, Series 2024-RPL2X, Class E                                                             | CUSIP: BCC3J9VQ3<br>LEI: 635400B9FSRJAFAZIY56 | Long             | ABS-MBS          | CORP              | IE        |   1310000 | PA      | $1503389.06   | 0.19%             | 2063-01-24      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 10 Yr Note Future                                                                                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -96 | NC      | $-10816500.00 | -1.38%            |  |  |  | No            |                  1 | On Loan: No      |
| Noria                                                   | FCT Noria 2021, Series 2021-1, Class G                                                                         | CUSIP: BCC31BYV3<br>LEI: 5493003C5ECZD3NDSV63 | Long             | ABS-O            | CORP              | FR        |    292172 | PA      | $323048.83    | 0.04%             | 2049-10-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Pony                                                    | Pony SA, Series 2024-1, Class E                                                                                | CUSIP: BCC3G6M58<br>LEI: 2221001FWHVHKUW4NQ77 | Long             | ABS-O            | CORP              | LU        |    473815 | PA      | $555064.04    | 0.07%             | 2028-08-14      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -251000 | NS      | $-251000.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust            | Arivo Acceptance Auto Loan Receivables Trust 2025-1, Series 2025-1A, Class E                                   | CUSIP: 039962AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    795000 | PA      | $770116.50    | 0.10%             | 2029-07-15      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class E                                          | CUSIP: 05493LAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2508000 | PA      | $2254942.80   | 0.29%             | 2038-09-15      | Floating      | 7.90%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7177353<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |  -6215011 | NS      | $-7161867.13  | -0.92%            |  |  |  | No            |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust                      | Prosper Marketplace Issuance Trust Series 2023-1, Series 2023-1A, Class E                                      | CUSIP: 74390NAJ1<br>LEI: 549300WV6NCA12RVBP15 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1032100.00   | 0.13%             | 2029-07-16      | Fixed         | 15.49%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5561300<br>LEI: N/A                  | Short            | RA               | CORP              | IT        |   -492379 | NS      | $-567392.88   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2022-R07, Class 1B2                                                | CUSIP: 20754MAL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1982000 | PA      | $2303678.60   | 0.29%             | 2042-06-25      | Floating      | 16.18%                | Yes           |                  2 | On Loan: No      |
| Hops Hill                                               | Hops Hill No2 PLC, Series 2022-2, Class E                                                                      | CUSIP: BCC372Q04<br>LEI: 213800HS79HZG1YRY579 | Long             | ABS-MBS          | CORP              | GB        |   1072000 | PA      | $1425348.37   | 0.18%             | 2054-11-27      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                               | Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-WCW, Series 2005-WCW2, Class M5 | CUSIP: 70069FLL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    819571 | PA      | $877842.77    | 0.11%             | 2035-07-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                             | Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6X, Class E                                    | CUSIP: BCC3FHZV4<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |    833000 | PA      | $1099361.86   | 0.14%             | 2027-01-20      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Twin Bridges                                            | Twin Bridges PLC, Series 2022-1, Class X2                                                                      | CUSIP: BCC34K278<br>LEI: 213800OFO3J9U3ZZGO47 | Long             | ABS-MBS          | CORP              | GB        |     44917 | PA      | $59409.36     | 0.01%             | 2055-12-01      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| Conn Funding Ii, L.p                                    | Conn's Receivables Funding LLC, Series 2024-A, Class B                                                         | CUSIP: 20824DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    361905 | PA      | $364185.21    | 0.05%             | 2029-01-16      | Fixed         | 9.80%                 | Yes           |                  2 | On Loan: No      |
| Marble Point Clo Xxv Ltd                                | Marble Point Clo XXV, Ltd., Series 2025-2A, Class DRR                                                          | CUSIP: 565923BL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1193000 | PA      | $1185245.50   | 0.15%             | 2036-10-20      | Floating      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1453788<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -4912397 | NS      | $-6454151.90  | -0.82%            |  |  |  | No            |                  2 | On Loan: No      |
| Clavel Residential                                      | Clavel Residential 4 DAC, Series 2025-1X, Class F                                                              | CUSIP: BCC3PBDP3<br>LEI: 9845007E874EA66E5D44 | Long             | ABS-MBS          | CORP              | IE        |   5502000 | PA      | $5756927.93   | 0.74%             | 2066-10-28      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0999963<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -805028 | NS      | $-927673.91   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Rmbs Miravet                                            | FT RMBS Miravet, Series 2023-1, Class F                                                                        | CUSIP: BCC38Q5F0<br>LEI: 959800CJJTJ863UQ4H59 | Long             | ABS-MBS          | CORP              | ES        |    600000 | PA      | $681799.33    | 0.09%             | 2066-11-26      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Castell                                                 | Castell PLC, Series 2023-1, Class F                                                                            | CUSIP: BCC39KF95<br>LEI: 6354004KMSEMXJM3QR12 | Long             | ABS-MBS          | CORP              | GB        |    527000 | PA      | $726395.64    | 0.09%             | 2055-05-25      | Floating      | 11.97%                | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2024-1, Class C                                                                   | CUSIP: 69548AAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234629 | PA      | $236247.99    | 0.03%             | 2031-07-15      | Fixed         | 8.34%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                  | Structured Asset Investment Loan Trust, Series 2005-9, Class M2                                                | CUSIP: 86358EYG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1352557 | PA      | $1261935.62   | 0.16%             | 2035-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc.                     | Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs, Series 2005-R5, Class M7                  | CUSIP: 03072SE84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    533178 | PA      | $655222.92    | 0.08%             | 2035-07-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2023-N1, Class E                                                        | CUSIP: 14688FAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3645000 | PA      | $3942432.00   | 0.50%             | 2028-03-10      | Fixed         | 10.46%                | Yes           |                  2 | On Loan: No      |
| Brignole Co                                             | Brignole Co., Series 2024-2024, Class F                                                                        | CUSIP: BCC3G6JT0<br>LEI: 8156008A00DBDEE08297 | Long             | ABS-O            | CORP              | IT        |    323000 | PA      | $380620.38    | 0.05%             | 2042-02-24      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | PT        |   -430771 | NS      | $-496398.91   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP955AD13<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -665682 | NS      | $-665682.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Aurorus                                                 | Aurorus 2023 BV, Series 2023-1, Class E                                                                        | CUSIP: BCC3C9324<br>LEI: 724500Q9IUHAPFT3D811 | Long             | ABS-O            | CORP              | NL        |    533605 | PA      | $623938.64    | 0.08%             | 2026-10-12      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                 | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC6, Class M1                               | CUSIP: 86362VAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    591684 | PA      | $552159.79    | 0.07%             | 2037-01-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Comm Mortgage Trust                                     | COMM, Series 2019-521F Mortgage Trust, Class A                                                                 | CUSIP: 20048GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2150000 | PA      | $2087650.00   | 0.27%             | 2034-06-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Goodleap Home Improvement Solutions Trust               | GoodLeap Home Improvement Solutions Trust 2025-1, Series 2025-1A, Class C                                      | CUSIP: 38237EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1156973 | PA      | $1172476.16   | 0.15%             | 2049-02-20      | Fixed         | 7.83%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP955AJ74<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -3274628 | NS      | $-3274628.00  | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP58RAA41<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -690000 | NS      | $-690000.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                  | GreenSky Home Improvement Issuer Trust 2025-1, Series 2025-1A, Class E                                         | CUSIP: 39571NAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1240000 | PA      | $1287740.00   | 0.16%             | 2060-03-25      | Fixed         | 8.65%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2022-HQA1, Class B2                                                      | CUSIP: 35564KUL1<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | USGSE             | US        |   4941260 | PA      | $5531246.44   | 0.71%             | 2042-03-25      | Floating      | 15.18%                | Yes           |                  2 | On Loan: No      |
| Ares Lusitani                                           | Ares Lusitani-STC SA / Pelican Finance 2, Series 2021-2, Class E                                               | CUSIP: BCC33MBL4<br>LEI: 213800WQJJDCAN4BCO57 | Long             | ABS-O            | CORP              | PT        |     87252 | PA      | $98081.60     | 0.01%             | 2035-01-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Bbsg Mortgage Trust                                     | BBSG, Series 2016-MRP Mortgage Trust, Class A                                                                  | CUSIP: 055287AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1830600.00   | 0.23%             | 2026-06-05      | Fixed         | 3.27%                 | Yes           |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST9, Class CERT                                                        | CUSIP: 91683MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $197046.34    | 0.03%             | 2029-11-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Republic Finance Issuance Trust                         | Republic Finance Issuance Trust, Series 2024-B, Class D                                                        | CUSIP: 76042GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2084000 | PA      | $2136308.40   | 0.27%             | 2037-11-20      | Fixed         | 8.83%                 | Yes           |                  2 | On Loan: No      |
| Mortimer Btl Plc                                        | Mortimer 2024-Mix PLC, Series 2024-MIX, Class E                                                                | CUSIP: BCC3J5ZN4<br>LEI: 213800F12CZ391USLI51 | Long             | ABS-MBS          | CORP              | GB        |    815000 | PA      | $1133214.52   | 0.14%             | 2028-06-22      | Floating      | 9.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP21VAC81<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -646726 | NS      | $-646726.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2021-A, Class R1                                                       | CUSIP: 83405Y102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35142 | PA      | $270330.88    | 0.03%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Easy Street Mortgage Loan Trust                         | Easy Street Mortgage Loan Trust, Series 2025-RTL1, Class A1                                                    | CUSIP: 27786FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1546000 | PA      | $1580939.60   | 0.20%             | 2040-05-25      | Variable      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| Ace Securities Corp.                                    | ACE Securities Corp. Home Equity Loan Trust, Series 2006-OP2, Class M1                                         | CUSIP: 00441YAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    684603 | PA      | $565755.85    | 0.07%             | 2036-08-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Marble Point Clo Xxv Ltd                                | Marble Point Clo XXV, Ltd., Series 2025-2A, Class ERR                                                          | CUSIP: 565915AG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1163000 | PA      | $1155556.80   | 0.15%             | 2036-10-20      | Floating      | 10.48%                | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2025-4, Class A                                                 | CUSIP: 92262JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2638388 | PA      | $2637595.98   | 0.34%             | 2033-02-25      | Variable      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP8169068<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -525360 | NS      | $-605398.53   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6943117<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -3492835 | NS      | $-4024967.96  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities, Series 2021-R02, Class 2B2                                                      | CUSIP: 20754KAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2926000 | PA      | $3069666.60   | 0.39%             | 2041-11-25      | Floating      | 10.38%                | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust, Series 2023-N4, Class E                                                        | CUSIP: 14688LAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2107000 | PA      | $2239951.70   | 0.29%             | 2030-10-10      | Fixed         | 9.56%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP11BAD64<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1197000 | NS      | $-1197000.00  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2024-2, Class M4                                                | CUSIP: 92259PAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    512639 | PA      | $526172.56    | 0.07%             | 2054-04-25      | Variable      | 10.74%                | Yes           |                  2 | On Loan: No      |
| Mmp Capital                                             | MMP Capital LLC, Series 2025-A, Class C                                                                        | CUSIP: 55317QAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $770625.00    | 0.10%             | 2031-12-15      | Fixed         | 8.41%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -157000 | NS      | $-157000.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Avant Loans Funding Trust                               | Avant Loans Funding Trust, Series 2025-REV1, Class D                                                           | CUSIP: 05352BAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1531650.00   | 0.20%             | 2034-05-15      | Fixed         | 8.39%                 | Yes           |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst        | Asset Backed Securities Corp. Home Equity Loan Trust Series OOMC, Series 2006-HE3, Class M1                    | CUSIP: 04541GXD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635187 | PA      | $579036.86    | 0.07%             | 2036-03-25      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| Symphony Clo Ltd                                        | Symphony CLO XXIX, Ltd., Series 2025-29A, Class ER                                                             | CUSIP: 87168LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1077000 | PA      | $1071184.20   | 0.14%             | 2035-10-15      | Floating      | 10.08%                | Yes           |                  2 | On Loan: No      |
| Braccan Mortgage Funding                                | Braccan Mortgage Funding 2025-1 PLC, Series 2025-1A, Class X                                                   | CUSIP: BCC3M25N0<br>LEI: 6354003DBF3NI8QJRR63 | Long             | ABS-MBS          | CORP              | GB        |    778000 | PA      | $1030659.21   | 0.13%             | 2029-02-17      | Floating      | 7.91%                 | Yes           |                  2 | On Loan: No      |
| Fta Santander Consumer Spain                            | FTA Santander Consumer Spain Auto, Series 2023-1, Class E                                                      | CUSIP: BCC3C5XD5<br>LEI: 984500C579T4DF83FR05 | Long             | ABS-O            | CORP              | ES        |   1339761 | PA      | $1648239.04   | 0.21%             | 2039-09-22      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class A                                | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    579351 | PA      | $568342.93    | 0.07%             | 2029-09-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                            | Veros Auto Receivables Trust, Series 2025-1, Class D                                                           | CUSIP: 92511BAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1583000 | PA      | $1629065.30   | 0.21%             | 2032-05-17      | Fixed         | 8.79%                 | Yes           |                  2 | On Loan: No      |
| E-carat                                                 | ECARAT DE, Series 2024-1, Class F                                                                              | CUSIP: BCC3G72M1<br>LEI: 213800XVRRHAZW7DS467 | Long             | ABS-O            | CORP              | LU        |    355013 | PA      | $413477.03    | 0.05%             | 2035-11-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5381046<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1458433 | NS      | $-1916161.93  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP2629881<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -1761697 | NS      | $-2030091.31  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| Research-driven Pagaya Motor Asset Trust I              | Research-Driven Pagaya Motor Asset Trust 2025-1, Series 2025-1A, Class D                                       | CUSIP: 76100AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1357000 | PA      | $1368805.90   | 0.17%             | 2027-02-25      | Fixed         | 10.18%                | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2024-2, Class D                                                                   | CUSIP: 694961AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    316136 | PA      | $318412.02    | 0.04%             | 2031-08-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -566000 | NS      | $-566000.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Latitude Australia Credit Card Loan Note Trust          | Latitude Australia Credit Card Master Trust, Series 2024-2, Class E                                            | CUSIP: BCC3HDXR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |    879000 | PA      | $578076.09    | 0.07%             | 2029-03-22      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP683VAC8<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -356000 | NS      | $-356000.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class E                                                 | CUSIP: 17322YAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    564000 | PA      | $102760.80    | 0.01%             | 2047-10-10      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7788382<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -417739 | NS      | $-548846.31   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP90GAB14<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1901254 | NS      | $-1901254.00  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP79EAE86<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1861245 | NS      | $-1861245.00  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Tvc Mortgage Trust                                      | TVC Mortgage Trust, Series 2025-RRTL1, Class A2                                                                | CUSIP: 900927AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005000 | PA      | $1016557.50   | 0.13%             | 2040-04-25      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP25SAG12<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -772000 | NS      | $-772000.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2024-5, Class D                                                           | CUSIP: 69546WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    593340 | PA      | $618438.68    | 0.08%             | 2026-05-15      | Fixed         | 12.97%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5459265<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |    -88021 | NS      | $-101430.99   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Alba Plc                                                | Alba PLC, Series 2007-1, Class C                                                                               | CUSIP: BCC0XU0K3<br>LEI: 2138008XOOHJFP498784 | Long             | ABS-MBS          | CORP              | GB        |   1562864 | PA      | $1941049.32   | 0.25%             | 2039-03-17      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fieldstone Mortgage Investment Corp.                    | Fieldstone Mortgage Investment Trust, Series 2005-3, Class M2                                                  | CUSIP: 31659TEK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1626000 | PA      | $547962.00    | 0.07%             | 2036-02-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP62RAA86<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -2341000 | NS      | $-2341000.00  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP41YAF97<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -373000 | NS      | $-373000.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2024-1, Class E                                                                   | CUSIP: 69548AAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2499375 | PA      | $2540614.74   | 0.32%             | 2031-07-15      | Fixed         | 11.50%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP168AAG7<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -448000 | NS      | $-448000.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust, Series 2025-HB1, Class M1                                                            | CUSIP: 034936AB0<br>LEI: 254900ZFKOWCY24MSQ94 | Long             | ABS-MBS          | CORP              | US        |    905000 | PA      | $939028.00    | 0.12%             | 2055-02-25      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Bl Consumer Issuance Platform Ii                        | Compartment BL Consumer Credit 2024, Series 2024-1, Class E                                                    | CUSIP: BCC3DNFR4<br>LEI: 549300BCEKCIKD7MN312 | Long             | ABS-O            | CORP              | LU        |    438000 | PA      | $514218.15    | 0.07%             | 2027-03-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                        | Carlyle Global Market Strategies CLO 2015-4, Ltd., Series 2019-4A, Class DR                                    | CUSIP: 14311PAS8<br>LEI: 549300Q4PPEXLDSOKL32 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $745425.00    | 0.10%             | 2032-07-20      | Floating      | 10.85%                | Yes           |                  2 | On Loan: No      |
| London Bridge Mortgages                                 | London Bridge Mortgages PLC, Series 2025-1, Class F                                                            | CUSIP: BCC3M9ZT9<br>LEI: 63540064LX89RJMR9I46 | Long             | ABS-MBS          | CORP              | GB        |   1231000 | PA      | $1625435.87   | 0.21%             | 2030-04-20      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | NYMT Loan Trust, Series 2024-BPL3, Class M1                                                                    | CUSIP: 67119RAC1<br>LEI: 254900Q6RDCV3HGA6340 | Long             | ABS-MBS          | CORP              | US        |   1644000 | PA      | $1645315.20   | 0.21%             | 2039-09-25      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | PT        |  -2590000 | NS      | $-2984586.17  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust, Series 2025-HB1, Class M3                                                            | CUSIP: 034936AD6<br>LEI: 254900ZFKOWCY24MSQ94 | Long             | ABS-MBS          | CORP              | US        |   1077000 | PA      | $1118895.30   | 0.14%             | 2055-02-25      | Floating      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| Autonoria                                               | FCT Autonoria DE 2023, Series 2023-DE, Class F                                                                 | CUSIP: BCC38ZTR8<br>LEI: 549300XVWRQGZCNHXF23 | Long             | ABS-O            | CORP              | FR        |    192411 | PA      | $233853.08    | 0.03%             | 2043-01-26      | Floating      | 9.37%                 | No            |                  2 | On Loan: No      |
| Brignole Co                                             | Brignole Co., Series 2024-2024, Class D                                                                        | CUSIP: BCC3G6JR4<br>LEI: 8156008A00DBDEE08297 | Long             | ABS-O            | CORP              | IT        |    339271 | PA      | $392093.15    | 0.05%             | 2042-02-24      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| VONTIVE MORTGAGE TRUST                                  | VNTV 2025-RTL1 A2                                                                                              | CUSIP: 928884AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $758700.00    | 0.10%             | 2030-03-25      | Variable      | 8.01%                 | Yes           |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                        | Soundview Home Loan Trust, Series 2007-OPT1, Class 2A3                                                         | CUSIP: 83612TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1712017 | PA      | $1236247.28   | 0.16%             | 2037-06-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Auto Abs                                                | Auto ABS Spanish Loans FT, Series 2024-1, Class D                                                              | CUSIP: BCC3HCN79<br>LEI: 9598007LTXPL84RD7W58 | Long             | ABS-O            | CORP              | ES        |   1311020 | PA      | $1517400.75   | 0.19%             | 2038-09-28      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5694046<br>LEI: N/A                  | Short            | RA               | CORP              | ES        |   -408169 | NS      | $-470353.49   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP38PAA12<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -636000 | NS      | $-636000.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Rochester Financing                                     | Rochester Financing No 3 PLC, Series 2021-3, Class E                                                           | CUSIP: BCC30T1X7<br>LEI: 213800SDJSX34JWBW675 | Long             | ABS-MBS          | CORP              | GB        |    404000 | PA      | $529574.50    | 0.07%             | 2044-12-18      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Icap 2025-rtl1 Trust                                    | ICAP , Series 2025-RTL1, Class A1                                                                              | CUSIP: 45115QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2783000 | PA      | $2830589.30   | 0.36%             | 2028-01-25      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Kennedy Lewis Clo Ltd                                   | Kennedy Lewis CLO 23, Ltd., Series 2025-23A, Class A                                                           | CUSIP: 48936AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8435000 | PA      | $8435000.00   | 1.08%             | 2038-10-20      | Floating      | 1.24%                 | Yes           |                  2 | On Loan: No      |
| Nyack Park Clo, Ltd.                                    | NYACK Park CLO, Ltd., Series 2025-1A, Class BR                                                                 | CUSIP: 67080PAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | NUSS              | KY        |    836000 | PA      | $837755.60    | 0.11%             | 2038-10-20      | Floating      | 1.60%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0778838<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -267131 | NS      | $-350970.02   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Indymac Residential Asset Backed Trust                  | Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2006-C, Class M1                             | CUSIP: 43709BAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    549668 | PA      | $645695.31    | 0.08%             | 2036-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Tvc Mortgage Trust                                      | TVC Mortgage Trust, Series 2025-RRTL1, Class M1                                                                | CUSIP: 900927AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $758325.00    | 0.10%             | 2040-04-25      | Variable      | 7.65%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP19RAC16<br>LEI: N/A                  | Short            | RA               | CORP              | US        |     -1000 | NS      | $-1000.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                    | LHOME Mortgage Trust, Series 2025-RTL3, Class M1                                                               | CUSIP: 50205YAC7<br>LEI: 529900XB146PHFHY2T23 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $756300.00    | 0.10%             | 2040-08-25      | Variable      | 6.89%                 | Yes           |                  2 | On Loan: No      |
| Citibank                                                | Receive SOFRRATE / Pay 3.57686% IRS 06/20/2030                                                                 | CUSIP: SWP357686<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-368134.82   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Cps Auto Trust                                          | Consumer Portfolio Services Auto Trust, Series 2025-A, Class E                                                 | CUSIP: 12633SAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1022600.00   | 0.13%             | 2029-03-15      | Fixed         | 7.65%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2021-DNA1, Class B2                                                      | CUSIP: 35564KBE8<br>LEI: 5493000IT1PBTE7DAT80 | Long             | ABS-MBS          | USGSE             | US        |   1583000 | PA      | $1763620.30   | 0.23%             | 2051-01-25      | Floating      | 8.93%                 | Yes           |                  2 | On Loan: No      |
| Blackrock Liquidity Funds Treasury Trust Fund Portfolio | BlackRock Liquidity Funds Treasury Trust Fund Portfolio                                                        | CUSIP: 09248U551<br>LEI: 549300U5PI8CHFJM7202 | Long             | STIV             | RF                | US        |   2621645 | NS      | $2621645.00   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP54MAL19<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1597452 | NS      | $-1597452.00  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Zip Master Trust                                        | Zip Master Trust, Series 2024-2, Class E                                                                       | CUSIP: BCC3H2Y53<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |    740000 | PA      | $496829.51    | 0.06%             | 2027-09-10      | Floating      | 9.52%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | MEXICAN PESO FUT  Dec25                                                                                        | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |      -108 | NC      | $-2896560.00  | -0.37%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.2131 06/20/27                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-3576.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | RSD Funding 2025, LLC, Participation Interest                                                                  | CUSIP: RSD000003<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3019286 | PA      | $3019285.67   | 0.39%             | 2027-09-13      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Selection Trust, Series 2021-1, Class C                                                         | CUSIP: 69547JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55145 | PA      | $54378.10     | 0.01%             | 2027-11-15      | Fixed         | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Bank Na                                        | Flagstar Bank NA                                                                                               | CUSIP: 649445AC7<br>LEI: SS1TRMSN6BRNMOREEV51 | Long             | ABS-O            | CORP              | US        |   8566000 | PA      | $8228451.63   | 1.05%             | 2028-11-06      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| Newgate Funding Plc                                     | Newgate Funding PLC, Series 2006-3X, Class CB                                                                  | CUSIP: BCC0TTLX0<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |   2237012 | PA      | $2384225.70   | 0.30%             | 2050-12-01      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2023-3, Class E                                                             | CUSIP: 33846BAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $910700.00    | 0.12%             | 2030-06-17      | Fixed         | 9.74%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP4350391<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -877435 | NS      | $-1152817.81  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Jeronimo Funding                                        | Jeronimo Funding DAC, Series 2025-1, Class D                                                                   | CUSIP: BCC3K2RK4<br>LEI: 635400IPDM5WJSCHSY93 | Long             | ABS-MBS          | CORP              | IE        |    757000 | PA      | $864216.19    | 0.11%             | 2064-10-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust, Series 2018-H3, Class D                                                        | CUSIP: 61767YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $872100.00    | 0.11%             | 2051-07-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates       | First Franklin Mortgage Loan Trust, Series 2005-FF12, Class M3                                                 | CUSIP: 32027NXY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1966644 | PA      | $1460429.63   | 0.19%             | 2036-11-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -448000 | NS      | $-448000.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                        | Soundview Home Loan Trust, Series 2006-OPT2, Class M1                                                          | CUSIP: 83611MMM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629818 | PA      | $546177.78    | 0.07%             | 2036-05-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Rad Clo 12 Ltd                                          | Rad CLO 12, Ltd., Series 2025-12A, Class DR                                                                    | CUSIP: 75009QAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3179000 | PA      | $3169145.10   | 0.40%             | 2040-07-30      | Floating      | 10.49%                | Yes           |                  2 | On Loan: No      |
| Gamma Sociedade De Titularizacao De Creditos            | GAMMA Sociedade de Titularizacao de Creditos SA Consumer Totta 1, Series 2022-1, Class D                       | CUSIP: BCC37NBG9<br>LEI: 549300Y8LUK3U2T7BG03 | Long             | ABS-O            | CORP              | PT        |    178740 | PA      | $227330.72    | 0.03%             | 2033-06-28      | Floating      | 9.98%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                             | Island Finance Trust 2025-1, Series 2025-1A, Class B                                                           | CUSIP: 463920AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $768450.00    | 0.10%             | 2035-03-19      | Fixed         | 7.95%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                     | Homeward Opportunities Fund Trust, Series 2025-RRTL1, Class M1                                                 | CUSIP: 437919AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1393000 | PA      | $1409576.70   | 0.18%             | 2027-02-25      | Variable      | 6.83%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit Clo, Limited                        | Bain Capital Credit CLO 2018-2, Series 2018-2X, Class F                                                        | CUSIP: BCC2GXZ65<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    192000 | PA      | $170112.00    | 0.02%             | 2031-07-19      | Floating      | 11.75%                | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                    | LHOME Mortgage Trust, Series 2024-RTL4, Class M1                                                               | CUSIP: 50205PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $506500.00    | 0.06%             | 2027-01-25      | Variable      | 7.79%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REPO                                                                                                           | CUSIP: RP753ACF9<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -526000 | NS      | $-526000.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9504038<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -802965 | NS      | $-925296.61   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5694053<br>LEI: N/A                  | Short            | RA               | CORP              | ES        |   -375373 | NS      | $-432561.03   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2022-2, Class E                                                             | CUSIP: 33844XAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    926000 | PA      | $190478.20    | 0.02%             | 2029-06-15      | Fixed         | 8.20%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP920AE33<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -576000 | NS      | $-576000.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                          | Mariner Finance Issuance Trust 2025-A, Series 2025-AA, Class E                                                 | CUSIP: 567920AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $772050.00    | 0.10%             | 2030-07-20      | Fixed         | 8.64%                 | Yes           |                  2 | On Loan: No      |
| Vasco Finance                                           | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 3, Series 2025-3, Class E                    | CUSIP: BCC3PG6F2<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |   1100000 | PA      | $1269232.72   | 0.16%             | 2043-10-27      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corporation                    | Triangle Re, Ltd., Series 2021-2, Class B1                                                                     | CUSIP: 89600GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    469000 | PA      | $489495.30    | 0.06%             | 2033-10-25      | Floating      | 11.61%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP95KAG67<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -476498 | NS      | $-476498.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2023-2, Class C                                                           | CUSIP: 91683VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1119000 | PA      | $1196546.70   | 0.15%             | 2033-06-20      | Fixed         | 11.87%                | Yes           |                  2 | On Loan: No      |
| Hyt Commercial Mortgage Trust 2024-rgcy                 | HYT Commercial Mortgage Trust, Series 2024-RGCY, Class F                                                       | CUSIP: 449173AL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2303000 | PA      | $2311521.10   | 0.30%             | 2026-09-15      | Floating      | 9.12%                 | Yes           |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST4, Class CERT                                                        | CUSIP: 91534HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8621000 | PA      | $844392.03    | 0.11%             | 2027-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -224000 | NS      | $-224000.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                    | LHOME Mortgage Trust, Series 2025-RTL1, Class M1                                                               | CUSIP: 50205UAC5<br>LEI: 5299002NGIWITLMXOH85 | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $769120.00    | 0.10%             | 2040-01-25      | Variable      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9830915<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -297450 | NS      | $-390804.63   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust                     | Brean Asset Backed Securities Trust, Series 2025-RM13, Class A1                                                | CUSIP: 10638PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775000 | PA      | $749115.00    | 0.10%             | 2030-01-25      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Uropa Securities Plc                                    | Uropa Securities PLC, Series 2007-1, Class B2A                                                                 | CUSIP: BCC0Z8XL2<br>LEI: 213800IVU1GPPZBQ4446 | Long             | ABS-MBS          | CORP              | GB        |    433748 | PA      | $537168.98    | 0.07%             | 2040-10-10      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2022-ST2, Class CERT                                                        | CUSIP: 91680UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $411269.25    | 0.05%             | 2030-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class C                                          | CUSIP: 05493LAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2461000 | PA      | $2334504.60   | 0.30%             | 2038-09-15      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP91FAA49<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -3899000 | NS      | $-3899000.00  | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| Chimera Investment Corp                                 | Chimera Investment Corp.                                                                                       | CUSIP: 16934Q604<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               | CORP              | US        |     16000 | NS      | $385440.00    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-Rpl 2 DAC, Series 2024-RPL2X, Class D                                                             | CUSIP: BCC3J9VP5<br>LEI: 635400B9FSRJAFAZIY56 | Long             | ABS-MBS          | CORP              | IE        |    936000 | PA      | $1072020.02   | 0.14%             | 2063-01-24      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Kkr Real Estate Fin                                     | KKR Real Estate Finance Trust, Inc., Series Series A                                                           | CUSIP: 48251K209<br>LEI: 549300K23AYZDZ2REL62 | Long             | EP               | CORP              | US        |    118392 | NS      | $2316931.44   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP966AB23<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1184000 | NS      | $-1184000.00  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Castell                                                 | Castell PLC, Series 2025-1, Class X1                                                                           | CUSIP: BCC3LZFL1<br>LEI: 2138002O8DSFIQGKRU14 | Long             | ABS-MBS          | CORP              | GB        |    523439 | PA      | $693910.36    | 0.09%             | 2029-01-27      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Markit CMBX BB Index, Series 14                                                                                | CUSIP: CXNP9U6H0<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $-676666.67   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Chimera Investment Corp                                 | Chimera Investment Corp.                                                                                       | CUSIP: 16934Q869<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               | CORP              | US        |     96678 | NS      | $2408248.98   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| United Auto Credit Securitization Trust                 | United Auto Credit Securitization Trust, Series 2023-1, Class E                                                | CUSIP: 90945CAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    529000 | PA      | $562327.00    | 0.07%             | 2029-09-10      | Fixed         | 10.98%                | Yes           |                  2 | On Loan: No      |
| East One                                                | East One PLC, Series 2024-1, Class E                                                                           | CUSIP: BCC3F2F80<br>LEI: 213800PCKNACOVV1MZ66 | Long             | ABS-MBS          | CORP              | GB        |    783000 | PA      | $1052817.03   | 0.13%             | 2027-06-27      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Baml Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class G                                   | CUSIP: 61765TAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1449060 | PA      | $1117514.79   | 0.14%             | 2048-10-15      | Variable      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                   | Anchor Mortgage Trust, Series 2025-RTL1, Class M1                                                              | CUSIP: 03290CAC0<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $764325.00    | 0.10%             | 2040-05-25      | Variable      | 7.96%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | SWF Funding LLC, Loan Facility                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   2831122 | PA      | $2831121.53   | 0.36%             | 2027-09-23      | Variable      | 12.16%                | No            |                  3 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2024-9, Class F                                                           | CUSIP: 69548QAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1233742 | PA      | $1211904.95   | 0.15%             | 2027-09-15      | Fixed         | 12.00%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | Bullock Legal Group, Loan Facility                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   1888743 | PA      | $1888743.36   | 0.24%             | 2028-03-28      | Fixed         | 13.00%                | No            |                  3 | On Loan: No      |
| Dilosk Rmbs                                             | Dilosk Rmbs NO 9 Dac, Series 2024-9, Class X2                                                                  | CUSIP: BCC3FNW93<br>LEI: 635400EER3OFDNYI7P30 | Long             | ABS-MBS          | CORP              | IE        |    496833 | PA      | $572468.18    | 0.07%             | 2028-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                     | Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 2A2A                                               | CUSIP: 07401YAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    799259 | PA      | $738355.04    | 0.09%             | 2037-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP91LAA70<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1655000 | NS      | $-1655000.00  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                  | Natixis Commercial Mortgage Securities Trust, Series 2019-FAME, Class C                                        | CUSIP: 63873VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    946000 | PA      | $826898.60    | 0.11%             | 2036-08-15      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Bbva Consumo Fta                                        | Bbva Consumer Auto FT, Series 2024-1, Class D                                                                  | CUSIP: BCC3FJWY7<br>LEI: 959800UREVUB5WK1YY20 | Long             | ABS-O            | CORP              | ES        |    314891 | PA      | $376544.48    | 0.05%             | 2037-04-21      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0999617<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1712393 | NS      | $-1973275.85  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2022-6, Series 2022-6A, Class E                                            | CUSIP: 30168AAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2611000 | PA      | $2848339.90   | 0.36%             | 2030-06-17      | Fixed         | 11.61%                | Yes           |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST1, Class CERT                                                        | CUSIP: 91681MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8571429 | PA      | $296598.10    | 0.04%             | 2027-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Zip Master Trust                                        | Zip Master Trust, Series 2023-2, Class E                                                                       | CUSIP: BCC3CM7Z8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |    780000 | PA      | $512101.01    | 0.07%             | 2026-10-10      | Floating      | 15.52%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP42NAE58<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1010000 | NS      | $-1010000.00  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7788200<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -394801 | NS      | $-518709.22   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Aims Home Loans                                         | AIMS , Series 2007-1, Class B                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | AU        |    655186 | PA      | $353554.74    | 0.05%             | 2038-07-10      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP548QAB2<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -777000 | NS      | $-777000.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1816150<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -364564 | NS      | $-420105.28   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1B2                                                | CUSIP: 20754EAJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    687000 | PA      | $752883.30    | 0.10%             | 2043-07-25      | Floating      | 10.08%                | Yes           |                  2 | On Loan: No      |
| Smr 2022-ind Mortgage Trust                             | SMR, Series 2022-IND Mortgage Trust, Class E                                                                   | CUSIP: 78458MAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10530287 | PA      | $10562931.01  | 1.35%             | 2039-02-15      | Floating      | 9.03%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP05YAC75<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -531000 | NS      | $-531000.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail Plc                                            | Eurosail 2006-3nc PLC, Series 2006-3X, Class D1A                                                               | CUSIP: BCC0U2044<br>LEI: 21380051KSXNQVZ6KG27 | Long             | ABS-MBS          | CORP              | GB        |   1414000 | PA      | $1503794.23   | 0.19%             | 2044-09-10      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| Red & Black Auto Germany Ug                             | Red & Black Auto Germany 9 UG, Series 2022-9, Class D                                                          | CUSIP: BCC37MGR2<br>LEI: 39120094MD75F1PA4Q70 | Long             | ABS-O            | CORP              | DE        |    215879 | PA      | $254663.59    | 0.03%             | 2031-09-15      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-backed Ctfs                     | Washington Mutual Asset-Backed Certificates WMABS, Series 2006-HE2, Class A3                                   | CUSIP: 93934JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    932288 | PA      | $741355.23    | 0.09%             | 2036-05-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Dilosk Rmbs                                             | Dilosk RMBS No 7 DAC, Series 2023-7, Class F                                                                   | CUSIP: BCC3B9MB4<br>LEI: 635400O5XYJ4YADRKQ80 | Long             | ABS-MBS          | CORP              | IE        |    624000 | PA      | $735461.03    | 0.09%             | 2027-02-26      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Consumo Santander                                       | Fondo de Titulizacion Santander Consumo 9, Series 2025-9, Class E                                              | CUSIP: BCC3P9TY2<br>LEI: 959800RE2YA509E01X80 | Long             | ABS-O            | CORP              | ES        |   3200000 | PA      | $3709644.71   | 0.47%             | 2040-10-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP31BAB71<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -436000 | NS      | $-436000.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Whitebox Clo Ltd                                        | Whitebox CLO IV, Ltd., Series 2025-4A, Class D2R                                                               | CUSIP: 96467KAW9<br>LEI: 549300SN372GTCE2YI66 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $748050.00    | 0.10%             | 2036-04-20      | Floating      | 9.88%                 | Yes           |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2020-B, Class R1                                                       | CUSIP: 83405F103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5664 | PA      | $116919.63    | 0.01%             | 2046-05-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Silk Finance                                            | TAGUS - Sociedade de Titularizacao de Creditos SA/Silk Finance No 5, Series 2020-5, Class D                    | CUSIP: BCC2P1JC0<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    135182 | PA      | $153704.75    | 0.02%             | 2035-02-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2023-DNA2, Class B1                                                      | CUSIP: 35564KW70<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-MBS          | USGSE             | US        |   1021000 | PA      | $1156180.40   | 0.15%             | 2043-04-25      | Floating      | 11.79%                | Yes           |                  2 | On Loan: No      |
| Uropa Securities Plc                                    | Uropa Securities PLC, Series 2007-1, Class B1A                                                                 | CUSIP: BCC0Z8XJ7<br>LEI: 213800IVU1GPPZBQ4446 | Long             | ABS-MBS          | CORP              | GB        |    531032 | PA      | $644043.24    | 0.08%             | 2040-10-10      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Exmoor Funding Plc                                      | Exmoor Funding PLC, Series 2024-1, Class X                                                                     | CUSIP: BCC3FWSV9<br>LEI: 635400TJWGCUUIZAGH30 | Long             | ABS-MBS          | CORP              | GB        |    178659 | PA      | $236537.90    | 0.03%             | 2028-06-25      | Floating      | 11.98%                | No            |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust                            | GS Mortgage Securities Corp. Trust, Series 2021-ROSS, Class A                                                  | CUSIP: 36264YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    538000 | PA      | $510293.00    | 0.07%             | 2026-05-15      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP66XAG97<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1657000 | NS      | $-1657000.00  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Aurorus                                                 | Aurorus 2023 BV, Series 2023-1, Class G                                                                        | CUSIP: BCC3C9340<br>LEI: 724500Q9IUHAPFT3D811 | Long             | ABS-O            | CORP              | NL        |    341799 | PA      | $404664.40    | 0.05%             | 2026-10-12      | Floating      | 11.01%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP25QAD25<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -762000 | NS      | $-762000.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Clavel Residential                                      | Clavel Residential 4 DAC, Series 2025-1X, Class E                                                              | CUSIP: BCC3PBDN8<br>LEI: 9845007E874EA66E5D44 | Long             | ABS-MBS          | CORP              | IE        |   3299000 | PA      | $3513060.62   | 0.45%             | 2066-10-28      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2020-ST4, Class CERT                                                        | CUSIP: 91679VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150718 | PA      | $838.81       | 0.00%             | 2026-11-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2023-1, Class F                                                                            | CUSIP: BCC39YWY1<br>LEI: 635400VADRWDQSM8BE46 | Long             | ABS-MBS          | CORP              | GB        |   1499000 | PA      | $2037801.17   | 0.26%             | 2061-02-23      | Floating      | 12.22%                | No            |                  2 | On Loan: No      |
| Aurorus                                                 | Aurorus 2023 BV, Series 2023-1, Class F                                                                        | CUSIP: BCC3C9332<br>LEI: 724500Q9IUHAPFT3D811 | Long             | ABS-O            | CORP              | NL        |    331844 | PA      | $389818.85    | 0.05%             | 2026-10-12      | Floating      | 9.26%                 | No            |                  2 | On Loan: No      |
| Rckt Trust                                              | RCKTL 2025-2, Series 2025-2A, Class R1                                                                         | CUSIP: 74939HAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164000 | PA      | $1343635.60   | 0.17%             | 2034-11-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class B                                          | CUSIP: 05493LAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3207000 | PA      | $3083851.20   | 0.39%             | 2038-09-15      | Floating      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2025-2, Class D                                                           | CUSIP: 91679EAE8<br>LEI: 549300MM4LHW6AKJUZ51 | Long             | ABS-O            | CORP              | US        |   2433000 | PA      | $2488959.00   | 0.32%             | 2035-06-20      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Conn Funding Ii, L.p                                    | Conn's Receivables Funding LLC, Series 2024-A, Class C                                                         | CUSIP: 20824DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1080000 | PA      | $557388.00    | 0.07%             | 2029-01-16      | Fixed         | 10.34%                | Yes           |                  2 | On Loan: No      |
| Sunrise Srl                                             | Sunrise Spv 97 Srl, Series 2025-2, Class E                                                                     | CUSIP: BCC3N2DF7<br>LEI: 815600D891F71DDF9E74 | Long             | ABS-O            | CORP              | IT        |   3860000 | PA      | $4466307.59   | 0.57%             | 2050-10-27      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Goldentree Loan Management Us Clo, Ltd                  | Goldentree Loan Management US CLO 1, Ltd., Series 2025-1A, Class DR3                                           | CUSIP: 38136FCA9<br>LEI: 549300BE2068MP2P8N06 | Long             | ABS-CBDO         | CORP              | KY        |   1215000 | PA      | $1206130.50   | 0.15%             | 2034-04-20      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Asset Based Lending Llc                                 | ABL, Series 2025-RTL1, Class A2                                                                                | CUSIP: 00092RAB5<br>LEI: 254900C9FQN3N2YOSF41 | Long             | ABS-MBS          | CORP              | US        |   1574000 | PA      | $1595878.60   | 0.20%             | 2030-06-25      | Variable      | 8.02%                 | Yes           |                  2 | On Loan: No      |
| Ilpt Commercial Mortgage Trust                          | ILPT Commercial Mortgage Trust, Series 2025-LPF2, Class E                                                      | CUSIP: 451955AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4239000 | PA      | $4386517.20   | 0.56%             | 2030-07-13      | Variable      | 8.20%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2020-DNA1, Class B2                                                      | CUSIP: 35565HBE4<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | USGSE             | US        |    838000 | PA      | $934453.80    | 0.12%             | 2050-01-25      | Floating      | 9.55%                 | Yes           |                  2 | On Loan: No      |
| Hayfin Us Xiv Ltd                                       | Hayfin US XIV, Ltd., Series 2025-14A, Class CR                                                                 | CUSIP: 42088AAS3<br>LEI: 5493000YWK38UXBNS724 | Long             | ABS-CBDO         | CORP              | KY        |   3670000 | PA      | $3671101.00   | 0.47%             | 2038-03-20      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Scf Rahoituspalvelut Dac                                | SCF Rahoituspalvelut X DAC, Series 2021-10, Class D                                                            | CUSIP: BCC32NQ29<br>LEI: 875500WTQ56BZWOYTK26 | Long             | ABS-O            | CORP              | IE        |     92956 | PA      | $104246.54    | 0.01%             | 2031-10-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A16                                                  | CUSIP: 75115CAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    329455 | PA      | $234868.48    | 0.03%             | 2036-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Trust, Series 2017-PFHP, Class D                                                                          | CUSIP: 12595KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    734000 | PA      | $690253.60    | 0.09%             | 2030-12-15      | Floating      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust                            | GS Mortgage Securities Corp. Trust, Series 2021-ROSS, Class B                                                  | CUSIP: 36264YAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $908200.00    | 0.12%             | 2026-05-15      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust, Series 2023-2, Class C                                                           | CUSIP: 91683VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    448000 | PA      | $479046.40    | 0.06%             | 2028-04-20      | Fixed         | 11.87%                | Yes           |                  2 | On Loan: No      |
| Stratton Mortgage Funding Plc                           | Stratton Mortgage Funding PLC, Series 2024-3, Class E                                                          | CUSIP: BCC3FZ9Y7<br>LEI: 635400HN3D5CAXKQB937 | Long             | ABS-MBS          | CORP              | GB        |    395000 | PA      | $519437.75    | 0.07%             | 2049-06-25      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| Fylde Funding Plc                                       | Fylde Funding PLC, Series 2024-1, Class E                                                                      | CUSIP: BCC3H9HR9<br>LEI: 635400MPOQMXSXWK5E32 | Long             | ABS-MBS          | CORP              | GB        |    741000 | PA      | $978625.24    | 0.13%             | 2052-07-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP47UAD00<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1934000 | NS      | $-1934000.00  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Reach Financial Llc                                     | Reach ABS Trust 2024-1, Series 2024-1A, Class D                                                                | CUSIP: 75526PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $215120.00    | 0.03%             | 2027-09-15      | Fixed         | 10.64%                | Yes           |                  2 | On Loan: No      |
| Plenti Pl-green Abs Trust                               | Plenti PL-Green ABS Trust, Series 2024-1, Class F                                                              | CUSIP: BCC3D9KP3<br>LEI: 9845000D4O8B5S3BD736 | Long             | ABS-O            | CORP              | AU        |    452435 | PA      | $297751.69    | 0.04%             | 2035-06-11      | Floating      | 11.31%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0999708<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1168810 | NS      | $-1346878.05  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP173AJ25<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -4061000 | NS      | $-4061000.00  | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP71NAH98<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -565706 | NS      | $-565706.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Prm7 Trust                                              | PRM7 Trust, Series 2025-PRM7, Class F                                                                          | CUSIP: 74290HAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7330000 | PA      | $7207589.00   | 0.92%             | 2042-11-10      | Variable      | 8.12%                 | Yes           |                  2 | On Loan: No      |
| Autonoria                                               | Autonoria Spain 2025 FT, Series 2025-SP, Class F                                                               | CUSIP: BCC3MHXS5<br>LEI: 9598003381JB7Z32LH47 | Long             | ABS-O            | CORP              | ES        |   3400000 | PA      | $3953643.27   | 0.51%             | 2043-04-30      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Rochester Financing                                     | Rochester Financing No 3 PLC, Series 2021-3, Class F                                                           | CUSIP: BCC30T1Y5<br>LEI: 213800SDJSX34JWBW675 | Long             | ABS-MBS          | CORP              | GB        |    412000 | PA      | $539140.90    | 0.07%             | 2044-12-18      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                              | Upstart Pass-Through Trust, Series 2021-ST7, Class CERT                                                        | CUSIP: 91683KAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $753398.38    | 0.10%             | 2029-09-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2023-8, Class E                                                                   | CUSIP: 694960AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2498395 | PA      | $2515384.31   | 0.32%             | 2031-06-16      | Fixed         | 11.50%                | Yes           |                  2 | On Loan: No      |
| Polaris                                                 | Polaris PLC, Series 2025-2, Class X1                                                                           | CUSIP: BCC3N2D67<br>LEI: 6354008SKUHLCPHT7N63 | Long             | ABS-MBS          | CORP              | GB        |   5878616 | PA      | $7783090.08   | 0.99%             | 2068-08-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP1000050<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -653471 | NS      | $-753027.22   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Stratton Mortgage Funding Plc                           | Stratton Mortgage Funding 2024-1 PLC, Series 2024-1A, Class F                                                  | CUSIP: BCC3D0ZK7<br>LEI: 635400189QMSKAUNA660 | Long             | ABS-MBS          | CORP              | GB        |    465000 | PA      | $611123.45    | 0.08%             | 2060-06-20      | Floating      | 8.98%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust            | Arivo Acceptance Auto Loan Receivables Trust 2024-1, Series 2024-1A, Class D                                   | CUSIP: 039943AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1792000 | PA      | $2027468.80   | 0.26%             | 2028-01-15      | Fixed         | 12.55%                | Yes           |                  2 | On Loan: No      |
| Gamma Sociedade De Titularizacao De Creditos            | GAMMA Sociedade de Titularizacao de Creditos, Series 2024-2, Class D                                           | CUSIP: BCC3H2L81<br>LEI: 549300Y8LUK3U2T7BG03 | Long             | ABS-O            | CORP              | PT        |    404968 | PA      | $470817.81    | 0.06%             | 2034-02-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP121PAY9<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -573000 | NS      | $-573000.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2022-5, Series 2022-5A, Class E                                            | CUSIP: 30167FAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1989000 | PA      | $2102770.80   | 0.27%             | 2030-04-15      | Fixed         | 10.45%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -670000 | NS      | $-670000.00   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Dowson                                                  | Dowson PLC, Series 2024-1, Class F                                                                             | CUSIP: BCC3HXVH2<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |   1381000 | PA      | $1833840.96   | 0.23%             | 2031-08-20      | Floating      | 10.92%                | No            |                  2 | On Loan: No      |
| Market Street Clo Ltd                                   | Market Street CLO, Ltd. II, Series 2025-2A, Class D1                                                           | CUSIP: 57064FAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2182000 | PA      | $2182000.00   | 0.28%             | 2038-03-20      | Floating      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                             | Island Finance Trust 2025-1, Series 2025-1A, Class C                                                           | CUSIP: 463920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    802000 | PA      | $820285.60    | 0.10%             | 2035-03-19      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | PT        |  -1600442 | NS      | $-1844269.13  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - Stacr                                     | Freddie Mac STACR REMIC Trust, Series 2020-DNA6, Class B2                                                      | CUSIP: 35566CBE4<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | USGSE             | US        |   1789000 | PA      | $2074703.30   | 0.27%             | 2050-12-25      | Floating      | 9.83%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2023-6, Class D                                                                   | CUSIP: 69547UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2749295 | PA      | $2761116.86   | 0.35%             | 2031-06-16      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP47GAA76<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -1051890 | NS      | $-1051890.00  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Popular Abs Mortgage Pass-through Trust                 | Popular ABS Mortgage Pass-Through Trust, Series 2005-5, Class MF1                                              | CUSIP: 73316PGL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    404834 | PA      | $301641.86    | 0.04%             | 2035-11-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9459457<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |   -400028 | NS      | $-460972.21   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5904064<br>LEI: N/A                  | Short            | RA               | CORP              | ES        |   -482030 | NS      | $-555467.21   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Domivest B.v.                                           | Domi BV, Series 2021-1, Class E                                                                                | CUSIP: BCC30J4T5<br>LEI: 724500GC0MQI1HTJVG97 | Long             | ABS-MBS          | CORP              | NL        |    704000 | PA      | $816689.71    | 0.10%             | 2053-06-15      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2023-R03, Class 2B1                                                | CUSIP: 20753ACF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    626000 | PA      | $700556.60    | 0.09%             | 2043-04-25      | Floating      | 10.53%                | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc             | BBCMS, Series 2021-AGW Mortgage Trust, Class A                                                                 | CUSIP: 05493HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1560000 | PA      | $1518816.00   | 0.19%             | 2036-06-15      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc             | BBCMS, Series 2021-AGW Mortgage Trust, Class E                                                                 | CUSIP: 05493HAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2243000 | PA      | $2110887.30   | 0.27%             | 2026-06-15      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0726035<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |  -1365000 | NS      | $-1572957.58  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Sbl Holdings Inc                                        | SBL Holdings, Inc.                                                                                             | CUSIP: 78397DAC2<br>LEI: 635400MJW3QDSBJRKQ59 | Long             | ABS-O            | CORP              | US        |   5791000 | PA      | $5581368.12   | 0.71%             | 9999-12-31      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP68AAG76<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -595000 | NS      | $-595000.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc Of America Funding Corporation                     | Banc of America Funding , Series 2007-5, Class CA8                                                             | CUSIP: 059523BM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2133749 | PA      | $173260.44    | 0.02%             | 2037-07-25      | Floating      | 1.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP2449171<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |  -1570265 | NS      | $-2063092.38  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | BriteCap SPV 3 LLC, Loan Facility                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5000000.00   | 0.64%             | 2027-06-30      | Variable      | 10.88%                | No            |                  3 | On Loan: No      |
| Quarzo Srl                                              | Quarzo Srl, Series 2024-1, Class D                                                                             | CUSIP: BCC3G2GS4<br>LEI: 815600702F68B2ED0B22 | Long             | ABS-O            | CORP              | IT        |    369875 | PA      | $431298.01    | 0.06%             | 2041-06-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Gamma Sociedade De Titularizacao De Creditos            | GAMMA Sociedade de Titularizacao de Creditos, Series 2024-2, Class E                                           | CUSIP: BCC3H2L99<br>LEI: 549300Y8LUK3U2T7BG03 | Long             | ABS-O            | CORP              | PT        |   1457884 | PA      | $1700656.10   | 0.22%             | 2034-02-25      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                  | Velocity Commercial Capital Loan Trust, Series 2025-1, Class M1                                                | CUSIP: 922955AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749041 | PA      | $761549.93    | 0.10%             | 2055-02-25      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP673ZH84<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -360000 | NS      | $-360000.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Symphony Clo Ltd                                        | Symphony CLO XXVIII, Ltd., Series 2021-28X, Class E                                                            | CUSIP: BCC31YXX0<br>LEI: 54930054F3QGDZOYIH14 | Long             | ABS-CBDO         | CORP              | KY        |   1745000 | PA      | $1678341.00   | 0.21%             | 2034-10-23      | Floating      | 10.22%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -480183 | NS      | $-480183.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7194672<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -581440 | NS      | $-670022.31   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Autoflorence                                            | AutoFlorence 2 Srl, Series 2021-2, Class F                                                                     | CUSIP: BCC31J357<br>LEI: 815600C91B7AF7C88210 | Long             | ABS-O            | CORP              | IT        |     18248 | PA      | $20677.34     | 0.00%             | 2044-12-24      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hayfin Us Xiv Ltd                                       | Hayfin US XIV, Ltd., Series 2025-14A, Class D1R                                                                | CUSIP: 42088AAU8<br>LEI: 5493000YWK38UXBNS724 | Long             | ABS-CBDO         | CORP              | KY        |   1728000 | PA      | $1729209.60   | 0.22%             | 2038-03-20      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| E-carat                                                 | ECARAT DE SA Compartment Lease, Series 2025-1, Class F                                                         | CUSIP: BCC3M8ZP9<br>LEI: 213800XVRRHAZW7DS467 | Long             | ABS-O            | CORP              | LU        |   3300000 | PA      | $3883753.25   | 0.50%             | 2034-05-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Achv Abs Trust                                          | ACHV ABS TRUST, Series 2023-4CP, Class E                                                                       | CUSIP: 00092CAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1199276 | PA      | $1219664.02   | 0.16%             | 2026-07-25      | Fixed         | 10.50%                | Yes           |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.058 04/04/30                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1140.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust, Series 2019-6, Class B2                                                              | CUSIP: 03464VAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    846000 | PA      | $821973.60    | 0.11%             | 2059-11-25      | Variable      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP0271946<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |    -76384 | NS      | $-88021.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Radnor Re Ltd                                           | Radnor Re, Ltd., Series 2024-1, Class M1C                                                                      | CUSIP: 75049AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $506800.00    | 0.06%             | 2034-09-25      | Floating      | 7.68%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust 2024-3, Series 2024-3A, Class E                                             | CUSIP: 89617AAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $356860.00    | 0.05%             | 2030-07-15      | Fixed         | 8.64%                 | Yes           |                  3 | On Loan: No      |
| Structured Asset Securities Corporation                 | Structured Asset Securities Corp. Mortgage Loan Trust 2006-W1, Series 2006-W1A, Class M1                       | CUSIP: 86361CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2117988 | PA      | $2191905.77   | 0.28%             | 2046-08-25      | Floating      | 4.41%                 | Yes           |                  2 | On Loan: No      |
| Ownit Mortgage Loan Asset-backed Certificates           | Ownit Mortgage Loan Trust, Series 2005-4, Class M1                                                             | CUSIP: 69121PAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    840692 | PA      | $786299.04    | 0.10%             | 2036-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-through Certificates                 | WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1C                                            | CUSIP: 92925CDC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208809 | PA      | $312858.91    | 0.04%             | 2046-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program, Series 2020-A, Class R1                                                        | CUSIP: 83406T102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14661 | PA      | $184061.06    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP48GAA67<br>LEI: N/A                  | Short            | RA               | CORP              | US        | -11250000 | NS      | $-11250000.00 | -1.44%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP5917041<br>LEI: N/A                  | Short            | RA               | CORP              | ES        |  -2252262 | NS      | $-2595393.83  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                  | Residential Asset Securitization Trust, Series 2005-A15, Class 2A10                                            | CUSIP: 45660L4A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1382549 | PA      | $385869.55    | 0.05%             | 2036-02-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Eurex                                                   | EURO BOBL Future                                                                                               | CUSIP: N/A<br>LEI: 529900UT4DG0LG5R9O07       | N/A              | DIR              | CORP              | DE        |        -4 | NC      | $-545107.58   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Lhome Mortgage Trust                                    | LHOME Mortgage Trust, Series 2025-RTL2, Class M1                                                               | CUSIP: 50206RAC1<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $760800.00    | 0.10%             | 2040-04-25      | Variable      | 7.70%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | GRDN 2024-1 B                                                                                                  | CUSIP: BCC3JLXT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | SE        |  24731820 | PA      | $2625641.52   | 0.34%             | 2049-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                | Foundation Finance Trust 2025-2, Series 2025-2A, Class E                                                       | CUSIP: 35042NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1338000 | PA      | $1345894.20   | 0.17%             | 2052-04-15      | Fixed         | 8.35%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | Reach Consumer 2022-1, LLC, Class B Facility                                                                   | CUSIP: REACHCAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1609650 | PA      | $1609650.11   | 0.21%             | 2027-11-29      | Variable      | 13.13%                | No            |                  3 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP91VAE56<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -424504 | NS      | $-424504.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - Cas                                        | Connecticut Avenue Securities Trust, Series 2024-R02, Class 1B2                                                | CUSIP: 20754GAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2655000 | PA      | $2801025.00   | 0.36%             | 2044-02-25      | Floating      | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Small Business Origination Loan Trust                   | Small Business Origination Loan Trust DAC, Series 2025-1, Class C                                              | CUSIP: BCC3LQT85<br>LEI: 635400ZO4NUYBCC9ZI87 | Long             | ABS-O            | CORP              | IE        |   1944009 | PA      | $2559755.47   | 0.33%             | 2036-12-15      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-backed Certificates                   | CWABS Asset-Backed Certificates Trust, Series 2005-2, Class M6                                                 | CUSIP: 126673ZH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    542784 | PA      | $539635.83    | 0.07%             | 2035-08-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Fta Santander Consumer Spain                            | FTA Santander Consumer Spain Auto, Series 2022-1, Class E                                                      | CUSIP: BCC37VYS0<br>LEI: 9845003BH55E866D9D45 | Long             | ABS-O            | CORP              | ES        |    246501 | PA      | $295361.28    | 0.04%             | 2038-09-20      | Floating      | 14.03%                | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7719138<br>LEI: N/A                  | Short            | RA               | CORP              | GB        |   -587198 | NS      | $-771489.98   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP57JAN28<br>LEI: N/A                  | Short            | RA               | CORP              | US        |  -4275296 | NS      | $-4275296.00  | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust 2024-2, Series 2024-2A, Class E                                             | CUSIP: 89616PAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $214410.00    | 0.03%             | 2027-04-15      | Fixed         | 10.44%                | Yes           |                  3 | On Loan: No      |
| Gamma Sociedade De Titularizacao De Creditos            | GAMMA Sociedade de Titularizacao de Creditos SA Consumer Totta 3, Series 2025-3, Class E                       | CUSIP: BCC3PR4M5<br>LEI: 549300Y8LUK3U2T7BG03 | Long             | ABS-O            | CORP              | PT        |   3700000 | PA      | $4268810.96   | 0.55%             | 2035-10-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Mortgage Acquisition Corp                     | JP Morgan Mortgage Acquisition Trust, Series 2006-HE2, Class M2                                                | CUSIP: 46625SAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145953 | PA      | $1175747.75   | 0.15%             | 2036-07-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP48MAA36<br>LEI: N/A                  | Short            | RA               | CORP              | US        |   -493000 | NS      | $-493000.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Syon Securities 2020-2 Designated Activity Company      | SYON, Series 2020-2, Class E                                                                                   | CUSIP: BCC2PP9E4<br>LEI: 5493000H7F78QNDVY831 | Long             | ABS-MBS          | CORP              | US        |    729992 | PA      | $977993.67    | 0.12%             | 2027-12-17      | Floating      | 10.24%                | No            |                  2 | On Loan: No      |
| Hyt Commercial Mortgage Trust 2024-rgcy                 | HYT Commercial Mortgage Trust, Series 2024-RGCY, Class E                                                       | CUSIP: 449173AJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15054000 | PA      | $15111205.20  | 1.93%             | 2026-09-15      | Floating      | 8.22%                 | Yes           |                  2 | On Loan: No      |
| Dbwf Mortgage Trust                                     | DBWF, Series 2024-LCRS Mortgage Trust, Class E                                                                 | CUSIP: 23307KAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2001200.00   | 0.26%             | 2029-04-15      | Floating      | 8.22%                 | Yes           |                  2 | On Loan: No      |
| Rckt Trust                                              | RCKT Trust 2025-PL1, Series 2025-1A, Class E                                                                   | CUSIP: 74939RAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1759800.00   | 0.22%             | 2034-07-25      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Twin Bridges                                            | Twin Bridges PLC, Series 2022-2, Class E                                                                       | CUSIP: BCC36Y565<br>LEI: 2138009CPSZVO86ALM43 | Long             | ABS-MBS          | CORP              | GB        |    241000 | PA      | $317904.36    | 0.04%             | 2055-06-12      | Floating      | 9.48%                 | No            |                  2 | On Loan: No      |
| Kinbane Dac                                             | Kinbane 2024-RPL 1 DAC, Series 2024-RPL1X, Class F                                                             | CUSIP: BCC3DXKZ8<br>LEI: 6354003NQB1EMN3EGI88 | Long             | ABS-MBS          | CORP              | IE        |    749000 | PA      | $885723.54    | 0.11%             | 2065-01-26      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Wells Fargo                                             | Recv Irs 4.108 04/04/29                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-721910.49   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Bletchley Park Funding                                  | Bletchley Park Funding PLC, Series 2024-1, Class E                                                             | CUSIP: BCC3GPZD5<br>LEI: 635400MQ1CHOSPPF5277 | Long             | ABS-MBS          | CORP              | GB        |    430000 | PA      | $577158.46    | 0.07%             | 2028-07-27      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Trust, Series 2023-5, Class D                                                                   | CUSIP: 69546PAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2045000 | PA      | $2050317.00   | 0.26%             | 2031-04-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Mortimer Btl Plc                                        | Mortimer 2024-Mix PLC, Series 2024-MIX, Class X                                                                | CUSIP: BCC3J5ZP9<br>LEI: 213800F12CZ391USLI51 | Long             | ABS-MBS          | CORP              | GB        |    376357 | PA      | $497888.10    | 0.06%             | 2028-06-22      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP7177601<br>LEI: N/A                  | Short            | RA               | CORP              | LU        |  -1067980 | NS      | $-1230686.62  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust 2024-6 and Pagaya AI Debt Trust, Series 2024-6, Class D                           | CUSIP: 69548LAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    601974 | PA      | $619009.49    | 0.08%             | 2026-06-15      | Fixed         | 11.35%                | Yes           |                  2 | On Loan: No      |
| Tagus Sociedade De Titularizacao De Creditos            | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 1, Series 2023-1, Class F                    | CUSIP: BCC3BYVP8<br>LEI: 213800D3OXAL3N7T1S19 | Long             | ABS-O            | CORP              | PT        |    110266 | PA      | $136619.95    | 0.02%             | 2029-07-27      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                          | Pagaya AI Debt Grantor Trust, Series 2025-5, Class E                                                           | CUSIP: 69548XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3097000 | PA      | $3146552.00   | 0.40%             | 2033-03-15      | Fixed         | 9.70%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                     | Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 2A2                                                | CUSIP: 07401NAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815073 | PA      | $772282.00    | 0.10%             | 2037-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP9459028<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1236515 | NS      | $-1424897.90  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                     | REVERSE REPO                                                                                                   | CUSIP: RP6942812<br>LEI: N/A                  | Short            | RA               | CORP              | IE        |  -1909095 | NS      | $-2199945.38  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program Llc                    | SoFi Professional Loan Program , Series 2018-D, Class R1                                                       | CUSIP: 83401A108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27236 | PA      | $164211.29    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-30

**Name of Applicant:** 1WS CREDIT INCOME FUND

**Signature:** Stephanie Dolan

**Name of Signer:** Stephanie Dolan

**Title:** Chief Financial Officer and Principal Accounting Officer